Statistics

Predictability

Computer security

Cryptocurrency

Economics

Computer science

Mathematics

Econometrics

Economics Letters

This study evaluates the adaptive market hypothesis (AMH) and evolving return predictability in bitcoin market. We use two robust methods in a rolling-window framework to capture time-varying linear and nonlinear dependence in bitcoin returns. We find that market efficiency evolves with time and validates the AMH in bitcoin market.

Adaptive market hypothesis and evolving predictability of bitcoin