Similar Search Results

Blockchain Characteristics and the Cross-Section of Cryptocurrency Returns

Bhambhwani, Siddharth - 2020

We examine the relation between cryptocurrency returns and two blockchain characteristics, computing power and network … controlling for Bitcoin's return and sentiment-related factors. The two aggregate blockchain characteristics are procyclical asset … cryptocurrency returns. In out-of-sample tests, the blockchain factors can explain the return variation of a broad set of …

Persistent link: https://www.econbiz.de/10012850005

Machine Learning and the Cross-Section of Cryptocurrency Returns

Cakici, Nusret; Shahzad, Syed Jawad Hussain; … - 2022

We employ a repertoire of machine learning models to explore the cross-sectional return predictability in cryptocurrency markets. While all methods generate substantial economic gains, those that account for nonlinearities and interactions fare the best. The return predictability derives mainly...

Persistent link: https://www.econbiz.de/10014235762

A Factor Model for Cryptocurrency Returns

Bianchi, Daniele; Babiak, Mykola - 2021

We investigate the dynamics of daily realised returns and risk premiums for a large cross section of cryptocurrency pairs through the lens of an Instrumented Principal Component Analysis (IPCA) (see Kelly et al. 2019). We show that a model with three latent factors and time-varying factor...

Persistent link: https://www.econbiz.de/10013210901

Boosting Cryptocurrency Return Prediction

Filippou, Ilias; Rapach, David; Thimsen, Christoffer - 2021

We use boosted decision trees to generate daily out-of-sample forecasts of excess returns for Bitcoin and Ethereum, the two best-known and largest cryptocurrencies. The decision trees incorporate information from 39 predictors, including variables relating to cryptocurrency fundamentals,...

Persistent link: https://www.econbiz.de/10013213970

The Diversification Benefits of Cryptocurrency Factor Portfolios : Are They There?

Han, Weihao; Newton, David P.; Platanakis, Emmanouil; … - 2023

We investigate the out-of-sample diversification benefits of cryptocurrencies from a generalised perspective, a cryptocurrency-factor level, with traditional and machine-learning-enhanced asset-allocation strategies. The cryptocurrency factor portfolios are formed in an analogous way to equity...

Persistent link: https://www.econbiz.de/10014255055

Cryptocurrency Return Reversals

Kozlowski, Steven; Puleo, Michael; Zhou, Jizhou - 2022

Analyzing a set of 200 cryptocurrencies over the period from 2015 to 2019, we document a significant return reversal effect that holds at the daily, weekly, and monthly rebalancing frequencies and is robust to controls for differences in size, turnover, and illiquidity. Moreover, the reversal...

Persistent link: https://www.econbiz.de/10014235943

Profitability of Trading in the Direction of Asset Price Jumps – Analysis of Multiple Assets and Frequencies

Fičura, Milan - 2017

The profitability of a trading system based on the momentum-like effects of price jumps was tested on the time series of 7 assets (EUR/USD, GBP/USD, USD/CHF and USD/JPY exchange rates and Light Crude Oil, E-Mini S&P 500 and VIX Futures), in each case for 7 different frequencies (ranging from...

Persistent link: https://www.econbiz.de/10012964934

Momentum Crash Management

Heidari, Mahdi - 2015

Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

Persistent link: https://www.econbiz.de/10013026403

Decomposition of Time Series Data to Check Consistency between Fund Style and Actual Fund Composition of Mutual Funds

Sen, Jaydip - 2016

We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed scheme can be applied to check whether the style proclaimed for a mutual fund actually matches...

Persistent link: https://www.econbiz.de/10012980597

Factor timing in the Chinese stock market

Wu, Yuxiao - In: International studies of economics 19 (2024) 4, pp. 532-577

I conduct an exploratory study about the feasibility of factor timing in the Chinese stock market, covering 24 representative and well-identified risk factors in 10 categories from the literature. The long-short portfolio of short-term reversal exhibits strong out-of-sample predictability, which...

Persistent link: https://www.econbiz.de/10015194093