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• W4313431532 abstract "The recent decade has witnessed a surge of cryptocurrency markets as innovative financial systems based strongly on digital emission, interchange and coding. The main characteristic is that cryptocurrencies are not subjected to the regulation of governments and financial institutions (e.g., central banks), such that their dynamics are determined solely by non-centralized mechanisms. Informational efficiency is a key issue for cryptocurrency markets since its fulfillment guarantees that all participants have access to the same information quality and that arbitrage conditions are discarded. This study evaluated the contribution of nonlinearities to the informational efficiency of the Bitcoin market for the period 2014–2022. Singular value decomposition (SVD) entropy together with shuffled and phase-randomized data in a rolling-window framework was used to capture randomness and nonlinear dynamics in Bitcoin returns. It was found that the contribution of nonlinearities to informational efficiency increases with the time scale, with a mean contribution of about 7.25% for long-time scales. This means that the Bitcoin market is only affected by weak nonlinearities, although these effects should be considered for forecasting and valuation." @default.
• W4313431532 created "2023-01-06" @default.
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• W4313431532 date "2023-03-13" @default.
• W4313431532 modified "2023-10-18" @default.
• W4313431532 title "Contribution of Nonlinear Dynamics to the Informational Efficiency of the Bitcoin Market" @default.
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• W4313431532 doi "https://doi.org/10.1142/s0219477523500189" @default.
• W4313431532 hasPublicationYear "2023" @default.
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