A practical approach to cryptocurrency cross-sectional momentum
Autor(a) principal: | |
---|---|
Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/140472 |
Resumo: | This is the individual component of a “Quantitative Investment Strategy” Field Lab project. The purpose of this project is to create a practical and profitable cross-sectional momentum strategy in cryptocurrencies. The results show the existence of cross-sectional momentum both in and out of the sample, which is further enhanced through volatility scaling by using GARCH estimates. This provides a good method for containing cryptocurrency volatility. The strategy also demonstrates abnormal returns when tested against cryptocurrency and equity sources of risk. In the common part of the project, three individual strategies are combined through mean-variance allocation methods achieving even superior results. |
id |
RCAP_d7bb213a57fd75819661e51bbab30106 |
---|---|
oai_identifier_str |
oai:run.unl.pt:10362/140472 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
A practical approach to cryptocurrency cross-sectional momentumAsset pricingFinanceFinancial marketsCryptocurrencyCross-sectional momentumRisk scalingDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis is the individual component of a “Quantitative Investment Strategy” Field Lab project. The purpose of this project is to create a practical and profitable cross-sectional momentum strategy in cryptocurrencies. The results show the existence of cross-sectional momentum both in and out of the sample, which is further enhanced through volatility scaling by using GARCH estimates. This provides a good method for containing cryptocurrency volatility. The strategy also demonstrates abnormal returns when tested against cryptocurrency and equity sources of risk. In the common part of the project, three individual strategies are combined through mean-variance allocation methods achieving even superior results.Hirschey, NicholasRUNZancu, Gabriel Alexandru2022-06-22T08:49:31Z2022-01-102021-12-132022-01-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/140472TID:202973069enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:17:35Zoai:run.unl.pt:10362/140472Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:49:40.390486Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
A practical approach to cryptocurrency cross-sectional momentum |
title |
A practical approach to cryptocurrency cross-sectional momentum |
spellingShingle |
A practical approach to cryptocurrency cross-sectional momentum Zancu, Gabriel Alexandru Asset pricing Finance Financial markets Cryptocurrency Cross-sectional momentum Risk scaling Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
A practical approach to cryptocurrency cross-sectional momentum |
title_full |
A practical approach to cryptocurrency cross-sectional momentum |
title_fullStr |
A practical approach to cryptocurrency cross-sectional momentum |
title_full_unstemmed |
A practical approach to cryptocurrency cross-sectional momentum |
title_sort |
A practical approach to cryptocurrency cross-sectional momentum |
author |
Zancu, Gabriel Alexandru |
author_facet |
Zancu, Gabriel Alexandru |
author_role |
author |
dc.contributor.none.fl_str_mv |
Hirschey, Nicholas RUN |
dc.contributor.author.fl_str_mv |
Zancu, Gabriel Alexandru |
dc.subject.por.fl_str_mv |
Asset pricing Finance Financial markets Cryptocurrency Cross-sectional momentum Risk scaling Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Asset pricing Finance Financial markets Cryptocurrency Cross-sectional momentum Risk scaling Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This is the individual component of a “Quantitative Investment Strategy” Field Lab project. The purpose of this project is to create a practical and profitable cross-sectional momentum strategy in cryptocurrencies. The results show the existence of cross-sectional momentum both in and out of the sample, which is further enhanced through volatility scaling by using GARCH estimates. This provides a good method for containing cryptocurrency volatility. The strategy also demonstrates abnormal returns when tested against cryptocurrency and equity sources of risk. In the common part of the project, three individual strategies are combined through mean-variance allocation methods achieving even superior results. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-12-13 2022-06-22T08:49:31Z 2022-01-10 2022-01-10T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/140472 TID:202973069 |
url |
http://hdl.handle.net/10362/140472 |
identifier_str_mv |
TID:202973069 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799138095042396160 |