Time Series Analysis of Ether Cryptocurrency Prices: Efficiency, Predictability, and Arbitrage on Exchange Rates

DOI10.1007/978-981-15-4498-9_10zbMath1457.91428OpenAlexW3046053815MaRDI QIDQ5148847

Taisei Kaizoji, Lukáš Pichl, Zheng Nan

Publication date: 5 February 2021

Published in: Advanced Studies of Financial Technologies and Cryptocurrency Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-15-4498-9_10

zbMATH Keywords

Hurst exponentvolatilitytime series predictionEthereumETHtriangular arbitrageEtherether exchange rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (1)

The Optimal Foreign Exchange Futures Hedge on the Bitcoin Exchange Rate: An Application to the U.S. Dollar and the Euro

Cites Work

• Statistical analysis of cointegration vectors
• An application of extreme value theory to cryptocurrencies
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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