Using Principal Component Analysis on Crypto Correlations to Build a Diversified Portfolio

Guinda, María; Bhattacharyya, Ritabrata

doi:10.51483/ijccr.1.1.2021.26-50

Cited by 1 publication

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“…Guinda & Bhattacharyya, [32] unearthed that 80% of crypto coin asset selection is positive, beginning with ETH crypto assets with bearish periods that have been proven to fluctuate in an erratic positive and negative direction when used to protect their portfolio capital at diversification considerations of the portfolio . : IWPP positively affects the selection of crypto price valuation…”

Section: The Relationship Of Investment Weight Price Period To Crypto...mentioning

confidence: 99%

“…These results show that investors' expectations of returns on the value of crypto assets can be reduced using these cryptocurrencies. Concurrently with the selection indicator for cryptocurrency coin investment price weights where [31] through the development of crypto assets up until now in investments that have the potential to be diversified by portfolio expectations can increase from cryptocurrency returns (IWPP +) to investor expectations which will decrease or make investors warier of investing in crypto assets [32].…”

Section: The Interpretation Of Ols Modelmentioning

confidence: 99%

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Crypto Price Prediction as an Investment Opportunity: An Empirical Study of Three Global Cryptocurrencies

Taryanto

Syahbandi

Wendy

et al. 2023

AJEBA

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Aims: To determine the investment feasibility of evaluating cryptocurrency opportunities as an investment product under the possibility of crypto price valuation selection. The study analyzes three indicators: asset price returns in unrelated time, selection of cryptocurrency investment price weights, and crypto price forward contract opportunities on ARCH-GARCH probability forecasts in the selection of price valuations by individual cryptocurrency prices. Study Design: Quantitative research. Place and Duration of Study: The period from 10 September 2021 to 4 September 2022 using sample data downloaded from the Yahoo Finance website database with metric data retrieval bound in amount, data quantity, or distance relative to writing opportunities to examine the distribution of the amount of research data. Methodology: This study employed Bitcoin (BTC), Ethereum (ETH), and Tether (USDT) cryptocurrencies as the research objects with used panel and multiple regression analysis methodologies and using forecasting the appropriate ARCH and GARCH methods Results: The results show that the prediction of future crypto price selection in BTC and ETH tokens has a probability of 78.6% and 59.6%, respectively. The study highlights the prediction of future BTC and ETH price selection with 79.21% and 78.64% forecast results as found in the ARCH-GARCH(1, 0, 1) technique. Meanwhile, USDT token has no possibility to be forecasted in the future, leaving a 7.3% possibility of crypto price selection under probability by investors in the form of high (or different) price fluctuation inequalities. Conclusion: Conclusions could state that the partial (combined) selection of crypto coin price assessments and individual crypto assets can reduce the expected return from the selection of the asset price so that this form of investment in crypto assets can reduce the level of observation of return on wealth from crypto assets for investors especially in expecting the chance on that investment.

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Section: The Relationship Of Investment Weight Price Period To Crypto...mentioning

confidence: 99%

Section: The Interpretation Of Ols Modelmentioning

confidence: 99%

Crypto Price Prediction as an Investment Opportunity: An Empirical Study of Three Global Cryptocurrencies

Taryanto

Syahbandi

Wendy

et al. 2023

AJEBA

View full text Add to dashboard Cite

show abstract

Using Principal Component Analysis on Crypto Correlations to Build a Diversified Portfolio

Cited by 1 publication

References 0 publications

Crypto Price Prediction as an Investment Opportunity: An Empirical Study of Three Global Cryptocurrencies

Crypto Price Prediction as an Investment Opportunity: An Empirical Study of Three Global Cryptocurrencies

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