A practical approach to cryptocurrency cross-sectional momentum

Detalhes bibliográficos
Autor(a) principal: Zancu, Gabriel Alexandru
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.
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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
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