We provide practical insights for investors seeking exposure to the growing cryptocurrency space. Today, crypto is much more than just bitcoin, which historically dominated the space but accounted for just a 21% share of total crypto trading volume in 2021. We discuss a wide variety of tokens,...

This paper investigates how investors' abnormal attention affects the cross-section of cryptocurrency returns in the period from 2018 to 2022. We capture abnormal attention using the (log) number of Twitter posts on individual cryptocurrencies on the current day minus a 30-day average. Our...

A five cent $0.05 investment in Bitcoin on July 17, 2010, the first date in which there appears to have been a published value had grown to $7,383.39 on July 18, 2018. While Bitcoin as a currency has existed for less than a decade ̶ it had a very limited liquidity and usage during the first few...

Cryptocurrencies are a new emergence at the intersection of technology and finance. It is therefore of particular interest whether cryptocurrencies can form a new asset class or need to be subsumed under an existing one. We find that cryptocurrencies show characteristics of a distinct asset...

We show that ongoing zero portfolio weights in cryptocurrency are surprisingly difficult to generate in a standard Bayesian portfolio theory framework. With ten years of prior data, equity market investors would need very pessimistic priors on mean returns to justify never having bought...

For seven cryptocurrencies—Bitcoin (BTC), Ether (ETH), Cardano (ADA), Ripple (XRP), Solana (SOL), Litecoin (LTC), and Dogecoin (DOGE)—we compute the efficient set of portfolios for daily returns for the period January 2020 to September 2022. The paper reports the “background” statistics,...

We acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface. We use these prices to construct a term structure of bitcoin implied volatility...