Efficiency linkages between cryptocurrencies, equities and commodities at different time frames

نویسندگان

چکیده

This paper examines pricing efficiency of cryptocurrencies and some traditional assets measuring the level market with Adjusted Market Inefficiency Measure. The patterns several cryptocurrencies’ price dynamics over last 4 years are compared those assets. Correlation mutual information matrices for AMIM obtained using different estimation intervals. results across time scales tested noise permutation entropy technique, empirical estimations represented in statistical complexity plane to show structure links. Usage short window is justified. Efficiency levels seem be closely connected if judged from standpoint theory at all frames. linkages become more linear larger analysis periods. Cryptocurrencies equities, especially S&P500. Bursts inefficiency on markets spread equity possibly mediated bank system. Commodities independently priced.

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ژورنال

عنوان ژورنال: Procedia Computer Science

سال: 2022

ISSN: ['1877-0509']

DOI: https://doi.org/10.1016/j.procs.2022.01.023