Trend patterns statistics for assessing irreversibility in cryptocurrencies: time-asymmetry versus inefficiency
利用趋势模式统计评估加密货币不可逆性:时间非对称与市场低效率
In this paper, we present a measure of time irreversibility using trend pattern statistics. We define the irreversibility index as the Kullback-Leibler divergence between the distribution of uptrends subsequences (increasing trends) and the corresponding downtrends subsequences distribution (decreasing trends) in a time series. We use this index to analyze the degree of irreversibility in log return series over time, specifically focusing on five cryptocurrencies: Bitcoin,…