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Profitability of technical trading rules among cryptocurrencies with privacy function
(Elsevier, 2020-03-18)
- article
This paper studies simple moving average trading strategies employing daily price data on the ten most-traded cryptocurrencies that exhibit the ‘privacy function’. Investigating the 2016–2018 period, our results indicate ...
When Bitcoin has the flu : on Bitcoin's performance to hedge equity risk in the early wake of the COVID-19 outbreak
(Taylor & Francis, 2020-06-26)
- article
Using the coronavirus COVID-19 outbreak as a set-up for a quasi-experiment, this study derives novel insights on the dynamic correlation between Bitcoin and US stocks. Given the unprecedented scale of infections and the ...
Technical trading rules in the cryptocurrency market
(Elsevier, 2020-01-01)
- article
This paper studies simple moving average trading strategies employing daily price data on the eleven most-traded cryptocurrencies in the 2016–2018 period. Our results indicate a variable moving average strategy is successful ...
When the blockchain does not block : on hackings and uncertainty in the cryptocurrency market
(Taylor & Francis, 2021-02-05)
- article
A total of 1.1 million bitcoins were stolen in the 2013–2017 period. Noting that the average price for a Bitcoin in 2018 was $7572 the corresponding monetary equivalent of losses is $8.9 billion highlighting the societal ...
Asset market equilibria in cryptocurrency markets : Evidence from a study of privacy and non-privacy coins
(Elsevier, 2021-07-27)
- article
This paper explores whether asset market equilibria in cryptocurrency markets do exist. In doing so, it distinguishes between privacy and non-privacy coins. Most recently, privacy coins have attracted increasing attention ...
On the stability of stablecoins
(Elsevier, 2021-09-17)
- article
This paper investigates the volatility processes of stablecoins and their potential stochastic interdependencies with Bitcoin volatility. We employ a novel approach to choose the optimal combination for the power law ...
What’s the expected loss when Bitcoin is under cyberattack? A fractal process analysis
(Elsevier, 2022-02-22)
- article
In the era of digitalization, cryptocurrencies have become an alternative asset for both retail and institutional investors. While the emerging digital ecosystem based on blockchain technology offers numerous advantages, ...
When Tether says “JUMP!” Bitcoin asks “How low?”
(Elsevier, 2022-06-06)
- article
While stablecoins such as Tether closely track the peg, there is some evidence for recurring spikes in stablecoins’ intraday volatilities rendering stablecoin volatilities unstable (Grobys et al., 2021). Using the ...
A multifractal model of asset (in)variances
(Elsevier, 2023-04-21)
- article
This study extends Mandelbrot’s (2008) multifractal model of asset returns to model realized variances across different time frequencies. In a comparative manner, various degrees of time deformations are explored for ...
A Fractal and Comparative View of the Memory of Bitcoin and S&P 500 Returns
(Elsevier, 2023-06-23)
- article
The majority of previous studies used autocorrelation-based methodologies to explore the dependency structure for Bitcoin, but this paper follows Benoit Mandelbrot in taking a fractal point of view. This perspective showed ...