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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

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

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

Can bitcoin replace gold in an investment portfolio?

Henriques, Irene; Sadorsky, Perry A. - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-19

Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use several different multivariate GARCH models...

Persistent link: https://www.econbiz.de/10011895634

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

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

Dissecting time-varying risk exposures in cryptocurrency markets

Bianchi, Daniele; Guidolin, Massimo; Pedio, Manuela - 2020 - This draft: May 23, 2020

In this paper we take an empirical asset pricing perspective and investigate the dominant view (possibly, an instinctive reﬂection of the media hype surrounding the surge of Bitcoin valuations) that cryptocurrencies represent a new asset class, spanning risks and payoﬀs suﬃciently...

Persistent link: https://www.econbiz.de/10012224331