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1703 Persistence in the Cryptocurrency Market Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun 2017 17 S.

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Abstract:

This paper examines persistence in the cryptocurrency market. Two different longmemory 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.

JEL-Classification:

C22;G12

Keywords:

Crypto currency, BitCoin, persistence, long memory, R/S analysis, fractional integration