Efficiency linkages between cryptocurrencies, equities and commodities at different time frames

Parfenov, Daniil

Efficiency linkages between cryptocurrencies, equities and commodities at different time frames

Dateien

Parfenov_2-1urc1a34gbtpg5.pdfGröße: 782.87 KBDownloads: 80

Datum

2022

Open Access-Veröffentlichung

Open Access Gold

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

Procedia Computer Science. Elsevier. 2022, 199, pp. 182-189. eISSN 1877-0509. Available under: doi: 10.1016/j.procs.2022.01.023

Zusammenfassung

This paper examines pricing efficiency of cryptocurrencies and some traditional assets measuring the level of market efficiency with Adjusted Market Inefficiency Measure. The patterns of several cryptocurrencies’ price dynamics over the last 4 years are compared with those of traditional assets. Correlation and mutual information matrices for AMIM are obtained using different estimation intervals. The results across different time scales are tested for noise using permutation entropy technique, empirical estimations are represented in statistical complexity plane to show the structure of efficiency links. Usage of AMIM in short window estimation is justified. Efficiency levels seem to be closely connected if judged from the standpoint of information theory at all time frames. Efficiency linkages become more linear at larger analysis periods. Cryptocurrencies seem to be more closely connected to equities, especially S&P500. Bursts of inefficiency on cryptocurrencies markets spread to equity markets and are possibly mediated in bank system. Commodities seem to be more independently priced.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Bitcoin, Cryptocurrencies, Pricing Efficiency, Adaptive Markets Hypothesis, Adjusted Market Inefficiency Measure, Permutation Entropy, Statistical Complexity Plane, Kullback-Leibler divergence, Efficiency Structure, Mutual Information

Zitieren

ISO 690

PARFENOV, Daniil, 2022. Efficiency linkages between cryptocurrencies, equities and commodities at different time frames. In: Procedia Computer Science. Elsevier. 2022, 199, pp. 182-189. eISSN 1877-0509. Available under: doi: 10.1016/j.procs.2022.01.023

BibTex

@article{Parfenov2022Effic-57339,
  year={2022},
  doi={10.1016/j.procs.2022.01.023},
  title={Efficiency linkages between cryptocurrencies, equities and commodities at different time frames},
  volume={199},
  journal={Procedia Computer Science},
  pages={182--189},
  author={Parfenov, Daniil}
}

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Universitätsbibliographie

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