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Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach · Study

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ArticleDynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach

Kun Duan2021

Article2021

Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach

Kun Duan · Zeming Li · Andrew Urquhart · Jinqiang Ye

68 citations·0/0 files stored·International Review of Financial Analysis

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1991Efficient Capital Markets: II 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1991Long-Term Memory in Stock Market Prices 2004The Adaptive Markets Hypothesis 1989Long-term Memory in Stock Market Prices 2001Detecting long-range correlations with detrended fluctuation analysis

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Details

Year2021

Typearticle

Published2021-03-26

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations68

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.irfa.2021.101725

openalex_workW3132442850

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