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|Title:||Persistence in the cryptocurrency market|
|Citation:||Research in International Business and Finance, 2018|
|Abstract:||This paper examines persistence in the cryptocurrency market. Two different long-memory 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.|
|Appears in Collections:||Dept of Economics and Finance Research Papers|
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