Temat: cryptocurrency markets

Skocz do pozycji: 1.

Tytuł:: The adaptive market hypothesis and the return predictability in the cryptocurrency markets
Autorzy:: Karasiński, Jacek
Tematy:: cryptocurrency markets
adaptive market hypothesis
efficient market hypothesis
cryptocurrency return predictability
weak-form efficiency of cryptocurrency markets
martingale difference hypothesis; Pokaż więcej
Wydawca:: Uniwersytet Ekonomiczny w Poznaniu
Powiązania:: https://bibliotekanauki.pl/articles/2192168.pdf Link otwiera się w nowym oknie
Opis:: This study employs robust martingale diefrence hypothe sis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets in the context of the adaptive market hypothesis. The tests were applied to daily returns using the rolling window method in the research period from May 1, 2013 to September 30, 2022. The results of this study suggest that the returns of the majority of the examined cryptocurrencies were unpredictable most of the time. However, a great part of them also suefred some short periods of weak-form ineficien cy. The results obtained validate the adaptive market hy pothesis. Additionally, this study allowed the observation of some diefrences in return predictability between the examined cryptocurrencies. Also some historical trends in weak-form eficiency were identifed. The results suggest that the predictability of cryptocurrency returns might have decreased in recent years also no significant relation ship between market cap and predictability was observed. JEL codes: G14
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Cross-Sectional Interactions in Cryptocurrency Returns
Autorzy:: Będowska-Sójka, Barbara
Mercik, Aleksander
Karim, Sitara
Zaremba, Adam
Wydawca:: Elsevier
Cytata wydawnicza:: Mercik, A., Będowska-Sójka, B., Karim, S., & Zaremba, A. (2025). Cross-sectional interactions in cryptocurrency returns. International Review of Financial Analysis, 97, 103809. https://doi.org/10.1016/j.irfa.2024.103809
Opis:: We investigate interaction effects in cryptocurrency markets by constructing and evaluating double-sorted portfolios based on 40 different characteristics. Using a dataset of over 500 major coins and tokens from 2017 to 2023, we identify numerous significant interactions. The most pronounced effects arise from the interplay of liquidity, risk, and past return measures. An out-of-sample long-short strategy that selects the top and bottom interactions achieves a Sharpe ratio exceeding 1. However, network graph analysis and additional tests reveal that low liquidity, which raises transaction costs, can dampen trading activity and contribute to the persistence of these anomalies.
This work is supported by the National Science Centre in Poland through the project "Cross-Sectional Properties of Cryptocurrency Returns", no. 2021/41/B/HS4/02443" and COST Action CA19130 "Fintech and Artificial Intelligence in Finance - Towards a transparent financial industry". We also acknowledge the support of the Marie Skłodowska-Curie Actions under the European Union’s Horizon Europe research and innovation program for the Industrial Doctoral Network on Digital Finance, acronym: DIGITAL, Project No. 101119635, within the Diversity Team.
Dostawca treści:: Repozytorium Centrum Otwartej Nauki

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Skocz do pozycji: 3.

Tytuł:: Cryptocurrency anomalies and economic constraints
Autorzy:: Fieberg, Christian
Zaremba, Adam
Liedtke, Gerrit
Wydawca:: Elsevier
Cytata wydawnicza:: Fieberg, C., Liedtke, G., & Zaremba, A. (2024). Cryptocurrency anomalies and economic constraints. International Review of Financial Analysis, 94, 103218. https://doi.org/10.1016/j.irfa.2024.103218
Opis:: National Science Center of Poland [Grant no. 2021/41/B/HS4/02443]
The asset pricing literature documents a growing list of predictable patterns in the cross-section of cryptocurrency returns. But can they be forged into viable trading profits? We answer this question by examining the interplay between economic restrictions and return predictability in cryptocurrency markets. We find that size and volume anomalies originate from micro-cap coins of negligible economic importance. Conversely, the momentum effect prevails in larger cryptocurrencies but incurs substantial trading costs and extracts alphas largely from short positions. Most abnormal returns occur primarily in bull markets and fade over time. Therefore, protocols for identifying tradable cryptocurrency anomalies should focus on long positions, account for transaction costs, consider hard-to-trade coins, and emphasize performance in recent years.
Dostawca treści:: Repozytorium Centrum Otwartej Nauki

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Skocz do pozycji: 4.

Tytuł:: The Predictability of High-Frequency Returns in the Cryptocurrency Markets and the Adaptive Market Hypothesis
Autorzy:: Karasiński, Jacek
Tematy:: cryptocurrency markets
efficient market hypothesis [EMH]
predictability of returns
intraday returns
adaptive market hypothesis; Pokaż więcej
Wydawca:: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Powiązania:: https://bibliotekanauki.pl/articles/57257410.pdf Link otwiera się w nowym oknie
Opis:: The objective of this study was to examine the level and behaviour of the weak-form efficiency of the 16 most capitalised cryptocurrencies using intraday data. The study employed martingale difference hypothesis tests utilising the rolling window method. The predictability of high frequency returns varied over time. For most of the time, the cryptocurrencies were unpredictable. Nevertheless, their weak-form efficiency appeared to decrease along with an increase in frequency. In general, most cryptocurrencies were marked by high levels of unpredictability. However, there were some significant differences between the most and least efficient ones. To exploit market inefficiencies, investors should focus on higher frequencies. Higher frequencies should also be a concern to regulators when it comes to ensuring market efficiency.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 5.

