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Please use this identifier to cite or link to this item: https://doi.org/10.21256/zhaw-19440
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dc.contributor.authorWildi, Marc-
dc.contributor.authorBundi, Nils Andri-
dc.date.accessioned2020-02-14T09:22:51Z-
dc.date.available2020-02-14T09:22:51Z-
dc.date.issued2019-11-
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/19440-
dc.descriptionThis 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.de_CH
dc.description.abstractAbstract 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.de_CH
dc.language.isoende_CH
dc.publisherSpringerde_CH
dc.relation.ispartofDigital Financede_CH
dc.rightsNot specifiedde_CH
dc.subject.ddc332: Finanzwirtschaftde_CH
dc.titleBitcoin and market-(in)efficiency : a systematic time series approachde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Engineeringde_CH
zhaw.organisationalunitInstitut für Datenanalyse und Prozessdesign (IDP)de_CH
dc.identifier.doi10.21256/zhaw-19440-
dc.identifier.doi10.1007/s42521-019-00004-zde_CH
zhaw.funding.euNode_CH
zhaw.issue1de_CH
zhaw.originated.zhawYesde_CH
zhaw.pages.end65de_CH
zhaw.pages.start47de_CH
zhaw.publication.statusacceptedVersionde_CH
zhaw.volume1de_CH
zhaw.embargo.end2020-12-01de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
zhaw.webfeedStatistik und Quantitative Financede_CH
zhaw.author.additionalYesde_CH
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Wildi, M., & Bundi, N. A. (2019). Bitcoin and market-(in)efficiency : a systematic time series approach. Digital Finance, 1(1), 47–65. https://doi.org/10.21256/zhaw-19440
Wildi, M. and Bundi, N.A. (2019) ‘Bitcoin and market-(in)efficiency : a systematic time series approach’, Digital Finance, 1(1), pp. 47–65. Available at: https://doi.org/10.21256/zhaw-19440.
M. Wildi and N. A. Bundi, “Bitcoin and market-(in)efficiency : a systematic time series approach,” Digital Finance, vol. 1, no. 1, pp. 47–65, Nov. 2019, doi: 10.21256/zhaw-19440.
WILDI, Marc und Nils Andri BUNDI, 2019. Bitcoin and market-(in)efficiency : a systematic time series approach. Digital Finance. November 2019. Bd. 1, Nr. 1, S. 47–65. DOI 10.21256/zhaw-19440
Wildi, Marc, and Nils Andri Bundi. 2019. “Bitcoin and Market-(in)Efficiency : A Systematic Time Series Approach.” Digital Finance 1 (1): 47–65. https://doi.org/10.21256/zhaw-19440.
Wildi, Marc, and Nils Andri Bundi. “Bitcoin and Market-(in)Efficiency : A Systematic Time Series Approach.” Digital Finance, vol. 1, no. 1, Nov. 2019, pp. 47–65, https://doi.org/10.21256/zhaw-19440.


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