标题： 比特币效率的重新审视：一种动态方法 显示英文标题

标题： The inefficiency of Bitcoin revisited: a dynamic approach

摘要： 这封信重新审视了比特币市场的信息效率。 特别是我们分析了2011年至2017年比特币收益和波动性的时变长期记忆行为，使用了赫斯特指数。 我们的结果有两个方面。 首先，R/S方法容易检测到长期记忆，而DFA方法可以更精确地区分信息效率随时间的变化。 其次，日收益在研究期间的前半段表现出持续性行为，而自2014年以来其行为更加信息有效。 最后，价格波动性，以日内高低价的对数差来衡量，在整个期间都表现出长期记忆。 这反映了生成价格和波动性的不同潜在动态过程。 显示英文摘要

摘要： This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, using the Hurst exponent. Our results are twofold. First, R/S method is prone to detect long memory, whereas DFA method can discriminate more precisely variations in informational efficiency across time. Second, daily returns exhibit persistent behavior in the first half of the period under study, whereas its behavior is more informational efficient since 2014. Finally, price volatility, measured as the logarithmic difference between intraday high and low prices exhibits long memory during all the period. This reflects a different underlying dynamic process generating the prices and volatility.