Related papers: Quantifying Crypto Portfolio Risk: A Simulation-Ba…
Stablecoins - crypto tokens whose value is pegged to a real-world asset such as the US Dollar - are an important component of the DeFi ecosystem as they mitigate the impact of token price volatility. In crypto-backed stablecoins, the peg is…
The remarkable growth of digital assets, starting from the inception of Bitcoin in 2009 into a 1 trillion market in 2024, underscores the momentum behind disruptive technologies and the global appetite for digital assets. This paper…
The aim of this paper is to describe a new an integrated methodology for project control under uncertainty. This proposal is based on Earned Value Methodology and risk analysis and presents several refinements to previous methodologies.…
We study portfolio optimization of four major cryptocurrencies. Our time series model is a generalized autoregressive conditional heteroscedasticity (GARCH) model with multivariate normal tempered stable (MNTS) distributed residuals used to…
Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow decay of their time correlations. For an explanation models with several mechanisms and consequently many parameters as the…
We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as well as the fiber bundle model, the…
In this paper we consider a fractional stochastic volatility model, that is a model in which the volatility may exhibit a long-range dependent or a rough/antipersistent behavior. We propose a dynamic sequential Monte Carlo methodology that…
A fractal approach to the long-short portfolio optimization is proposed. The algorithmic system based on the composition of market-neutral spreads into a single entity was considered. The core of the optimization scheme is a fractal walk…
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financial network model using a bipartite graph of financial…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional…
There is a great number of factors to take into account when building and managing an investment portfolio. It is widely believed that a proper set-up of the portfolio combined with a good, robust management strategy is the key to…
Investments in cryptocurrencies (CCs) remain risky due to high volatility. Exchange Traded Funds (ETFs) are a suitable tool to diversify risk and to benefit from the growth of the whole CC sector. We construct an ETF on the CRIX, the…
Cryptocurrency trading has attracted tremendous attention from both retail and institutional investors. However, most traders fail to scale their assets under management due to fragile strategies that collapse during adverse markets. The…
This paper proposes an important extension to Conditional Value-at-Risk (CoVaR), the popular systemic risk measure, and investigates its properties on the cryptocurrency market. The proposed Vulnerability-CoVaR (VCoVaR) is defined as the…
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…
Thanks to the high potential for profit, trading has become increasingly attractive to investors as the cryptocurrency and stock markets rapidly expand. However, because financial markets are intricate and dynamic, accurately predicting…
This paper addresses the importance of incorporating various risk measures in portfolio management and proposes a dynamic hybrid portfolio optimization model that combines the spectral risk measure and the Value-at-Risk in the mean-variance…
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility…
Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of…