Explosive behavior in the prices of Bitcoin and altcoins
2018; Elsevier BV; Volume: 29; Linguagem: Inglês
10.1016/j.frl.2018.09.007
ISSN1544-6123
Autores Tópico(s)Complex Systems and Time Series Analysis
ResumoIn this paper, we investigate explosive behavior in the prices of Bitcoin and seven other altcoins: Ethereum, Ripple, Litecoin, Stellar, Nem, Dash, and Monero. We analyze the daily prices of these cryptocurrencies between September 2015 and January 2018 using the new "explosive process framework" of Chen et al. (2017). We find that all cryptocurrencies other than Nem exhibit explosive behavior and reveal significant pairwise co-movement relationships among the explosive cryptocurrencies. In particular, we detect statistically significant bilateral co-explosive relationships at the 10% level or better between the following pairs: Bitcoin–Dash, Ethereum–Litecoin, Ethereum–Dash, Ethereum–Monero, and Ripple–Stellar.
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