Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies

N James, M Menzies - Entropy, 2023 - mdpi.com
Since its conception, the cryptocurrency market has been frequently described as an
immature market, characterized by significant swings in volatility and occasionally described …

Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time

N James, M Menzies - Nonlinear Dynamics, 2022 - Springer
This paper introduces new methods to study behaviours among the 52 largest
cryptocurrencies between 01-01-2019 and 30-06-2021. First, we explore evolutionary …

Shannon Entropy: An econophysical approach to cryptocurrency portfolios

N Rodriguez-Rodriguez, O Miramontes - Entropy, 2022 - mdpi.com
Cryptocurrency markets have attracted many interest for global investors because of their
novelty, wide on-line availability, increasing capitalization, and potential profits. In the …

The structure of cryptocurrency returns

A Shams - Fisher College of business working paper, 2020 - papers.ssrn.com
This paper documents a persistent structure in cryptocurrency returns and analyzes a broad
set of characteristics that explain this structure. The results show that similarities in size …

Dynamic interdependence of cryptocurrency markets: An analysis across time and frequency

S Qureshi, M Aftab, E Bouri, T Saeed - Physica A: Statistical Mechanics and …, 2020 - Elsevier
The extreme price swings and complexity in cryptocurrency markets drives multifarious
research into co-movements, in both time and frequency, among cryptocurrencies. In this …

Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities

N James - Physica D: Nonlinear Phenomena, 2022 - Elsevier
This paper uses new and recently established methodologies to study the evolutionary
dynamics of the cryptocurrency market, and compares the findings with that of the equity …

Evolutionary dynamics of the cryptocurrency market

A ElBahrawy, L Alessandretti… - Royal Society …, 2017 - royalsocietypublishing.org
The cryptocurrency market surpassed the barrier of $100 billion market capitalization in
June 2017, after months of steady growth. Despite its increasing relevance in the financial …

What is mature and what is still emerging in the cryptocurrency market?

S Drożdż, J Kwapień, M Wątorek - Entropy, 2023 - mdpi.com
In relation to the traditional financial markets, the cryptocurrency market is a recent invention
and the trading dynamics of all its components are readily recorded and stored. This fact …

The cryptocurrency market in transition before and after COVID-19: An opportunity for investors?

APN Nguyen, TT Mai, M Bezbradica, M Crane - Entropy, 2022 - mdpi.com
We analyze the correlation between different assets in the cryptocurrency market throughout
different phases, specifically bearish and bullish periods. Taking advantage of a fine-grained …

Dynamic asymmetric dependence and portfolio management in cryptocurrency markets

D Li, Y Shi, L Xu, Y Xu, Y Zhao - Finance Research Letters, 2022 - Elsevier
As a new form of digital assets based on blockchain technology, the cryptocurrency has
received increasing attention from researchers and practitioners. However, less attention …