Adaptive market hypothesis and evolving predictability of bitcoin

DOI10.1016/J.ECONLET.2018.03.005MaRDI QIDQ1787572zbMATH OpenOpenAlexFDO

Authors 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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Cites work

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

Cited in

(13)

• Prediction of cryptocurrency returns using machine learning
• The test of the adaptive market hypothesis in the Bitcoin market
• Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study
• Return and volatility spillovers among cryptocurrencies
• Long memory interdependency and inefficiency in bitcoin markets
• Solving the chaos model-data paradox in the cryptocurrency market
• 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
• Optimal vs naïve diversification in cryptocurrencies
• A nonlinear Bayesian filtering approach to estimating adaptive market effciency
• Price delay and market frictions in cryptocurrency markets
• How is price explosivity triggered in the cryptocurrency markets?
• The nexus between black and digital gold: evidence from US markets
• Improving bitcoin price prediction power by time-scale decomposition and GMDH-type neural network: a comparison of different periods and features

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