Portfolio management with cryptocurrencies: The role of estimation risk

Platanakis, Emmanouil; Urquhart, Andrew

doi:10.1016/j.econlet.2019.01.019

Cited by 115 publications

(20 citation statements)

References 25 publications

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“…Caporale and Zekokh (2019) criticized the use of GARCH in the single model, as it can fail to predict value-at-risk (VaR) and expected shortfall (ES) for cryptocurrency analysis, such as inefficiency risk-management, optimization of a portfolio, and derivative pricing. Platanakis and Urquhart (2019) stated that investors should be preferred in the portfolio management for cryptocurrencies by controlling estimation errors. Meanwhile, Nelson (2018) stated the impact of bubble cryptocurrency on Source: Data the monetary system is small and digital money cannot replace fiat money.…”

Section: Previous Research On Cryptocurrencymentioning

confidence: 99%

The requirements of cryptocurrency for money, an Islamic view

Siswantoro

Handika

Mita

2020

Heliyon

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This research aims to evaluate the suitability of cryptocurrency as money from the Islamic perspective. Money, in the Islamic perspective, has specific characteristics and requirements, such as stability and is based on assets. Cryptocurrency may not fulfil this as it has queries as money from the Islamic perspective. The research method applied data of 23 cryptocurrency prices and related information. The result shows that cryptocurrency is hugely volatile and has limits to being called 'money,' as it is limited and used for speculation, which is prohibited in Islam. The research implies that Muslims would be reluctant to use cryptocurrency as money, as a currency of transaction. This reason raise an expectation that the cryptocurrency will not develop rapidly in Muslim countries.

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Section: Previous Research On Cryptocurrencymentioning

confidence: 99%

The requirements of cryptocurrency for money, an Islamic view

Siswantoro

Handika

Mita

2020

Heliyon

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“…Cryptocurrencies attracted the attention of many people: from individuals interested in blockchain technology and payment processing activities to invest in them, to retailers, large corporate investors, investment fund managers, securities regulators, banking and accounting professionals, and even governments. It is virtual currency that has no connection with jurisdiction and legal regulation that exists in a public, computer-supported, network of people (Platanakis & Urquhart, 2019).…”

Section: Analysis Of Conceptual Aspects Of Cryptocurrenciesmentioning

confidence: 99%

“…Although Yi, Xu, and Wang (2018) consider the most interesting difference between crypto and traditional currencies is the fact that the first one creates a completely new payment system based on cryptographic protocols that can provide anonymity, low cost, and fast transaction execution. Platanakis and Urquhart (2019) argue that cryptocurrencies are not just payment systems and tools. Nowadays, it is a very popular investment tool that allows investors to earn income from sudden and hard-to-predict changes in cryptocurrency prices.…”

Section: Analysis Of Conceptual Aspects Of Cryptocurrenciesmentioning

confidence: 99%

Analysis of cryptocurrencies market: current situation, tendencies of household investment and future forecasting

Pieczulis

Taujanskaitė

2019

Proceedings of 6th International Scientific Conference Contemporary Issues in Business, Management and Economics Engineering ‘2

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Purpose – the purpose of this study is to analyse the cryptocurrency market and to forecast household investments in it from a theoretical and practical point of view. Research methodology – in order to achieve the aim of the article, scientific literature and statistical data analysis, comparative analysis and SWOT analysis were done. Also, ARIMA forecasting model was adapted to forecast Household investment in cryptocurrencies. Findings – the first part of the study presents the theoretical aspects of cryptocurrencies. An overview of the cryptocurrencies and their market is provided, focusing on the concept of Bitcoins, its’ mining and technical principles of operation. The second part of this study is intended to analyse the cryptocurrencies market and its dynamics. In the last part of the research tendencies of household investments in cryptocurrencies are examined for the period of 2016–2019 according to the data from cryptocurrency exchange. Also, household investments in cryptocurrencies are analysed and major future investment trends and seasonality are identified as well. Household future investment in cryptocurrencies is also predicted. Research limitations – data used in the research only includes currency exchange information, that may be inaccurate when concluding the main trends of the market. Practical implications – the practical results of the study may be useful for households interested in investing, especially in risky investment alternatives. Results of the research justify the dynamics of the currency market and the fluctuation of cryptocurrencies’ prices that shows that investment in cryptocurrencies is very variable, unstable and risky. Originality/Value – cryptocurrencies market is particularly dynamic and fast-changing, so the newest scientific investigations are urgent. In this research, an attempt was made to forecast household investment in main cryptocurrencies

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“…In a world in which there is a larger presence of ordinary investors and relatively little "smart money", one could expect to find evidence pointing towards the presence of inefficient and predictable price behavior. The efficiency and general characteristics of Bitcoin as a financial asset are of great interest, and have already been the subject of several studies, with mixed results [4][5][6][7][8][9][10][11][12][13] (see Corbet et al 14 for an overview). Several studies focusing on the price of Bitcoin at the intraday level are also available.…”

Section: Introductionmentioning

confidence: 99%

On the Intraday Behavior of Bitcoin

Nicola

2021

ledger

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We analyze the intraday time series of Bitcoin, comparing its features with those of traditional financial assets such as stocks and exchange rates. The results shed light on similarities as well as significant deviations from the standard patterns. In particular, our most interesting finding is the unusual presence of significant negative first-order autocorrelation of returns calculated on medium-frequency timeframes, such as one, two and four hours, signaling the presence of systematic mean reversion. It is also found that larger price movements lead to stronger reversals, in percentage terms. We finally point out the potential exploitability of the phenomenon by implementing a basic algorithmic trading strategy and retroactively applying it to the data. We explain the findings mainly through (i) investor and trader overreaction, (ii) excess volatility and (iii) cascading liquidations due to excessive use of leverage by market participants.

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Portfolio management with cryptocurrencies: The role of estimation risk

Cited by 115 publications

References 25 publications

The requirements of cryptocurrency for money, an Islamic view

The requirements of cryptocurrency for money, an Islamic view

Analysis of cryptocurrencies market: current situation, tendencies of household investment and future forecasting

On the Intraday Behavior of Bitcoin

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