Departamento de Física, Universidade Estadual de Maringá, Maringá, PR 87020-900, Brazil.
Faculty of Natural Sciences and Mathematics, University of Maribor, Koroška cesta 160, SI-2000, Maribor, Slovenia.
Sci Rep. 2019 Feb 5;9(1):1440. doi: 10.1038/s41598-018-37773-3.
The efficient market hypothesis has far-reaching implications for financial trading and market stability. Whether or not cryptocurrencies are informationally efficient has therefore been the subject of intense recent investigation. Here, we use permutation entropy and statistical complexity over sliding time-windows of price log returns to quantify the dynamic efficiency of more than four hundred cryptocurrencies. We consider that a cryptocurrency is efficient within a time-window when these two complexity measures are statistically indistinguishable from their values obtained on randomly shuffled data. We find that 37% of the cryptocurrencies in our study stay efficient over 80% of the time, whereas 20% are informationally efficient in less than 20% of the time. Our results also show that the efficiency is not correlated with the market capitalization of the cryptocurrencies. A dynamic analysis of informational efficiency over time reveals clustering patterns in which different cryptocurrencies with similar temporal patterns form four clusters, and moreover, younger currencies in each group appear poised to follow the trend of their 'elders'. The cryptocurrency market thus already shows notable adherence to the efficient market hypothesis, although data also reveals that the coming-of-age of digital currencies is in this regard still very much underway.
有效市场假说对金融交易和市场稳定具有深远的影响。因此，加密货币是否具有信息效率一直是最近激烈研究的主题。在这里，我们使用排列熵和统计复杂性对价格对数收益的滑动时间窗口进行量化，以衡量四百多种加密货币的动态效率。我们认为，当这两个复杂性度量在统计上与随机打乱数据获得的值无法区分时，加密货币在时间窗口内是有效的。我们发现，我们研究中的 37%的加密货币在 80%以上的时间内保持有效，而 20%的加密货币在不到 20%的时间内是信息有效的。我们的结果还表明，效率与加密货币的市值无关。随着时间的推移对信息效率的动态分析揭示了聚类模式，其中具有相似时间模式的不同加密货币形成四个集群，而且，每个群组中较年轻的货币似乎都准备追随其“前辈”的趋势。因此，加密货币市场已经表现出对有效市场假说的明显遵循，尽管数据还表明，数字货币的成熟在这方面仍在进行中。
