Similar Search Results

Investing with cryptocurrencies : a liquidity constrained investment approach

Trimborn, Simon; Li, Mingyang; Härdle, Wolfgang - 2017

Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have a low liquidity compared to traditional assets, one needs to take into account liquidity issues when one puts them into the same portfolio. We...

Persistent link: https://www.econbiz.de/10011672439

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

FOMO in Digital Assets

Karkkainen, Tatja - 2021

This study examines the Fear of Missing Out (FOMO) sentiment as a motivation for retail investors to own ICOs. In the extant literature, this sentiment is suggested to be a possible factor explaining ICO investing. This study examines this empirically. Using novel OECD survey data on ICO...

Persistent link: https://www.econbiz.de/10013235327

Cryptocurrencies as an asset class in portfolio optimisation

Holovatiuk, Olha - In: Central European economic journal 7 (2020) 54, pp. 35-55

In this paper, cryptocurrencies are analysed as investment instruments. The study aims to verify whether they can be classified as an asset class and what kind of benefits they may bring to the investor's portfolio. We used 6 indices as proxies for the major asset classes, including the...

Persistent link: https://www.econbiz.de/10012303649

Evolution of shares in a proof-of-stake cryptocurrency

Rosu, Ioanid; Saleh, Fahad - 2019

Do the rich always get richer by investing in a cryptocurrency for which new coins are issued according to a Proof-of-Stake (PoS) protocol? We answer this question in the negative: Without trading, the investor shares in the cryptocurrency are martingales that converge to a well-defined limiting...

Persistent link: https://www.econbiz.de/10012259559

Optimisation of mixed assets portfolio using copula differential evolution : a behavioural approach

Ababio, Kofi A.; Mba, Jules Clement; Koumba, Ur - In: Cogent economics & finance 8 (2020) 1, pp. 1-27

Cumulative Prospect Theory (CPT) is rooted in behavioural psychology and has demonstrated to possess sufficient explanatory power for use in actual deci sion-making problems. In this study, two distinct asset classes (i.e. assets with extremely lower or higher CPT values) are classified and...

Persistent link: https://www.econbiz.de/10012622374

MAX Momentum in Cryptocurrency Markets

Li, Yi; Urquhart, Andrew; Wang, Pengfei; Zhang, Wei - 2021

This paper studies the MAX effect, the relationship between maximum daily returns and future returns in the cryptocurrency market. The cryptocurrency market is an ideal setting for the MAX effect, due to its lottery-like features (i.e., large positive skewness). Contrary to findings in other...

Persistent link: https://www.econbiz.de/10013228841

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

Impact of Size and Volume on Cryptocurrency Momentum and Reversal

Fičura, Milan - 2023

We analyse how cryptocurrency size and trading volume impact the momentum and reversal dynamics of their returns. We show that the previously reported weekly return reversal occurs for small and illiquid coins only (t-stat = -7.31), while the large and liquid coins exhibit weekly momentum effect...

Persistent link: https://www.econbiz.de/10014254276

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