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Journals / Ekonomi Politika ve Finans Araştırmaları Dergisi / 2026 / Cilt: 9 Sayı: 1

Long Memory Analysis Using the GPH Method in Cryptocurrency Markets: The Case of Bitcoin

Kripto Para Birimi Piyasalarında GPH Yöntemi ile Uzun Hafıza Analizi: Bitcoin Örneği

İpek Yurttagüler(İSTANBUL ÜNİVERSİTESİ)0000-0003-3368-3787
Pages
123–139
Publication Date
2024-03-29
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

According to the results obtained, it is observed that the Bitcoin series exhibits a resilient and long-memory structure.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In recent years, due to the effects of crises in money markets and the banking sector, trust in central monetary authorities has been shaken and therefore a decentralized system has been sought.
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Key Findings & Data:On this occasion, the concept of the first cryptocurrency came to the fore in 1998.
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Conclusion & Impact:According to the results obtained, it is observed that the Bitcoin series exhibits a resilient and long-memory structure.
🔬Design:Araştırma Makalesi
📍Scope:2009 Verileri
⚙️Variables:Kripto Para · Bitcoin · ARFIMA

Abstract

In recent years, due to the effects of crises in money markets and the banking sector, trust in central monetary authorities has been shaken and therefore a decentralized system has been sought. On this occasion, the concept of the first cryptocurrency came to the fore in 1998. Crypto markets refer to digital or virtual marketplaces where cryptocurrencies are bought and sold. Cryptocurrencies are decentralized digital assets that use cryptography for secure financial transactions. In 2009, the first transaction was made with Bitcoin, the main cryptocurrency. With the increase in demand for this decentralized virtual currency over time, its market value has also increased rapidly. The aim of the study is to explain the structure of these cryptocurrency markets, whose market value is increasing day by day, and to examine the course of price movements specifically for Bitcoin, the main cryptocurrency. The GPH method was used in the analysis using the weekly data set between the periods 17.11.2019 – 10.03.2024. According to the results obtained, it is observed that the Bitcoin series exhibits a resilient and long-memory structure. It has been determined that there is a relatively high resistance in terms of the value of the memory parameter, and therefore it has been determined that it may take time for price changes to reach the equilibrium level again.

Özet

Son yıllarda, para piyasalarında ve bankacılık sektöründe yaşanan krizlerin etkisiyle merkezi para otoritelerine olan güven sarsılmış ve bu nedenle merkezi olmayan bir sistem arayışına girilmiştir. Bu vesile ile, 1998 yılında ilk kripto para kavramı gündeme gelmiştir. Kripto piyasaları, kripto para birimlerinin alınıp satıldığı dijital veya sanal pazar yerlerini ifade etmektedir. Kripto para birimleri, güvenli finansal işlemler için kriptografi kullanan merkezi olmayan dijital varlıklar olarak karşımıza çıkmaktadır. 2009 yılına gelindiğinde ise ana kripto para birimi olan Bitcoin ile ilk işlem gerçekleştirilmiştir. Merkezi olmayan bu sanal paranın zaman içerisinde talebinde gözlemlenen artış ile birlikte piyasa değeri de hızla yükselmiştir. Çalışmanın amacı, piyasa değeri her geçen gün artan bu kripto para piyasalarının yapısını açıklamak ve ana kripto para birimi olan Bitcoin özelinde fiyat hareketlerinin seyrini incelemektir. 17.11.2019 – 10.03.2024 dönemleri arasında haftalık veri setinin kullanıldığı analizde GPH yöntemi kullanılmıştır. Elde edilen sonuçlara göre, Bitcoin serisinin dirençli ve uzun hafızalı bir yapı sergilediği gözlenmektedir. Hafıza parametresinin aldığı değer itibariyle görece olarak yüksek bir direncin olduğu saptanmış ve bu nedenle de fiyat değişimlerinin tekrar denge seviyesine ulaşmasının zaman alabileceği tespit edilmiştir.

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Cite This Article

Yurttagüler, İ. (2024). Long Memory Analysis Using the GPH Method in Cryptocurrency Markets: The Case of Bitcoin. Ekonomi Politika ve Finans Araştırmaları Dergisi, Cilt: 9 Sayı: 1, 123–139. https://doi.org/10.30784/epfad.1391497

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