, i.e. no single stock can dominate the entire market, and we show that beta-arbitrage strategies mechanically out …, individual stocks, and stock portfolios. Finally, we show how to construct optimal beta- arbitrage strategies that maximize the …

We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November …

We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We … the dynamics of Bitcoin price during the analyzed time period. We explain this classification of long and short bubbles by … a number of quantitative metrics and graphs to understand the main socio-economic drivers behind the ascent of Bitcoin …

Bitcoin represents one of the most interesting technological breakthroughs and socio-economic experiments of the last … decades. In this paper, we examine the role of speculative bubbles in the process of Bitcoin's technological adoption by … analyzing its social dynamics. We trace Bitcoin's genesis and dissect the nature of its techno-economic innovation. In …

. With a unique dataset of investor-level holdings from a bank offering trading accounts and cryptocurrency wallets, we show …-traders exhibit a stronger correlation with Bitcoin, especially when the cross-asset retail volume is high …

We develop a theory of arbitrage-free dispersion (AFD) that characterizes the testable restrictions of asset pricing …

standard momentum, reversal and mean-variance allocation strategies, as well as equally weighted portfolio for criteria based …

We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive … returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the … momentum-sorted portfolios entirely but not the reverse. Thus, momentum can be considered an imperfect proxy for acceleration …