This paper will review why it is difficult to apply the current custody rule to cryptocurrency hedge funds, and how the … the rule and its general application to hedge funds. Second, it examines how cryptocurrency is “held” and the challenges …

January 01, 2019 to May 31, 2021. We identify hedging properties across crypto-currency pairs based on intraday volatility …

We consider a variety of highly-diversified cross-sectional momentum and reversal strategies, with sorting and holding … momentum on short horizons up to 2-4 weeks and a significant reversal on longer horizons beyond 1 month. The reversal effect … becomes more pronounced once we expand the sorting or holding periods, or both. Momentum and, particularly, reversal returns …

equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …