Related papers: Collective dynamics, diversification and optimal p…
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…
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including the cryptocurrency market, belong to the economical sphere…
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…
Cryptocurrency markets are highly volatile and influenced by both price trends and market sentiment, making effective portfolio management challenging. This paper proposes a dynamic cryptocurrency portfolio strategy that integrates…
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…
In recent years, the tendency of the number of financial institutions including cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital assets to be included by asset managers. Although they have…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…
Cryptocurrency is a well-developed blockchain technology application that is currently a heated topic throughout the world. The public availability of transaction histories offers an opportunity to analyze and compare different…
The efficient market hypothesis has far-reaching implications for financial trading and market stability. Whether or not cryptocurrencies are informationally efficient has therefore been the subject of intense recent investigation. Here, we…
The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of…
Optimization methods are used to determine equilibria of investment in cryptocurrencies. The basic assumptions involve existence of a core group (the "wealthy") that fears the loss of substantial assets through government seizure.…
The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…
Being archetypal complex systems, financial markets exhibit rich set of dynamics in their interactions. In this paper, we focus on the recently evolved cryptocurrency market as an example of a complex system and analyse the evolution of…
The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger…
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…
Cryptocurrencies have evolved into an important asset class, providing a variety of benefits. However, they also present significant risks, such as market volatility and the potential for misuse in illegal activities. These risks underline…
Cryptocurrencies are considered the latest innovation in finance with considerable impact across social, technological, and economic dimensions. This new class of financial assets has also motivated a myriad of scientific investigations…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
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…