Time-varying long-term memory in Bitcoin market
Abstract
This study attempts to investigate the time-varying long-term memory in the Bitcoin market through a rolling window approach and by employing a new efficiency index (Sensoy and Hacihasanoglu, 2014). The daily dataset for the period from 2010 to 2017 is utilized, and some interesting findings emerge that: (i) all of the generalized Hurst exponents in the Bitcoin market are above 0.5; (ii) long-term memory exists in the Bitcoin market; (iii) high...
Paper Details
Title
Time-varying long-term memory in Bitcoin market
Published Date
Jun 1, 2018
Journal
Volume
25
Pages
280 - 284
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