We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum … and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to …

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of … there was confirmed existence of volatility clusters when high volatility periods are followed by low volatility periods … expect in the worst case scenario. Our results confirm the existence of predictability, volatility clustering, and …

We consider the performance of cryptocurrencies in the light of fundamental asset pricing and portfolio theory. We … observe how a traditional focus on reducing asset return volatility with Markowitz diversification actually misses the … significance of such volatility for growth. The recognition that asset growth is more likely subject to exponential or continuously …