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The adaptive market hypothesis in the high frequency cryptocurrency market

Citations

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Cited by:

  1. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
  2. Naeem, Muhammad Abubakr & Bouri, Elie & Peng, Zhe & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2021. "Asymmetric efficiency of cryptocurrencies during COVID19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  3. Andrey Shternshis & Stefano Marmi, 2023. "Price predictability at ultra-high frequency: Entropy-based randomness test," Papers 2312.16637, arXiv.org, revised May 2024.
  4. Bouteska, Ahmed & Abedin, Mohammad Zoynul & Hajek, Petr & Yuan, Kunpeng, 2024. "Cryptocurrency price forecasting – A comparative analysis of ensemble learning and deep learning methods," International Review of Financial Analysis, Elsevier, vol. 92(C).
  5. Khaled Mokni & Ghassen El Montasser & Ahdi Noomen Ajmi & Elie Bouri, 2025. "On the Efficiency and Its Drivers in the Cryptocurrency Market: The Case of Bitcoin and Ethereum," Springer Books, in: Gang Kou & Yongqiang Li & Zongyi Zhang & J. Leon Zhao & Zhi Zhuo (ed.), Blockchain, Crypto Assets, and Financial Innovation, pages 162-191, Springer.
  6. Wang, Jinghua & Ngene, Geoffrey M., 2020. "Does Bitcoin still own the dominant power? An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
  7. Chan, Stephen & Chandrashekhar, Durga & Almazloum, Ward & Zhang, Yuanyuan & Lord, Nicholas & Osterrieder, Joerg & Chu, Jeffrey, 2024. "Stylized facts of metaverse non-fungible tokens," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 653(C).
  8. Jonathan Blackledge & Anton Blackledge, 2025. "Optimisation of Cryptocurrency Trading Using the Fractal Market Hypothesis with Symbolic Regression," Commodities, MDPI, vol. 4(4), pages 1-58, October.
  9. José A. Roldán-Casas & Mª B. García-Moreno García, 2022. "A procedure for testing the hypothesis of weak efficiency in financial markets: a Monte Carlo simulation," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(5), pages 1289-1327, December.
  10. Bouteska, Ahmed & Sharif, Taimur & Isskandarani, Layal & Abedin, Mohammad Zoynul, 2025. "Market efficiency and its determinants: Macro-level dynamics and micro-level characteristics of cryptocurrencies," International Review of Economics & Finance, Elsevier, vol. 98(C).
  11. Toshiyuki Yamawake & Joseph Sheely & Roberto Serrano & Jiro Hodoshima, 2026. "Comparative performance of cryptocurrencies through the Aumann–Serrano economic index of riskiness," Annals of Operations Research, Springer, vol. 357(1), pages 347-372, February.
  12. Huang, Yingying & Liang, Weizhong & Duan, Kun & Urquhart, Andrew & Ye, Qiang, 2025. "How do emotions drive market dynamics? A tale of spillovers in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 103(C).
  13. Katsiampa, Paraskevi & Yarovaya, Larisa & Zięba, Damian, 2022. "High-frequency connectedness between Bitcoin and other top-traded crypto assets during the COVID-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  14. Toshiyuki Yam awake & Joseph Sheely & Roberto Serrano & Jiro Hodoshima, 2022. "Comparative Performance of Cryptocurrencies through the Aumann and Serrano Economic Index of Riskiness," Working Papers 2022-007, Brown University, Department of Economics.
  15. Manahov, Viktor & Li, Mingnan, 2025. "The digitalisation of the real estate market: New evidence from the most prominent crypto hacker attacks," International Review of Financial Analysis, Elsevier, vol. 103(C).
  16. Amira Hakim & Eleftherios Thalassinos, 2023. "Cryptocurrencies as a Safe Haven Investment During the COVID-19 Outbreak: A Comprehensive Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 729-770.
  17. Esparcia, Carlos & Escribano, Ana & Jareño, Francisco, 2024. "Assessing the crypto market stability after the FTX collapse: A study of high frequency volatility and connectedness," International Review of Financial Analysis, Elsevier, vol. 94(C).
  18. Muhammad Anas & Syed Jawad Hussain Shahzad & Larisa Yarovaya, 2024. "The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-31, December.
