Are Cryptos becoming alternative Assets?

  • 4.7 Rating
  • 1 Reviews
  • 9 Students Enrolled

Are Cryptos becoming alternative Assets?

This research provides insights for the separation of cryptocurrencies from other assets.

  • 4.7 Rating
  • 1 Reviews
  • 9 Students Enrolled
  • Free
Tags:
Cryptocurrency Classification MVA MVCS Synchronicity



Courselet Content

1 courselets • 2 courselet components •

Requirements

  • Basic knowledge of Statistics of Financial Markets, Time Series and Multivariate Analysis.

Description

  • This study sheds light on the distinction between cryptocurrencies and other assets. Using dimensionality reduction techniques, we show that the tail, memory, and moment factors of log returns explain the majority of the variation in cryptocurrencies, stocks, exchange rates, commodities, bonds, and real estate indexes.
  • By applying various classification methods, cryptocurrencies are categorized as a separate asset class, mainly due to the tail factor. Using the Maximum Variance Components Split method, the main result is the complete separation of cryptocurrencies from other asset types.
  • Furthermore, we demonstrate that cryptocurrencies tend to exhibit similar characteristics over time, becoming more distinct from other asset classes (synchronic evolution).

 

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Last Updated 27th September 2022
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About the Instructor

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About the Instructor

Daniel Traian Pele Prof. dr. Department of Statistics and Econometrics Faculty of Cybernetics, Statistics and Economic Informatics The Bucharest University of Economic Studies https://scholar.google.com/citations?user=tN32HYcAAAAJ&hl=en

Student Feedback

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19-11-2021
Wolfgang Karl Härdle

This is such a great intro into the dynamics and risk management of cryptos!