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A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets

Laboratory of Economic Policy and Strategic Planning, Department of Economics, University of Thessaly, 28th October 78 Street, P.C. 38333 Volos, Greece
J. Risk Financial Manag. 2019, 12(2), 67; https://doi.org/10.3390/jrfm12020067
Received: 2 April 2019 / Revised: 14 April 2019 / Accepted: 15 April 2019 / Published: 18 April 2019
(This article belongs to the Special Issue Blockchain and Cryptocurrencies)
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PDF [367 KB, uploaded 6 May 2019]

Abstract

This study conducts a systematic survey on whether the pricing behavior of cryptocurrencies is predictable. Thus, the Efficient Market Hypothesis is rejected and speculation is feasible via trading. We center interest on the Rescaled Range (R/S) and Detrended Fluctuation Analysis (DFA) as well as other relevant methodologies of testing long memory in returns and volatility. It is found that the majority of academic papers provides evidence for inefficiency of Bitcoin and other digital currencies of primary importance. Nevertheless, large steps towards efficiency in cryptocurrencies have been traced during the last years. This can lead to less profitable trading strategies for speculators. View Full-Text
Keywords: survey; bitcoin; cryptocurrency; efficient market hypothesis survey; bitcoin; cryptocurrency; efficient market hypothesis
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
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Kyriazis, N.A. A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets. J. Risk Financial Manag. 2019, 12, 67.

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