Persistence in the Cryptocurrency Market
19 Pages Posted: 8 Dec 2017
Date Written: December 2017
This paper examines persistence in the cryptocurrency market. Two different longmemory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market.
Keywords: Crypto currency, BitCoin, persistence, long memory, R/S analysis, fractional integration
JEL Classification: C22, G12
Suggested Citation: Suggested Citation