Efficiency Of Cryptocurrencies Research Articles

Long memory and efficiency of Bitcoin during COVID-19

ABSTRACT The COVID-19 pandemic has raised great attention to the study of its impacts on Bitcoin. We focus on the impacts of the COVID-19 pandemic on the long memory and efficiency of Bitcoin. There exist a few studies on this topic. These studies all ignore the issues of heavy tails and extreme events during COVID-19, which are obstacles to obtaining the reliable continuous time-varying results of long memory and efficiency. After considering the two issues, we first obtain the reliable continuous time-varying results during COVID-19 via sliding window and estimation of Hurst exponent. The other four markets (Ethereum, Binance Coin, S&P 500, and gold spot) are also analysed for comparison. Bitcoin results show that the Bitcoin market keeps efficient during the pandemic and the heavy tails become weaker after the onset of the pandemic. Results of the comparison study show that Bitcoin has similar efficiency with spot gold and is more efficient than Ethereum, Binance Coin, and S&P 500 during the pandemic. This study contributes to current rare literature on the long memory and efficiency of cryptocurrency during COVID-19.

A bibliometric review of cryptocurrencies as a financial asset

ABSTRACT Within a decade, cryptocurrencies have captured significant attention. After Bitcoin's emergence in 2008, new cryptocurrencies started to enter the financial market. We use bibliometric analysis to explore the cryptocurrency literature in the areas of business and management. We review and analyze 464 research articles through bibliometric measurements and social network analysis using Biblioshiny in R. Our study highlights the most influential authors, institutions, countries, and studies. Using the results of the social network analysis of the authors and countries, we illustrate the co-authorship and collaboration among authors from various countries at the institutional level and demonstrate how they have expanded the knowledge in this area. We identify four streams in the current cryptocurrency literature: (i) the determinants of cryptocurrency returns, (ii) the efficiency of cryptocurrencies, (iii) tests of portfolio diversification and sheep flock behaviour and (iv) the regulation, governance, and socio-economic impact of cryptocurrencies. Finally, we present an agenda for future research in the field.

On the (in)efficiency of cryptocurrencies: have they taken daily or weekly random walks?

The legitimacy of virtual currencies as an alternative form of monetary exchange has been the centre of an ongoing heated debated since the catastrophic global financial meltdown of 2007–2008. Our study tests the informational market efficiency of cryptomarkets by investigating the weak-form efficiency of the top-five cryptocurrencies using random walk testing procedures which are robust to asymmetries and unobserved smooth structural breaks. Moreover, our study employs two frequencies of cryptocurrency returns, one corresponding to daily returns and the other to weekly returns. Our findings validate the random walk hypothesis for daily series hence validating the weak-form efficiency for daily returns. On the other hand, weekly returns are observed to be stationary processes which is evidence against weak-form efficiency for weekly returns. Overall, our study has important implications for market participants within cryptocurrency markets.

Crypto Covered Interest Parity Deviations

Studying deviations from covered interest rate parity (CIP) in the Bitcoin/US-Dollar (BTC/USD) market, we find large CIP deviations of up to 15% until Q1/2018. Afterwards, CIP deviations have been subdued, which we attribute to the market entry of high-frequency traders (HFTs). We argue that these market entries have increased efficiency of cryptocurrency markets with respect to CIP as well as liquidity, volatility, and bid-ask spreads. Remarkably, these efficiency gains are larger for the less liquid cryptocurrency Litecoin. Employing a difference-in-differences design, we show that the launch of the BTC/USD future at the Chicago Mercantile Exchange (CME) did not affect market efficiency. Finally, remaining CIP deviations after Q1/2018 seem mostly related to increased credit risk of certain crypto exchanges.

Development of digital signature algorithm based on the Niederriter crypto-code system

The development of computing resources in the post-quantum period calls into question the provision of the required level of stability of symmetric and asymmetric cryptography algorithms. The advent of a full-scale quantum computer based on the Shore and Grover algorithms greatly increases the capabilities of cybercriminals and reduces the resilience of cryptosystems used in protocols for basic security services. The article analyzes the main requirements for resistance to post-quantum cryptography algorithms. In such conditions, it is necessary to use modified cryptosystems that provide an integrated required level of stability and efficiency of cryptocurrencies. One such mechanism is the crypto-code constructs of McEliece and Niederriter, which provide the required indicators of durability, efficiency and reliability. The paper analyzes the construction of the crypto-code structure of the Niederriter on elliptical (EC), modified elliptical codes (MEC) shortened and / or extended, and defective codes, practical algorithms for their implementation. An advanced protocol for the formation of a digital signature using Niederriter crypto-code constructions is proposed.

Cryptocurrencies and the low volatility anomaly

This study examines the low volatility anomaly in the cryptocurrency market. Constructing long-short portfolios for a sample of 1000 cryptocurrencies for the period April 28, 2013 – November 1, 2019, we find no evidence of a significant low volatility premium. This result is in contrast to the empirical findings from the equity, bond, and commodity markets and contributes to the debate on the efficiency of cryptocurrencies. In contrast to earlier studies, we find that the cryptocurrency market is far more efficient than expected, even after controlling for different sample sizes, rebalancing periods and / or portfolio construction methodologies.