  19. Andrew Phiri, 2022. "Can wavelets produce a clearer picture of weak-form market efficiency in Bitcoin?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(3), pages 373-386, September.
  20. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
  21. Carmen López-Martín & Sonia Benito Muela & Raquel Arguedas, 2021. "Efficiency in cryptocurrency markets: new evidence," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(3), pages 403-431, September.
  22. Karasiński Jacek, 2023. "The adaptive market hypothesis and the return predictability in the cryptocurrency markets," Economics and Business Review, Sciendo, vol. 9(1), pages 94-118, April.
  23. Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  24. Ao Shu & Feiyang Cheng & Jianlei Han & Zini Liang & Zheyao Pan, 2023. "Arbitrage across different Bitcoin exchange venues: Perspectives from investor base and market related events," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 5183-5210, December.
  25. Farman Ullah Khan & Faridoon Khan & Parvez Ahmed Shaikh, 2023. "Forecasting returns volatility of cryptocurrency by applying various deep learning algorithms," Future Business Journal, Springer, vol. 9(1), pages 1-11, December.
  26. Mariana Chambino & Rui Manuel Teixeira Dias & Nicole Rebolo Horta, 2023. "Asymmetric efficiency of cryptocurrencies during the 2020 and 2022 events," Economic Analysis Letters, Anser Press, vol. 2(2), pages 23-33, May.
  27. Yuanyuan Zhang & Stephen Chan & Jeffrey Chu & Hana Sulieman, 2020. "On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market," JRFM, MDPI, vol. 13(1), pages 1-14, January.
  28. Alexander Musaev & Andrey Makshanov & Dmitry Grigoriev, 2022. "Evolutionary Optimization of Control Strategies for Non-Stationary Immersion Environments," Mathematics, MDPI, vol. 10(11), pages 1-17, May.
  29. Donglian Ma & Hisashi Tanizaki, 2022. "Intraday patterns of price clustering in Bitcoin," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
  30. Hashem A. AlNemer & Besma Hkiri & Muhammed Asif Khan, 2021. "Time-Varying Nexus between Investor Sentiment and Cryptocurrency Market: New Insights from a Wavelet Coherence Framework," JRFM, MDPI, vol. 14(6), pages 1-19, June.
  31. Alvarez-Ramirez, Jose & Espinosa-Paredes, Gilberto & Vernon-Carter, E. Jaime, 2025. "Causal wavelet analysis of the Bitcoin price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 658(C).
  32. Leirvik, Thomas, 2022. "Cryptocurrency returns and the volatility of liquidity," Finance Research Letters, Elsevier, vol. 44(C).
  33. Christian Kreuzer & Christian Sparrer & Gregor Dorfleitner, 2026. "Beyond pure hype: news sentiment and its role in the BTC and ETH futures market," Review of Derivatives Research, Springer, vol. 29(1), pages 1-36, December.
  34. Daeyun Kang & Doojin Ryu & Robert I. Webb, 2025. "Bitcoin as a financial asset: a survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-28, December.
  35. Cui, Tianxiang & Du, Nanjiang & Yang, Xiaoying & Ding, Shusheng, 2024. "Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach," Technological Forecasting and Social Change, Elsevier, vol. 198(C).
  36. Mircea Constantin Șcheau & Simona Liliana Crăciunescu & Iulia Brici & Monica Violeta Achim, 2020. "A Cryptocurrency Spectrum Short Analysis," JRFM, MDPI, vol. 13(8), pages 1-16, August.
  37. Perez Riaza, Baptiste & Gnabo, Jean-Yves, 2023. "Decentralized Autonomous Organizations (DAOs): Catalysts for enhanced market efficiency," Finance Research Letters, Elsevier, vol. 58(PB).
  38. Viktor Manahov, 2024. "The rapid growth of cryptocurrencies: How profitable is trading in digital money?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2214-2229, April.
  39. Hřebačka, Viktor, 2025. "Analyzing market efficiency: The role of business cycles, risk aversion, and Occam’s razor in the Adaptive Market Hypothesis," Finance Research Letters, Elsevier, vol. 75(C).
  40. Seikku, Henrik & Sifat, Imtiaz, 2026. "Bitcoin bans & regulatory segmentation in digitally native asset markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 106(C).
  41. Tran, Vu Le & Leirvik, Thomas, 2020. "Efficiency in the markets of crypto-currencies," Finance Research Letters, Elsevier, vol. 35(C).
