Browsing by Subject "Permutation entropy"

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    ItemOpen Access
    The inefficiency of Bitcoin revisited: a high-frequency analysis with alternative currencies
    (Elsevier, 2019) Şensoy, Ahmet
    We compare the time-varying weak-form efficiency of Bitcoin prices in terms of US dollars (BTCUSD) and euro (BTCEUR) at a high-frequency level by using permutation entropy. We find that BTCUSD and BTCEUR markets have become more informationally efficient at the intraday level since the beginning of 2016, and BTCUSD market is slightly more efficient than BTCEUR market in the sample period. We also find that higher the frequency, lower the pricing efficiency is. Finally, liquidity (volatility) has a significant positive (negative) effect on the informational efficiency of Bitcoin prices.
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    Predictability dynamics of emerging sovereign CDS markets
    (Elsevier B.V., 2017) Şensoy, Ahmet; Fabozzi, Frank J.; Eraslan, Veysel
    We compare the time-varying weak-form efficiency of Credit Default Swap (CDS) markets of 15 emerging countries by using permutation entropy approach. We find that CDS markets have different degrees of time-varying efficiency. Using several robustness test, we find that Thailand, China, South Korea and Malaysia have the most efficient CDS markets while South Africa, Colombia and Turkey are the least efficient. Our results show that CDS markets can be efficient even in the crisis episodes. Our findings also suggest a strong negative relation between sovereign risk and CDS market efficiency. © 2017 Elsevier B.V.
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    Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis
    (Elsevier, 2022-11-10) Mensi, Walid; Sensoy, Ahmet; Vo, Xuan Vinh; Kang, Sang Hoon
    We examine the impact of COVID-19 pandemic crisis on the pricing efficiency and asymmetric multifractality of major asset classes (S&P500, US Treasury bond, US dollar index, Bitcoin, Brent oil, and gold) within a dynamic framework. Applying permutation entropy on intraday data that covers between April 30, 2019 and May 13, 2020, we show that efficiency of all sample asset classes is deteriorated with the outbreak, and in most cases this deterioration is significant. Results are found to be robust under different analysis schemes. Brent oil is the highest efficient market before and during crisis. The degree of efficiency is heterogeneous among all markets. The analysis by an asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) approach shows evidence of asymmetric multifractality in all markets which rise with the scales. The inefficiency is higher during downward trends before the pandemic crisis as well as during COVID-19 except for gold and Bitcoin. Moreover, the pandemic intensifies the inefficiency of all markets except Bitcoin. Findings reveal increased opportunities for price predictions and abnormal returns gains during the COVID-19 outbreak.