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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 ...
Predicting cryptocurrency defaults
(Taylor & Francis, 2020-05-03)
- article
We examine all available 146 Proof-of-Work-based cryptocurrencies that started trading prior to the end of 2014 and track their performance until December 2018. We find that about 60% of those cryptocurrencies were eventually ...
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 ...
What do we know about the second moment of financial markets?
(Elsevier, 2021-11)
- article
Recent research shows that the vast majority of scientific studies published in leading finance journals fails scientific replication (Hou, Xue, and Zhang, 2020; Harvey, Liu, and Zhu; 2016). This study argues that p-hacking, ...
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 ...
Speculation and lottery-like demand in cryptocurrency markets
(Elsevier, 2021-01-09)
- article
This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns appear to be short-memory processes, we modify Bali, Cakici and ...
A Fractal View on Losses Attributable to Scams in the Market for Initial Coin Offerings
(MDPI, 2022-12-05)
- article
Analogous to traditional Initial Public Offerings (IPO), Initial Coin Offerings (ICOs) represent an emerging channel through which firms can access external funding using the new evolving digital financial market for tokens. ...
Is smart beta investing profitable? evidence from the Nordic stock market
(Routledge, Taylor & Francis Group, 2020-12-10)
- article
This study examines the profitability of the mixing and integrating approach for constructing multi-factor smart beta portfolios. While most studies explore this issue in a U.S. market setting, this is the first study that ...