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Cryptocurrency momentum effect: DFA and MF-DFA analysis · Study

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ArticleCryptocurrency momentum effect: DFA and MF-DFA analysis

Xinyuan Liu2019

Article2019

Cryptocurrency momentum effect: DFA and MF-DFA analysis

Xinyuan Liu · Xiao-Wu Zhu

77 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stock Market Forecasting Methods

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References

1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1985Does the Stock Market Overreact?1998Investor Psychology and Security Market Under‐ and Overreactions 2002Multifractal detrended fluctuation analysis of nonstationary time series 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation 1998International Momentum Strategies 2001Detecting long-range correlations with detrended fluctuation analysis 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing

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Year2019

Typearticle

Published2019-04-08

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations77

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.physa.2019.04.083

openalex_workW2938760935

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