The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Some stylized facts of the Bitcoin market
Open accessAbstract
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This study compares Bitcoin and standard currencies dynamics and focuses on the analysis of returns at different time scales. We test the presence of long memory in return time series from 2011 to 2017, using transaction data from one Bitcoin platform. We compute the Hurst exponent by means of the Detrended Fluctuation Analysis method, using a sliding window in order to measure long range dependence. We detect that Hurst exponents changes significantly during the first years of existence of Bitcoin, tending to stabilize in recent times. Additionally, multiscale analysis shows a similar behavior of the Hurst exponent, implying a self-similar process.
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Efficient capital markets: A review of theory and empirical work
Fama, E. F. (1970) · The Journal of Finance · doi:10.2307/2325486 · Cited by 13,635
Cited by
RETRACTED: Cryptocurrencies as a financial asset: A systematic analysis
Corbet, S., Lucey, B., Urquhart, A., & Yarovaya, L. (2019) · International Review of Financial Analysis · doi:10.1016/j.irfa.2018.09.003 · Cited by 1,172
RetractedThe inefficiency of Bitcoin revisited: A dynamic approach
Bariviera, A. F. (2017) · Economics Letters · doi:10.1016/j.econlet.2017.09.013 · Cited by 617
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Metadata
- Authors
- Bariviera, A. F., Basgall, M. J., Hasperué, W., & Naiouf, M.
- Venue
- Physica A: Statistical Mechanics and its Applications
- Publisher
- Elsevier BV
- Published
- 2017-10
- Volume
- 484
- Pages
- 82-90
- ISSN
- 0378-4371 (ISSN-L)
- OpenAlex
- W2612382091
- Cited by
- 447
- References
- 1
- FWCI
- 106.45
- Type
- journal article
- Language
- en
- Open access
- green
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- Bariviera, A. F., Basgall, M. J., Hasperué, W., & Naiouf, M. (2017). Some stylized facts of the Bitcoin market. Physica A: Statistical Mechanics and its Applications. https://doi.org/10.1016/j.physa.2017.04.159
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