Bitcoin fluctuations and the frequency of price overreactions

Financial Markets and Portfolio Management - This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period...     

Momentum effects in the cryptocurrency market after one-day abnormal returns

Financial Markets and Portfolio Management - This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market. For this purpose, a number of...     

Long memory in the Ukrainian stock market and financial crises

This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same at different stages of the financial crisis. Therefore trading strategies might have to be modified. We also show that data smoothing is not advisable in the context of R/S analysis.