  42. Franco, João Pedro M. & Laurini, Márcio P., 2025. "Quantifying systemic risk in cryptocurrency markets: A high-frequency approach," International Review of Economics & Finance, Elsevier, vol. 102(C).
  43. Mingnan Li & Viktor Manahov & John Ashton, 2025. "The impact of cryptocurrency heists on Bitcoin's market efficiency," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 2912-2929, July.
  44. Ferreira, Joaquim & Morais, Flávio, 2023. "Predict or to be predicted? A transfer entropy view between adaptive green markets, structural shocks and sentiment index," Finance Research Letters, Elsevier, vol. 56(C).
  45. Alvarez-Ramirez, Jose & Rodriguez, Eduardo, 2021. "A singular value decomposition approach for testing the efficiency of Bitcoin and Ethereum markets," Economics Letters, Elsevier, vol. 206(C).
  46. Chan, Stephen & Chu, Jeffrey & Zhang, Yuanyuan & Nadarajah, Saralees, 2022. "An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
  47. Shen, Dehua & Wu, Yize, 2025. "The role of Guru investor in Bitcoin: Evidence from Kolmogorov-Arnold Networks," Research in International Business and Finance, Elsevier, vol. 75(C).
  48. Marten Risius & Christoph F. Breidbach & Mathieu Chanson & Ruben Krannichfeldt & Felix Wortmann, 2023. "On the performance of blockchain-based token offerings," Electronic Markets, Springer;IIM University of St. Gallen, vol. 33(1), pages 1-19, December.
  49. Shimeng Shi & Jia Zhai & Yingying Wu, 2024. "Informational inefficiency on bitcoin futures," The European Journal of Finance, Taylor & Francis Journals, vol. 30(6), pages 642-667, April.
  50. Kristjanpoller, Werner & Miranda Tabak, Benjamin, 2025. "Day of the week effect on the cryptomarket: A high-frequency asymmetric multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 658(C).
  51. José Almeida & Tiago Cruz Gonçalves, 2024. "Cryptocurrency market microstructure: a systematic literature review," Annals of Operations Research, Springer, vol. 332(1), pages 1035-1068, January.
  52. Ke Meng & Shouhao Li, 2021. "The adaptive market hypothesis and high frequency trading," PLOS ONE, Public Library of Science, vol. 16(12), pages 1-19, December.
  53. Manel Mahjoubi & Jamel Eddine Henchiri, 2024. "The effect of policy uncertainty on the volatility of bitcoin," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 16(4), pages 429-441, May.
  54. Akbar, Muhammad & Ullah, Ihsan & Ali, Shahid & Rehman, Naser, 2024. "Adaptive market hypothesis: A comparison of Islamic and conventional stock indices," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 460-477.
  55. Sakemoto, Ryuta, 2021. "Economic Evaluation of Cryptocurrency Investment," MPRA Paper 108283, University Library of Munich, Germany.
  56. Esparcia, Carlos & López, Raquel, 2024. "Performance of crypto-Forex portfolios based on intraday data," Research in International Business and Finance, Elsevier, vol. 69(C).
  57. Manahov, Viktor & Urquhart, Andrew, 2021. "The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
  58. Muck, Matthias & Schmidl, Thomas & Wolf, Julian, 2025. "Wish or reality? On the exploitability of triangular arbitrage in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 73(C).
  59. Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis Alberiko & Madigu, Godfrey & Romero-Rojo, Fatima, 2020. "Volatility persistence in cryptocurrency markets under structural breaks," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 680-691.
  60. Esparcia, Carlos & Escribano, Ana & Jareño, Francisco, 2023. "Did cryptomarket chaos unleash Silvergate's bankruptcy? investigating the high-frequency volatility and connectedness behind the collapse," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
  61. Camelia-Cătălina Mihalciuc & Elena-Mădălina MĂNĂLĂCHIOAE (FEȘTILĂ), 2023. "Econometric Model On The Evolution Of Bitcoin Transactions," European Journal of Accounting, Finance & Business, "Stefan cel Mare" University of Suceava, Romania - Faculty of Economics and Public Administration, West University of Timisoara, Romania - Faculty of Economics and Business Administration, vol. 11(2), pages 118-128, June.
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