A Time Series Analysis of Four Major Cryptocurrencies

Radovanov, Boris; Marcikić, Aleksandra; Gvozdenović, Nebojša

doi:10.22190/fueo1803271r

Cited by 4 publications

(2 citation statements)

References 12 publications

(13 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…These four cryptocurrencies constitute three fourths of the entire market. As reported in Radovanov et al (2018), although correlations vary between these cryptocurrencies, they are fundamentally different from each other because of their unit values, market capitalizations and user applications.…”

Section: Popular Cryptocurrenciesmentioning

confidence: 97%

Cryptocurrencies: applications and investment opportunities

Inci

Lagasse

2019

JCMS

View full text Add to dashboard Cite

Purpose This study investigates the role of cryptocurrencies in enhancing the performance of portfolios constructed from traditional asset classes. Using a long sample period covering not only the large value increases but also the dramatic declines during the beginning of 2018, the purpose of this paper is to provide a more complete analysis of the dynamic nature of cryptocurrencies as individual investment opportunities, and as components of optimal portfolios. Design/methodology/approach The mean-variance optimization technique of Merton (1990) is applied to develop the risk and return characteristics of the efficient portfolios, along with the optimal weights of the asset class components in the portfolios. Findings The authors provide evidence that as a single investment, the best cryptocurrency is Ripple, followed by Bitcoin and Litecoin. Furthermore, cryptocurrencies have a useful role in the optimal portfolio construction and in investments, in addition to their original purposes for which they were created. Bitcoin is the best cryptocurrency enhancing the characteristics of the optimal portfolio. Ripple and Litecoin follow in terms of their usefulness in an optimal portfolio as single cryptocurrencies. Including all these cryptocurrencies in a portfolio generates the best (most optimal) results. Contributions of the cryptocurrencies to the optimal portfolio evolve over time. Therefore, the results and conclusions of this study have no guarantee for continuation in an exact manner in the future. However, the increasing popularity and the unique characteristics of cryptocurrencies will assist their future presence in investment portfolios. Originality/value This is one of the first studies that examine the role of popular cryptocurrencies in enhancing a portfolio composed of traditional asset classes. The sample period is the largest that has been used in this strand of the literature, and allows to compare optimal portfolios in early/recent subsamples, and during the pre-/post-cryptocurrency crisis periods.

show abstract

Section: Popular Cryptocurrenciesmentioning

confidence: 97%

Cryptocurrencies: applications and investment opportunities

Inci

Lagasse

2019

JCMS

View full text Add to dashboard Cite

show abstract

“…Nowadays, the cryptocurrency market still has huge potential for growth as governments and corporations worldwide observed that the decentralized nature and blockchain technology could bring benefits. Therefore a lot of research is being conducted for regulated global usage [8]. From this perspective, as the cryptocurrency still has room to grow, we should expect the future growth of many cryptocurrencies, including the XRP.…”

Section: Promising Price Tendencymentioning

confidence: 99%

Ripple’s Market Competitiveness in the Long-term

Chen¹,

Wang²,

Zhong³

2021

Proceedings of the 2021 International Conference on Financial Management and Economic Transition (FMET 2021)

View full text Add to dashboard Cite

With Ripple becoming the first cross-border payment system open to global financial institutions globally, faster, safer, and cheaper cross-border payment by bypassing expensive intermediaries has been realized. This paper aims to explain how Ripple's long-term competitiveness can make such an efficient ecosystem and promote the development of global payment. This paper demonstrates Ripple's long-term competitiveness from three perspectives. Firstly, we compared the currency Ripple (XRP) with other cryptocurrencies in terms of future value-added, remittance fees, and currency exchange methods and show that XPR's historical value is relatively stable and its future expectation is promising. Secondly, from the basic principles and characteristics of RippleNet operation, this paper discusses the security and privacy protection advantages of the RippleNet system. Finally, from the perspective of the company Ripple Labs, this paper analyzes the supporting forces behind Ripple, which will help us better understand how Ripple stands out from other cryptocurrencies. This paper suggests that based on its cross-border payment services, Ripple has a strong competitive advantage over its peers either as a cryptocurrency and a cross-border payment tool (vehicle). This study also provides a reference for Ripple to demonstrate that it has a large market space and long-term competitiveness in cross-border payment, and virtual currency investment has entered a new frontier.

show abstract

Understanding the Blockchain Interoperability Graph Based on Cryptocurrency Price Correlation

Mazor,

Rottenstreich

2024

2024 IEEE International Conference on Blockchain (Blockchain)

View full text Add to dashboard Cite

A Time Series Analysis of Four Major Cryptocurrencies

Cited by 4 publications

References 12 publications

Cryptocurrencies: applications and investment opportunities

Cryptocurrencies: applications and investment opportunities

Ripple’s Market Competitiveness in the Long-term

Understanding the Blockchain Interoperability Graph Based on Cryptocurrency Price Correlation

Contact Info

Product

Resources

About