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Cryptocurrencies and Long-Range Trends

In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non-overlapping consecutive windows and in the whole sample. Using thes...

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Principais autores: Monica Alexiadou, Emmanouil Sofianos, Periklis Gogas, Theophilos Papadimitriou
Formato: Artigo
Idioma:Inglês
Publicado em: MDPI AG 2023-02-01
coleção:International Journal of Financial Studies
Assuntos:
cryptocurrencies
time series
autocorrelation
Hurst exponent
Rescaled Range Analysis
Detrended Fluctuation Analysis
Acesso em linha:https://www.mdpi.com/2227-7072/11/1/40
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