Lecture by Guglielmo M. Caporale: Testing for Efficiency of the Cryptocurrency markets
This lecture will review the general concept of market efficiency and some of the existing evidence before focusing specifically on the cryptocurrency markets. Various types of tests of their efficiency will be outlined.
1. Persistence measured using both R/S analysis and long-memory methods;
2. The existence of overreactions resulting from investors giving greater weight to the most recent information relative to older one (parametric and non-parametric methods are applied for this purpose);
3. The frequency of overreactions (again using both parametric and non-parametric methods) and its information content;
4. Calendar anomalies, in particular the day-of-the-week effect, to establish whether or not these exist and whether or not it is possible to design trading strategies exploiting them that can generate abnormal profits.
5. As a separate issue, an appropriate volatility modelling framework will be suggested that incorporates the regime shifts typically exhibited by cryptocurrencies
Date and Time
March 28, 2019 at 13:40
International College of Economics and Finance, HSE University
Shabolovka 26, room 5310
Who Should Attend?
This lecture is aimed at students interested in pursuing further a Master programme in financial economics or a career in banking and finance.
Guglielmo M. Caporale is Professor of Economics and Finance and Director of the Centre for Empirical Finance at Brunel University, London. He is also a Visiting Professor at London South Bank University and London Metropolitan University, a Research Professor at DIW Berlin, a CESifo Research Network Fellow, an NCID (Navarra Center for International Development) Non-Resident Fellow and an Associate Researcher at the International Laboratory of Financial Economics (LFE), International College of Economics and Finance (ICEF), Higher School of Economics (HSE), Moscow. Prior to taking up his current position, he was a Research Officer at the National Institute of Economic and Social Research in London; a Research Fellow and then a Senior Research Fellow at the Centre for Economic Forecasting at the London Business School; Professor of Economics at the University of East London; Professor of Economics and Finance as well as Director of the Centre for Monetary and Financial Economics at London South Bank University. His research focuses mainly on international financial markets and monetary policy. It uses cutting-edge econometrics to analyze issues with crucial business/policy implications. It also aims to make methodological contributions to econometric modelling.
Qualifications: PhD Economics (LSE), MSc Economics (LSE), Laurea (Politics, LUISS, Rome).