Market efficiency of cryptocurrency: evidence from the Bitcoin market
Abstract This study examines whether the Bitcoin market satisfies the (weak-form) efficient market hypothesis using a quantum harmonic oscillator, which provides the state-specific probability density functions that capture the superimposed Gaussian and non-Gaussian states of the log return distribu...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Nature Portfolio
2023-03-01
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| Series: | Scientific Reports |
| Online Access: | https://doi.org/10.1038/s41598-023-31618-4 |
| _version_ | 1797859992606343168 |
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| author | Eojin Yi Biao Yang Minhyuk Jeong Sungbin Sohn Kwangwon Ahn |
| author_facet | Eojin Yi Biao Yang Minhyuk Jeong Sungbin Sohn Kwangwon Ahn |
| author_sort | Eojin Yi |
| collection | DOAJ |
| description | Abstract This study examines whether the Bitcoin market satisfies the (weak-form) efficient market hypothesis using a quantum harmonic oscillator, which provides the state-specific probability density functions that capture the superimposed Gaussian and non-Gaussian states of the log return distribution. Contrasting the mixed evidence from a variance ratio test, the high probability allocated to the ground state suggests a near-efficient Bitcoin market. Findings imply that as Bitcoin evolves into an efficient market, speculators might encounter difficulty in exploiting profitable trading strategies. Furthermore, when policymakers initiate tight regulations to control the market, they should closely monitor market efficiency as an index of price distortion. |
| first_indexed | 2024-04-09T21:38:33Z |
| format | Article |
| id | doaj.art-f949f6ce9e08486c94f2683ae9784c18 |
| institution | Directory Open Access Journal |
| issn | 2045-2322 |
| language | English |
| last_indexed | 2024-04-09T21:38:33Z |
| publishDate | 2023-03-01 |
| publisher | Nature Portfolio |
| record_format | Article |
| series | Scientific Reports |
| spelling | doaj.art-f949f6ce9e08486c94f2683ae9784c182023-03-26T11:10:05ZengNature PortfolioScientific Reports2045-23222023-03-0113111110.1038/s41598-023-31618-4Market efficiency of cryptocurrency: evidence from the Bitcoin marketEojin Yi0Biao Yang1Minhyuk Jeong2Sungbin Sohn3Kwangwon Ahn4Seoul Business School, aSSIST UniversityAntai College of Economics and Management, Shanghai Jiao Tong UniversityDepartment of Industrial Engineering, Yonsei UniversityDepartment of Economics, Sogang UniversityDepartment of Industrial Engineering, Yonsei UniversityAbstract This study examines whether the Bitcoin market satisfies the (weak-form) efficient market hypothesis using a quantum harmonic oscillator, which provides the state-specific probability density functions that capture the superimposed Gaussian and non-Gaussian states of the log return distribution. Contrasting the mixed evidence from a variance ratio test, the high probability allocated to the ground state suggests a near-efficient Bitcoin market. Findings imply that as Bitcoin evolves into an efficient market, speculators might encounter difficulty in exploiting profitable trading strategies. Furthermore, when policymakers initiate tight regulations to control the market, they should closely monitor market efficiency as an index of price distortion.https://doi.org/10.1038/s41598-023-31618-4 |
| spellingShingle | Eojin Yi Biao Yang Minhyuk Jeong Sungbin Sohn Kwangwon Ahn Market efficiency of cryptocurrency: evidence from the Bitcoin market Scientific Reports |
| title | Market efficiency of cryptocurrency: evidence from the Bitcoin market |
| title_full | Market efficiency of cryptocurrency: evidence from the Bitcoin market |
| title_fullStr | Market efficiency of cryptocurrency: evidence from the Bitcoin market |
| title_full_unstemmed | Market efficiency of cryptocurrency: evidence from the Bitcoin market |
| title_short | Market efficiency of cryptocurrency: evidence from the Bitcoin market |
| title_sort | market efficiency of cryptocurrency evidence from the bitcoin market |
| url | https://doi.org/10.1038/s41598-023-31618-4 |
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