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Testing for Sequences and Reversals on Bitcoin Series

In: Advances in Empirical Economic Research

Author

Listed:
  • Prodromos Tsinaslanidis

    (University of Western Macedonia)

  • Francisco Guijarro

    (Universitat Politècnica de València)

Abstract

A statistical assessment of the sequences and reversals is being carried out on the daily prices of the Bitcoin (BTC-USD) price series and the closing prices of the S&P 500. In particular, it is examined whether the ratio of sequences to reversals differs significantly from what would be expected from a random walk model with the same probability of positive returns. The analysis has been conducted on different subperiods and on a rolling basis. Overall, our results provide little evidence against the random walk hypothesis, with significant cases occurring rarely. However, when the latter occurs, our results imply reversals to be more likely than sequences.

Suggested Citation

  • Prodromos Tsinaslanidis & Francisco Guijarro, 2023. "Testing for Sequences and Reversals on Bitcoin Series," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Empirical Economic Research, chapter 0, pages 317-326, Springer.
    • Handle: RePEc:spr:prbchp:978-3-031-22749-3_19
    DOI: 10.1007/978-3-031-22749-3_19
    as

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