Related papers: An analysis of cryptocurrencies conditional cross …
This paper uses new and recently established methodologies to study the evolutionary dynamics of the cryptocurrency market, and compares the findings with that of the equity market. We begin by applying random matrix theory and principal…
Extreme volatility, nonlinear dependencies, and systemic fragility are characteristics of cryptocurrency markets. The assumptions of normality and centralized control in traditional financial risk models frequently cause them to miss these…
We investigate connectedness within and across two major groups or assets: i) five popular cryptocurrencies, and ii) six major asset classes plus two commonly employed risk factors. Granger-causality tests uncover six direct channels of…
We propose a modelling framework for the optimal selection of crypto assets. Crypto assets differ by two essential features: security (technological) and stability (governance). Investors make choices over crypto assets similarly to how…
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets--risk-adjusted…
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…
We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…
In this paper, we investigate whether mixing cryptocurrencies to a German investor portfolio improves portfolio diversification. We analyse this research question by applying a (mean variance) portfolio analysis using a toolbox consisting…
We propose factor models for the cross-section of daily cryptoasset returns and provide source code for data downloads, computing risk factors and backtesting them out-of-sample. In "cryptoassets" we include all cryptocurrencies and a host…
Our analysis focuses on the stock cryptocurrency market, by studying a group of nineteen cryptocurrencies where their capitalisation is about 99% of the total market. Specifically, it is examined this group of cryptocurrencies for the…
The approval of the Bitcoin Spot ETF in January 2024 marked a transformative event in cryptocurrency markets, signaling increased institutional adoption and integration into traditional finance. This study examines Bitcoin's changing…
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distribution for these asset values which is in accordance with…
Cryptocurrencies are a type of digital money meant to provide security and anonymity while using cryptography techniques. Although cryptocurrencies represent a breakthrough and provide some important benefits, their usage poses some risks…
The goal of this paper is to explore the relationship between momentum effects and liquidity in cryptocurrency markets. Portfolios based on momentum-liquidity bivariate sorts are formed and rebalanced on a varying number of cryptocurrencies…
Correlations in complex systems are often obscured by nonstationarity, long-range memory, and heavy-tailed fluctuations, which limit the usefulness of traditional covariance-based analyses. To address these challenges, we construct scale…
A simple model-free and distribution-free statistic, the functional relationship between the number of "effective" degrees of freedom and portfolio size, or N*(N), is used to discriminate between two alternative models for the correlation…
Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own…
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the…
Cryptocurrencies are considered relevant assets and they are currently used as an investment or to carry out transactions. However, specific characteristics commonly associated with the cryptocurrencies such as irreversibility,…
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and…