Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-19440
Publication type: Article in scientific journal
Type of review: Peer review (publication)
Title: Bitcoin and market-(in)efficiency : a systematic time series approach
Authors : Wildi, Marc
Bundi, Nils Andri
et. al : Yes
DOI : 10.21256/zhaw-19440
10.1007/s42521-019-00004-z
Published in : Digital Finance
Volume(Issue) : 1
Issue : 1
Pages : 47
Pages to: 65
Issue Date: Nov-2019
Publisher / Ed. Institution : Springer
Language : English
Subject (DDC) : 332: Financial economics
Abstract: 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.
Further description : This is a post-peer-review, pre-copyedit version of an article published in Digital Finance. The final authenticated version is available online at: http://dx.doi.org/10.1007/s42521-019-00004-z.
URI: https://digitalcollection.zhaw.ch/handle/11475/19440
Fulltext version : Published version
License (according to publishing contract) : Not specified
Restricted until : 2020-12-01
Departement: School of Engineering
Organisational Unit: Institute of Data Analysis and Process Design (IDP)
Appears in Collections:Publikationen School of Engineering

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