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Journal : Journal of Current Research in Blockchain

Study of Bitcoin Market Efficiency Using Runs Test and Autocorrelation Sukmana, Husni Teja; Khairani, Dewi
Journal of Current Research in Blockchain Vol. 1 No. 1 (2024): Regular Issue June
Publisher : Bright Institute

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47738/jcrb.v1i1.9

Abstract

This paper presents a comprehensive statistical analysis of Bitcoin's daily returns, focusing on their unique characteristics and implications for financial modeling and market behavior. The descriptive statistics reveal a mean daily return of 0.001912 and a standard deviation of 0.044069, highlighting high volatility. The skewness of -1.297892 and kurtosis of 22.099740 indicate a left-skewed, leptokurtic distribution with frequent extreme price movements. The Jarque-Bera test statistic of 95428.68, with a p-value of 0.0, strongly rejects the null hypothesis of normality, suggesting that traditional financial models assuming normally distributed returns may be inappropriate for Bitcoin. The ADF test statistic of -12.303, with a p-value of 7.36e-23, confirms the stationarity of Bitcoin's daily returns, validating their suitability for time series analysis techniques such as ARIMA and GARCH models. Autocorrelation analysis uncovers significant short-term predictability in Bitcoin returns, challenging the weak form of market efficiency, though this predictability diminishes over time. The Runs Test, with a z-score of 2.56 and a p-value of 0.01, further supports the presence of short-term non-random behavior. Additional visualizations, including the daily closing price plot, histogram, and boxplot of daily returns, illustrate the high volatility and substantial variability in Bitcoin's market behavior. The findings underscore the need for specialized risk management strategies and financial models tailored to the cryptocurrency market's unique dynamics. While Bitcoin offers opportunities for high returns, it also poses significant risks due to its volatile nature and frequent extreme price movements. Future research should explore advanced models accounting for heavy tails and volatility clustering and examine the impact of external factors such as regulatory changes and macroeconomic events on Bitcoin's statistical properties. Understanding these characteristics is crucial for informed investment decisions and effective trading strategies in the evolving cryptocurrency market.
A Comprehensive Study on Public and Private Blockchain Performance Oh, Lee Kyung; Sukmana, Husni Teja
Journal of Current Research in Blockchain Vol. 2 No. 1 (2025): Regular Issue March
Publisher : Bright Institute

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47738/jcrb.v2i1.25

Abstract

Blockchain technology has emerged as a transformative innovation, with applications spanning diverse industries. This study provides a comprehensive comparison between public and private blockchains, focusing on six key dimensions: scalability, security, use case distribution, energy efficiency, developer ecosystem, and performance metrics. Data were collected from 30 blockchain systems, representing a wide range of consensus mechanisms and industry applications. The findings reveal significant trade-offs between the two blockchain types. Public blockchains, such as Bitcoin and Ethereum, excel in decentralization and transparency, making them ideal for open and trustless environments like cryptocurrency and decentralized finance (DeFi). However, they face limitations in scalability, high energy consumption, and slower transaction speeds. Conversely, private blockchains, such as Hyperledger Fabric and Corda, demonstrate superior scalability, energy efficiency, and privacy, making them more suitable for controlled environments like healthcare, supply chain management, and enterprise financial services. The study underscores the importance of aligning blockchain technology selection with specific application requirements. Furthermore, it highlights the potential of hybrid blockchain models to integrate the strengths of both public and private systems, addressing existing limitations. These findings provide valuable insights for organizations and developers in leveraging blockchain technologies effectively.