Tytuł:: Machine learning and the cross-section of cryptocurrency returns
Autorzy:: Cakici, Nusret
Będowska-Sójka, Barbara
Shahzad, Syed Jawad Hussain
Zaremba, Adam
Wydawca:: Elsevier
Cytata wydawnicza:: Cakici, N., Shahzad, S. J. H., Będowska-Sójka, B., & Zaremba, A. (2024). Machine learning and the cross-section of cryptocurrency returns. International Review of Financial Analysis, 94, 103244. https://doi.org/10.1016/j.irfa.2024.103244
Opis:: National Science Center of Poland [Grant No. 2021/41/B/HS4/02443]
We employ a repertoire of machine learning models to investigate the cross-sectional return predictability in cryptocurrency markets. While all methods generate substantial economic gains—unlike in other asset classes—the benefits from model complexity are limited. Return predictability derives mainly from a handful of simple characteristics, such as market price, past alpha, illiquidity, and momentum. Contrary to the stock market, abnormal returns in cryptocurrencies originate from the long leg of the trade and persist over time. Furthermore, despite high portfolio turnover, most machine learning strategies remain profitable after trading costs. However, alphas are concentrated in hard-to-trade assets and critically depend on harvesting extreme returns on small, illiquid, and volatile coins.
Dostawca treści:: Repozytorium Centrum Otwartej Nauki

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Skocz do pozycji: 6.

Tytuł:: Non-standard errors in the cryptocurrency world
Autorzy:: Fieberg, Christian
Poddig, Thorsten
Günther, Steffen
Zaremba, Adam
Wydawca:: Elsevier
Cytata wydawnicza:: Fieberg, C., Günther, S., Poddig, T., & Zaremba, A. (2024). Non-standard errors in the cryptocurrency world. International Review of Financial Analysis, 92, 103106. https://doi.org/10.1016/j.irfa.2024.103106
Opis:: National Science Center of Poland, Grant No. 2021/41/B/HS4/02443
Motivated by recent findings from the equity market, we investigate non-standard errors in cryptocurrency research. We examine ten prevalent decisions related to data sources, sample preparation, and portfolio construction, generating 20,736 research designs for 43 sorting variables. Our findings reveal remarkable variation in portfolio performance tied to seemingly trivial choices. The non-standard errors in cryptocurrency studies not only surpass those in the stock market but also clearly exceed standard errors—though varying considerably across coin characteristics. Notwithstanding the above, the most prominent cryptocurrency factors, such as size and momentum, remain consistently robust across numerous specifications. Lastly, we find that reducing the influence of the smallest coins effectively decreases the non-standard errors.
Dostawca treści:: Repozytorium Centrum Otwartej Nauki

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Skocz do pozycji: 7.

Tytuł:: Risk of investment in cryptocurrencies
Ryzyko inwestycji w kryptowaluty
Autorzy:: Kozak, S.
Gajdek, S.
Tematy:: investment
financial markets
cryptocurrency
risk; Pokaż więcej
Wydawca:: Akademia Bialska Nauk Stosowanych im. Jana Pawła II w Białej Podlaskiej
Powiązania:: https://bibliotekanauki.pl/articles/2048628.pdf Link otwiera się w nowym oknie
Opis:: Subject and purpose of work: Cryptocurrencies are a phenomenon that has been strengthening its place in the world of finance for over ten years and which is becoming a frequent investment tool. The aim of this study is to compare the level of risk measures of investments in the cryptocurrency market with investments in global capital markets in 2011-2020. Materials and methods: The study used the quotations of the analysed instruments. The level of risk was estimated using standard deviation and semi-standard deviation of daily logarithmic rates of return. Results: Investment in cryptocurrencies is more risky than in shares of the largest international companies. The level of risk decreases with the duration of the cryptocurrency presence on the market. Conclusions: Achieving extraordinary rates of return generates an increased demand and volatility of cryptocurrencies’ quotations. The level of risk of investing in cryptocurrencies is much higher than in the indexes of global capital exchanges.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 8.

Tytuł:: The emergence and development of the cryptocurrency as a sign of global financial markets financialisation
Autorzy:: Poskart, Robert
Tematy:: cryptocurrency
financialisation
global financial markets; Pokaż więcej
Wydawca:: Instytut Naukowo-Wydawniczy "SPATIUM"
Powiązania:: https://bibliotekanauki.pl/articles/17837941.pdf Link otwiera się w nowym oknie
Opis:: The article presents one of the most important, in the author's opinion, manifestations of further intensification of the processes of financialisation of global financial markets, which was the emergence of decentralized digital currencies (so-called cryptocurrencies) based on blockchain technology. Their creation and existence on the global financial market have been widely considered as one of significant effect of the global financial crisis, which symbolic beginning is September 15, 2008, when one of the largest US investment banks Lehman Brothers collapsed. The worldwide COVID-19 pandemic has only highlighted the importance of this effect of financialization. The purpose of the article is to present the impact of cryptocurrencies, including bitcoin, on the deepening of the processes of financialisation of modern financial markets. Author analysis is based on statistical data, on the literature review and documents of world financial institutions.
Dostawca treści:: Biblioteka Nauki

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