Bitcoin and market-(in)efficiency: a systematic time series approach

  • Bundi N
  • Wildi M
N/ACitations
Citations of this article
5Readers
Mendeley users who have this article in their library.

This artice is free to access.

Abstract

Recently, cryptocurrencies have received substantial attention by investors given their innovative features, simplicity and transparency. We here analyze the increasingly popular Bitcoin and verify pertinence of the efficient market hypothesis. Recent research suggests that Bitcoin markets, while inefficient in their early days, transitioned into efficient markets recently. We challenge this claim by proposing simple trading strategies based on moving average filters, on classic time series models as well as on non-linear neural nets. Our findings suggest that trading performances of our designs are significantly positive; moreover, linear and non-linear approaches perform similarly except at singular time periods of the Bitcoin; finally, our results suggest that markets are becoming less rather than more efficient towards the sample end of the data.

Cite

CITATION STYLE

APA

Bundi, N., & Wildi, M. (2019). Bitcoin and market-(in)efficiency: a systematic time series approach. Digital Finance, 1(1–4), 47–65. https://doi.org/10.1007/s42521-019-00004-z

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free