Cryptocurrencies

What Is an Optimal Allocation to Cryptocurrencies?

18.January 2023

Cryptocurrencies are a very controversial asset class. Some people may hate it, others may glorify it, and a significant part may ignore it. But what’s the opportunity cost of complete ignorance? Are we able to numerically calculate it? That’s a hard question that Duchin, Solomon, Tu, and Wang tried to answer in their recent paper, and we will take a look at some of their findings and discuss it.

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How Much Are Bitcoin Returns Driven by News?

30.November 2022

The main theme of these days in the crypto world is unmistakenly clear, it’s the mayhem connected with the collapse of the FTX empire, insolvencies of various lenders, and questions about underlying holdings in GBTC OTC ETF and reserves of exchanges and Tether (or other stablecoins as well). With new information, nothing does paint a bright picture of this industry in the financial world now and in the near future. Calls for finally working regulations are getting stronger and stronger, while politicians (and central bankers) are still active on Central Bank Digital Currencies (CBDCs) proposals. While Bitcoin survived several crypto winters, long-term investors are continuing their DCA-ing and “stashing Satoshis” Are they safe? Do they pay attention to the surrounding news? In our blog entry, we will focus on the question of how news impact Bitcoin returns, being both the most famous cryptocurrency and also the one with the highest market capitalization.

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Skewness/Lottery Trading Strategy in Cryptocurrencies

21.June 2022

A recent spring 2022 crisis in the cryptocurrency market emphasized the importance of market-neutral crypto trading strategies. It’s not enough just to HODL crypto market and hope for the everlasting bull market. Therefore, we continue our series of research articles about the cryptocurrency market and offer an analysis of the skewness anomaly. So after our description of the skewness effect in commodities, an article about the multi-asset skewness strategy, and observation of the skewness/lottery effect in ETFs, we have one more asset class, where we can find lottery/skewness anomaly – in cryptocurrencies.

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Trend-following and Mean-reversion in Bitcoin

15.March 2022

Indisputably, trend-following and mean-reversion are two key concepts in quantitative investing or technical analysis. What about the Bitcoin? Are there trend-following or mean-reversion patterns? Or are both effects present and co-exist? In this short research, we examine how Bitcoin’s price is affected by its maximal or minimal price over the previous 10 to 50 days. Our finding shows that when the BTC is at the local maxima, it tends to continue trending upwards. Furthermore, the local minima are also connected with abnormal price action.

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Are There Seasonal Intraday or Overnight Anomalies in Bitcoin?

18.February 2022

At Quantpedia, we love seasonality effects, and our screener includes several strategies that exploit them. These anomalies are fascinating since they usually offer a favorable risk and reward ratio and are commonly invested only during short periods. Frequently, these strategies are valuable additions to portfolios because they are not that sensitive to overall market performance. This short article presents a brief examination of some possible Bitcoin seasonalities.

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Cryptocurrency Stablecoins – A Review of Recent Research

15.February 2022

Since January 2020, the annualized volatility of Bitcoin stands around 70%, 6-times the volatility of commodities like Gold or Oil, more than twice the volatility of the S&P 500, and 10 times the volatility of the EURUSD exchange rate. Stablecoins represent a specific category of cryptocurrencies aiming to keep their value stable against a benchmark asset, usually a fiat currency like the US dollar. So how do stablecoins work, and do they really offer needed stability?

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