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 |
| Page(s): | 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 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| bitcoin_market_efficiency.pdf | Accepted Version | 1.22 MB | Adobe PDF |  View/Open |
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