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The rapidly evolving cryptocurrency market presents unique challenges for investment due to its inherent volatility and evolving regulatory environment. Collective price movements can be exploited to construct diversified portfolios with…
The growing interest in cryptocurrencies has drawn the attention of the financial world to this innovative medium of exchange. This study aims to explore the impact of cryptocurrencies on portfolio performance. We conduct our analysis…
This paper will propose a novel machine learning based portfolio management method in the context of the cryptocurrency market. Previous researchers mainly focus on the prediction of the movement for specific cryptocurrency such as the…
Many cryptocurrency brokers nowadays offer a variety of derivative assets that allow traders to perform hedging or speculation. This paper proposes an effective algorithm based on neural networks to take advantage of these investment…
Cryptocurrencies (CCs) have risen rapidly in market capitalization over the last years. Despite striking price volatility, their high average returns have drawn attention to CCs as alternative investment assets for portfolio and risk…
In this work, we consider weighted signed network representations of financial markets derived from raw or denoised correlation matrices, and examine how negative edges can be exploited to reduce portfolio risk. We then propose a discrete…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
Portfolio optimization has long been dominated by covariance-based strategies, such as the Markowitz Mean-Variance framework. However, these approaches often fail to ensure a balanced risk structure across assets, leading to concentration…
Portfolio management is the decision-making process of allocating an amount of fund into different financial investment products. Cryptocurrencies are electronic and decentralized alternatives to government-issued money, with Bitcoin as the…
Maintaining a balance between returns and volatility is a common strategy for portfolio diversification, whether investing in traditional equities or digital assets like cryptocurrencies. One approach for diversification is the application…
This paper derives an optimal portfolio that is based on trend-following signal. Building on an earlier related article, it provides a unifying theoretical setting to introduce an autocorrelation model with the covariance matrix of trends…
The rapid growth of crypto markets has opened new opportunities for investors, but at the same time exposed them to high volatility. To address the challenge of managing dynamic portfolios in such an environment, this paper presents a…
Designing an optimum portfolio that allocates weights to its constituent stocks in a way that achieves the best trade-off between the return and the risk is a challenging research problem. The classical mean-variance theory of portfolio…
Stock price prediction is a challenging task and a lot of propositions exist in the literature in this area. Portfolio construction is a process of choosing a group of stocks and investing in them optimally to maximize the return while…
Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as lacking rhyme or reason. There has been great speculation…
In this paper, the cross-correlations of cryptocurrency returns are analysed. The paper examines one years worth of data for 146 cryptocurrencies from the period January 1 2019 to December 31 2019. The cross-correlations of these returns…
Portfolio management is essential for any investment decision. Yet, traditional methods in the literature are ill-suited for the characteristics and dynamics of cryptocurrencies. This work presents a method to build an investment portfolio…
Modern Portfolio Theory (MPT) prescribes how to maximise the return of an asset portfolio for a given level of risk. The optimal trade-off between return and variance defines the efficient frontier. Whether actual cryptoasset portfolios…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…