All the frequencies matter in the Bitcoin market: an efficiency analysis
David Vidal-Tomás
Abstract
Most studies in the Bitcoin literature are focused on daily data without considering other options. Therefore, it is necessary to analyse Bitcoin features at different frequencies. In this letter, we examine Bitcoin efficiency from 1 min to weekly data using the generalized Hurst exponent. Our results show that Bitcoin is more efficient over time regardless of the frequency. In particular, we observe that, since 2016, daily data are generally the most efficient frequency while 1 min and weekly data are the most inefficient. These results are relevant for investors and scholars since we detect the most profitable frequencies and underline the relevance of analysing different frequencies than daily data.
Topics & Concepts
Hurst exponentEconometricsMarket efficiencyEfficient-market hypothesisEconomicsRelevance (law)Computer scienceFinancial economicsStatisticsMathematicsStock marketGeographyLawContext (archaeology)Political scienceArchaeologyBlockchain Technology Applications and SecurityComplex Systems and Time Series AnalysisStock Market Forecasting Methods