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Mean Sojourn and Mean Return Time of the Buy-hoard-sell Strategy of Bitcoin Exchange Prices

Author

Listed:
  • Ifeoma Christy Mba

    (Department of Economics, University of Nigeria, Nsukka, Nigeria)

  • Emmanuel Ikechukwu Mba

    (Department of Economics, University of Nigeria, Nsukka, Nigeria)

  • Jonathan Emenike Ogbuabor

    (Department of Economics, University of Nigeria, Nsukka, Nigeria)

  • Winnie Ogochukwu Arazu

    (Department of Economics, University of Nigeria, Nsukka, Nigeria)

Abstract

A three state Markov chain procedure for testing the Bitcoin exchange rate prices via the mean return and mean sojourn times were applied in this study from January 2016 to February 2017. The data were of a daily basis. The analysis were conducted on the Buy-Hoard-Sell strategies of the Bitcoin exchange rate and it was discovered that the hoard state was a more difficult one to enter and once entered, it takes a longer time to come out. It was also discovered that the buy state and sell states were preferred because it has a high speed of transition. The steady state values also showed that in the long run, it takes 49% for the buy state to achieve its steady state level, 43% for the sell state and 8% for the hoard state. With these information, the hoard state was still not preferred in the Bitcoin exchange market.

Suggested Citation

  • Ifeoma Christy Mba & Emmanuel Ikechukwu Mba & Jonathan Emenike Ogbuabor & Winnie Ogochukwu Arazu, 2018. "Mean Sojourn and Mean Return Time of the Buy-hoard-sell Strategy of Bitcoin Exchange Prices," International Journal of Economics and Financial Issues, Econjournals, vol. 8(5), pages 276-282.
    • Handle: RePEc:eco:journ1:2018-05-35
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    References listed on IDEAS

    as
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    5. J-C Gerlach & Guilherme Demos & Didier Sornette, 2018. "Dissection of Bitcoin's Multiscale Bubble History," Swiss Finance Institute Research Paper Series 18-30, Swiss Finance Institute.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Markov; Buy-Hoard-Sell; Bitcoin;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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