Abstract

Anomalies, which are incompatible with the efficient market hypothesis and mean a deviation from normality, have attracted the attention of both financial investors and researchers. A salient research topic is the existence of anomalies in cryptocurrencies, which have a different financial structure from that of traditional financial markets. This study expands the literature by focusing on artificial neural networks to compare different currencies of the cryptocurrency market, which is hard to predict. It aims to investigate the existence of the day-of-the-week anomaly in cryptocurrencies with feedforward artificial neural networks as an alternative to traditional methods. An artificial neural network is an effective approach that can model the nonlinear and complex behavior of cryptocurrencies. On October 6, 2021, Bitcoin (BTC), Ethereum (ETH), and Cardano (ADA), which are the top three cryptocurrencies in terms of market value, were selected for this study. The data for the analysis, consisting of the daily closing prices for BTC, ETH, and ADA, were obtained from the Coinmarket.com website from January 1, 2018 to May 31, 2022. The effectiveness of the established models was tested with mean squared error, root mean squared error, mean absolute error, and Theil’s U1, and ROOS2 was used for out-of-sample. The Diebold–Mariano test was used to statistically reveal the difference between the out-of-sample prediction accuracies of the models. When the models created with feedforward artificial neural networks are examined, the existence of the day-of-the-week anomaly is established for BTC, but no day-of-the-week anomaly for ETH and ADA was found.

Details

Title
Artificial neural network analysis of the day of the week anomaly in cryptocurrencies
Author
Tosunoğlu, Nuray 1 ; Abacı, Hilal 2 ; Ateş, Gizem 3   VIAFID ORCID Logo  ; Saygılı Akkaya, Neslihan 4 

 Ankara Hacı Bayram Veli University, Faculty of Economics and Administrative Sciences, Ankara, Turkey (GRID:grid.509259.2) (ISNI:0000 0004 7221 6011) 
 Çankırı Karatekin University, Faculty of Economics and Administrative Sciences, Çankırı, Turkey (GRID:grid.448653.8) (ISNI:0000 0004 0384 3548) 
 İnönü University, Faculty of Economics and Administrative Sciences, Malatya, Turkey (GRID:grid.411650.7) (ISNI:0000 0001 0024 1937) 
 Ankara Hacı Bayram Veli University, Institute of Graduate Studies, Ankara, Turkey (GRID:grid.509259.2) (ISNI:0000 0004 7221 6011) 
Pages
88
Publication year
2023
Publication date
Dec 2023
Publisher
Springer Nature B.V.
e-ISSN
21994730
Source type
Scholarly Journal
Language of publication
English
ProQuest document ID
2811089848
Copyright
© The Author(s) 2023. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.