Crypto Research Drop
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This thread covers an introduction into crypto. It explores trend and momentum, intraday trading and market structures. Lastly, we look at vol.
1) Introduction
2) Trend Momo
3) Intraday
4) Seasonality & Structure
5) Volatility
*****************************
This thread covers an introduction into crypto. It explores trend and momentum, intraday trading and market structures. Lastly, we look at vol.
1) Introduction
2) Trend Momo
3) Intraday
4) Seasonality & Structure
5) Volatility
1) For an introduction into crypto read the paper titled "An Investor's Guide to Crypto" by Man Group.
papers.ssrn.com
papers.ssrn.com
1) "Out of 9943 cryptocurrencies, we have restricted our analysis to the 7111 with at least 200 price-return observations. The median length of these time series is 446 observations." arxiv.org
2) "Daily, weekly, and monthly horizons. It shows that the price-based signals are more effective than the volume-based signals in the short horizon (daily and weekly), while the volume-based signals are more powerful in the long horizon (monthly)." papers.ssrn.com
2) "evidence supporting the existence of a short-term momentum anomaly in blockchain based digital assets" Cross-sectional Momentum in Cryptocurrency Markets.
papers.ssrn.com
papers.ssrn.com
2) Intraday trade time in other markets.
The Dynamics of Intraday Trade-time Outcomes
"We uncover evidence of imperfectly-competitive liquidity provision: price reversals in less active markets but momentum in active ones." papers.ssrn.com
The Dynamics of Intraday Trade-time Outcomes
"We uncover evidence of imperfectly-competitive liquidity provision: price reversals in less active markets but momentum in active ones." papers.ssrn.com
2) Understanding Cryptocoins Trends Correlations arxiv.org "evaluation of the correlations between BTC, Ether and 66 other alt-coins. Our analysis shows strong correlations, suggesting alt-coins follow closely the trends of the two main ones."
3) Intraday: Pure Momentum in Cryptocurrency Markets
assets.ctfassets.net
assets.ctfassets.net
3) Seasonality, Trend-following, and Mean reversion in Bitcoin papers.ssrn.com "This research examines seasonality effects such as when the major NYSE opened or closed and their intraday, overnight, or daily components." Need to test on multi exchange data.
4) Momentum in Bitcoin: A Life of Crises
"We describe at least ten new events, which occurred since 2010-2011 ... We find that those events have a similar duration of approx. 50-100 days. Although we are not able to predict times of a price peak" papers.ssrn.com
"We describe at least ten new events, which occurred since 2010-2011 ... We find that those events have a similar duration of approx. 50-100 days. Although we are not able to predict times of a price peak" papers.ssrn.com
4) "analysis shows that the Bitcoin exchange rate shares some characteristics of commodity currencies with crash risk. This suggests that Bitcoin behaves as a currency between fiat money and a crypto-commodity used for trading and investment purposes." papers.ssrn.com
4) The Financialization of Crypto: Lessons from FTX and the Crypto Winter of 2022-2023 papers.ssrn.com
4) "find that crypto-assets have become neither "digital gold" nor a "safe-haven asset" in times of crisis. Their correlations with equities have increased over time, reflecting increasing institutional involvement in cryptos." papers.ssrn.com
4) A Review of Cryptoasset Market Structure and Regulation in the United States papers.ssrn.com
4) "Our results indicate that the cryptocurrencies cannot be considered as a safe haven for the financial investments." arxiv.org
5) VCRIX - a volatility index for crypto-currencies
"VCRIX is built based on CRIX and offers a forecast based on the Heterogeneous Auto-Regressive (HAR) model." papers.ssrn.com
"VCRIX is built based on CRIX and offers a forecast based on the Heterogeneous Auto-Regressive (HAR) model." papers.ssrn.com
5) "The HAR model was selected as the most suitable out of a horse race of volatility models, with two proxies for implied volatility, namely the 30 days mean annualized volatility and realized volatility."
5) "Indeed, we show that for extreme levels of volatility, Bitcoin does not reduce the risk if added to a benchmark equity portfolio. This is not only true on average but also holds for sub-samples" papers.ssrn.com
5) Which factors drive Bitcoin volatility: macroeconomic, technical, or both? papers.ssrn.com
5) Volatility and the Day of the Week Effect on Bitcoin Returns papers.ssrn.com
"was determined that the day with the highest return was Monday and the day with the highest volatility in return was Saturday."
Shoutout to the wkend degens for the vol.
"was determined that the day with the highest return was Monday and the day with the highest volatility in return was Saturday."
Shoutout to the wkend degens for the vol.
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