Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28
portfolio size. The HFRA is applied to a dataset of real price series from cryptocurrency exchange markets across various trends … and volatility regimes. Using cointegrated price data, it is shown that increasing the number of assets in a portfolio …-volatility environment. For low-volatility regimes, although increasing portfolio size marginally enhances the HFRA's proftability, the …