DCCA and DMCA correlations of cryptocurrency markets

By Paulo Ferreira, Ladislav Kristoufek, E. Pereira. 2020

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Abstract We examine the serial correlation structure of six liquid cryptocurrencies with a long data record – Bitcoin, DASH, Stellar, Litecoin, Monero, and Ripple – with a use of the detrended cross-correlation (DCCA) and detrending moving-average cross-correlation (DMCA) correlation coefficients. We find that these cryptocurrencies behave differently from the stock markets which are much closer to the random walk (efficient) dynamics. We further discuss issues connected to strong statements about cryptocurrency markets practical inefficiency.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6189e5400e43976353f059a56460fab44898169e