Title: Reversion and location trends in the bitcoin market

Authors: Dominic Lewinski; Yiming Yang; Zhongxue Chen; Guoyi Zhang

Addresses: Department of Mathematics and Statistics, University of New Mexico, Albuquerque, NM, 87131-0001, USA ' Center for Immunology and Inflammatory Diseases, Massachusetts General Hospital, Charlestown, MA 02129, USA ' Department of Epidemiology and Biostatistics, Indiana University, Bloomington, IN, 47405, USA ' Department of Mathematics and Statistics, University of New Mexico, Albuquerque, NM, 87131-0001, USA

Abstract: The cryptocurrency market is different from traditional markets due to its unique property, which allows global trading around the clock. It is of interest to investigate if some traditional stock market phenomena still exist in the cryptocurrency markets. In this research, we studied the application of the 75% reversion rule in cryptocurrency markets. Using local linear regression, we identified active markets at certain time and location, and examined government regulations and news' influence on the cryptocurrency markets.

Keywords: bitcoin; blockchain; cross validation; cryptocurrency market; geographic location identification; global trading; local linear regression; optimal bandwidth; 75% reversion rule; smooth regression curve.

DOI: 10.1504/IJDS.2019.105261

International Journal of Data Science, 2019 Vol.4 No.4, pp.275 - 287

Received: 30 Jul 2019
Accepted: 17 Nov 2019
Published online: 22 Feb 2020 *

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