Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017
This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and … fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash … market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market. …