constructing cointegrated portfolios that enable statistical arbitrage. Moreover, we find evidence for a connection between market … implement two types of forecasting models for Bitcoin volatility: the GARCH (generalized autoregressive conditional … important role in Bitcoin volatility forecasts. The findings indicate that the realized GARCH model is the only GARCH model that …

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and … from the random ones. Therefore the overreactions detected in the cryptocurrency market do not give rise to exploitable …

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and … from the random ones. Therefore the overreactions detected in the cryptocurrency market do not give rise to exploitable …

Crypto-currencies have developed a vibrant market since bitcoin, the rst crypto-currency, was created in 2009. We look … assets, studying their returns and the co-movements of altcoin prices with bitcoin and against each other. We evaluate their …-currencies: an equallyweighted one, a value-weighted one, and one based on the CRypto-currency IndeX (CRIX). The CRIX portfolio …

-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform …

arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …