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Research into Cryptocurrencies and Long Term Memory


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Authors : Shima Alizadeh, Hilda Saleh, Morteza Shafiee

Volume/Issue : Volume 4 - 2019, Issue 12 - December

Google Scholar : https://goo.gl/DF9R4u

Scribd : https://bit.ly/36iFvWn

Abstract : Retrieving a set of 14 cryptocurrencies for a sample spanning 2015–2018. In this paper, we investigate Efficiency Market Hypothesis (EMH) by applying ARFIMA model for 14 cryptocurrencies which average price didn’t meet over $1 during a period 3 years, from Sep 2015 to Sep 2018. The Long term memory which is detected in time series of price, is in contradiction with Efficiency Market Hypothesis.

Keywords : Efficiency Market Hypothesis, Market Efficiency, Cryptocurrency, ARFIMA.

Retrieving a set of 14 cryptocurrencies for a sample spanning 2015–2018. In this paper, we investigate Efficiency Market Hypothesis (EMH) by applying ARFIMA model for 14 cryptocurrencies which average price didn’t meet over $1 during a period 3 years, from Sep 2015 to Sep 2018. The Long term memory which is detected in time series of price, is in contradiction with Efficiency Market Hypothesis.

Keywords : Efficiency Market Hypothesis, Market Efficiency, Cryptocurrency, ARFIMA.

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