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

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

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PARFENOV, Daniil, 2022. Efficiency linkages between cryptocurrencies, equities and commodities at different time frames. In: Procedia Computer Science. Elsevier. 199, pp. 182-189. eISSN 1877-0509. Available under: doi: 10.1016/j.procs.2022.01.023

@article{Parfenov2022Effic-57339, title={Efficiency linkages between cryptocurrencies, equities and commodities at different time frames}, year={2022}, doi={10.1016/j.procs.2022.01.023}, volume={199}, journal={Procedia Computer Science}, pages={182--189}, author={Parfenov, Daniil} }

2022 Efficiency linkages between cryptocurrencies, equities and commodities at different time frames Attribution-NonCommercial-NoDerivatives 4.0 International This paper examines pricing efficiency of cryptocurrencies and some traditional assets measuring the level of market efficiency with Adjusted Market Inefficiency Measure. The patterns of several cryptocurrencies’ price dynamics over the last 4 years are compared with those of traditional assets. Correlation and mutual information matrices for AMIM are obtained using different estimation intervals. The results across different time scales are tested for noise using permutation entropy technique, empirical estimations are represented in statistical complexity plane to show the structure of efficiency links. Usage of AMIM in short window estimation is justified. Efficiency levels seem to be closely connected if judged from the standpoint of information theory at all time frames. Efficiency linkages become more linear at larger analysis periods. Cryptocurrencies seem to be more closely connected to equities, especially S&P500. Bursts of inefficiency on cryptocurrencies markets spread to equity markets and are possibly mediated in bank system. Commodities seem to be more independently priced. 2022-04-22T09:59:48Z Parfenov, Daniil Parfenov, Daniil 2022-04-22T09:59:48Z eng

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