A singular value decomposition approach for testing the efficiency of bitcoin and ethereum markets

DOI10.1016/J.ECONLET.2021.109997MaRDI QIDQ1984496zbMATH OpenOpenAlexFDO

Authors Eduardo Rodríguez, J. Alvarez-Ramírez

Publication date 16 September 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.109997

zbMATH Keywords

cryptocurrenciesentropymarket efficiencysingular value decomposition

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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(2)

• Time series analysis of ether cryptocurrency prices: efficiency, predictability, and arbitrage on exchange rates
• Price predictability at ultra-high frequency: entropy-based randomness test

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