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The adaptive market hypothesis in the high frequency cryptocurrency market
16 references·16 citing·38 second hopsampled
The adaptive market hypothesis in the high frequency cryptocurrency market (2019)The adaptive market hypothesis in the hig…Portfolio diversification with virtual currency: Evidence from bitcoin (2018)Portfolio diversification wit…The inefficiency of Bitcoin revisited: A dynamic approach (2017)The inefficiency of Bitcoin r…Informational efficiency of Bitcoin—An extension (2017)Informational efficiency of B…Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Exploring the Dynamic Relatio…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinOn the inefficiency of Bitcoin (2016)On the inefficiency of BitcoinVirtual currency, tangible return: Portfolio diversification with bitcoin (2015)Virtual currency, tangible re…Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis (2005)Reconciling Efficient Markets…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…The size and power of the variance ratio test in finite samples (1989)The size and power of the var…The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation (1988)The Size and Power of the Var…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum (2024)On the efficiency and its dri…Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach (2023)Multi-period portfolio optimi…Cryptocurrency price forecasting – A comparative analysis of ensemble learning and deep learning methods (2023)Cryptocurrency price forecast…Cryptocurrency market microstructure: a systematic literature review (2023)Cryptocurrency market microst…High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis (2022)High-frequency connectedness …Efficiency in cryptocurrency markets: new evidence (2021)Efficiency in cryptocurrency …Cryptocurrency returns and the volatility of liquidity (2021)Cryptocurrency returns and th…An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies (2021)An extreme value analysis of …Volatility persistence in cryptocurrency markets under structural breaks (2020)Volatility persistence in cry…Research on the optimization of the management process on internet of things (Iot) for electronic market (2020)Research on the optimization …On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market (2020)On the Market Efficiency and …On the evolution of cryptocurrency market efficiency (2020)On the evolution of cryptocur…Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration (2020)Market efficiency and volatil…Does the Adaptive Market Hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market (2020)Does the Adaptive Market Hypo…Does Bitcoin still own the dominant power? An intraday analysis (2020)Does Bitcoin still own the do…Asymmetric efficiency of cryptocurrencies during COVID19 (2020)Asymmetric efficiency of cryp…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)A test for independence based on the correlation dimension (1996)An Empirical Study on Modeling and Prediction of Bitcoin Prices With Bayesian Neural Networks Based on Blockchain Information (2017)Is Bitcoin a Hedge or Safe-Haven for Currencies? An Intraday Analysis (2018)Correlations in Price Changes and Volatility across International Stock Markets (1990)Dynamic Conditional Correlation (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)COMMON STOCKS AS A HEDGE AGAINST INFLATION (1976)Long-Term Global Market Correlations (2001)Buying Beauty: On Prices and Returns in the Art Market (2012)Predicting the Price of Bitcoin Using Machine Learning (2018)RETRACTED: Is Bitcoin a better safe-haven investment than gold and commodities? (2019)Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)Prospect Theory: An Analysis of Decision under Risk (1979)An Evolutionary Theory of Economic Change. (1983)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 2004The Adaptive Markets Hypothesis1,708 cited
  • 2017Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets1,342 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2015Virtual currency, tangible return: Portfolio diversification with bitcoin704 cited
  • 2016On the inefficiency of Bitcoin636 cited
  • 2018Portfolio diversification with virtual currency: Evidence from bitcoin633 cited
  • 2017The inefficiency of Bitcoin revisited: A dynamic approach615 cited
  • 2005Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis542 cited
  • 1989The size and power of the variance ratio test in finite samples522 cited
  • 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation

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419 cited
  • 2017Informational efficiency of Bitcoin—An extension365 cited
  • Cited by

    • 2020Asymmetric efficiency of cryptocurrencies during COVID19173 cited
    • 2022High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis111 cited
    • 2021Cryptocurrency returns and the volatility of liquidity101 cited
    • 2023Cryptocurrency price forecasting – A comparative analysis of ensemble learning and deep learning methods91 cited
    • 2020On the evolution of cryptocurrency market efficiency86 cited
    • 2020Volatility persistence in cryptocurrency markets under structural breaks78 cited
    • 2023Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach77 cited
    • 2020Does Bitcoin still own the dominant power? An intraday analysis65 cited
    • 2021Efficiency in cryptocurrency markets: new evidence52 cited
    • 2021An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies47 cited
    • 2020On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market46 cited
    • 2020Does the Adaptive Market Hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market44 cited
    • 2023Cryptocurrency market microstructure: a systematic literature review42 cited
    • 2024On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum42 cited
    • 2020Research on the optimization of the management process on internet of things (Iot) for electronic market41 cited
    • 2020Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration41 cited