Adaptive market hypothesis and evolving predictability of bitcoin

DOI10.1016/J.ECONLET.2018.03.005zbMath1397.91603OpenAlexW2792665223MaRDI QIDQ1787572

Sashikanta Khuntia, J. K. Pattanayak

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.03.005

zbMATH Keywords

martingale difference hypothesisbitcoinadaptive market hypothesis (AMH)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Prediction of cryptocurrency returns using machine learning ⋮ Return and volatility spillovers among cryptocurrencies ⋮ Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study ⋮ To what extent can new web-based technology improve forecasts? Assessing the economic value of information derived from virtual globes and its rate of diffusion in a financial market ⋮ Unnamed Item ⋮ Optimal vs naïve diversification in cryptocurrencies ⋮ Solving the chaos model-data paradox in the cryptocurrency market ⋮ How is price explosivity triggered in the cryptocurrency markets? ⋮ Price delay and market frictions in cryptocurrency markets

Cites Work

• Generalized spectral tests for the martingale difference hypothesis
• Testing the Martingale Difference Hypothesis

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