616 citations · 1.3k across the 12 of their papers we have counts for
4 papers · 1 filter
An analysis of cryptocurrencies conditional cross correlations
Nektarios Aslanidis, Aurelio F. Bariviera, Oscar Martinez-Ibañez
This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio m…
An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
Aurelio F. Bariviera, Luciano Zunino, Osvaldo A. Rosso
This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the…
Stock returns forecast: an examination by means of Artificial Neural Networks
Martin Iglesias Caride, Aurelio F. Bariviera, Laura Lanzarini
The validity of the Efficient Market Hypothesis has been under severe scrutiny since several decades. However, the evidence against it is not conclusive. Artificial Neural Networks…
Spurious seasonality detection: a non-parametric test proposal
Aurelio F. Bariviera, Angelo Plastino, George Judge
This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to dete…