A network-based strategy of price correlations for optimal cryptocurrency portfolios

被引：6

作者：

Jing, Ruixue ^{[1
,3
]}

Rocha, Luis E. C. ^{[1
,2
]}

机构：

[1] Univ Ghent, Dept Econ, Ghent, Belgium

[2] Univ Ghent, Dept Phys & Astron, Ghent, Belgium

[3] St Pieterspl 5, B-9000 Ghent, Belgium

来源：

FINANCE RESEARCH LETTERS | 2023年 / 558卷

关键词：

Cryptocurrency; Network model; Portfolio; Optimisation; Price correlation; Financial market; DIVERSIFICATION; LSTM;

D O I：

10.1016/j.frl.2023.104503

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A cryptocurrency is a digital asset maintained by a decentralised system using cryptography. The complex correlations between the cryptocurrencies' prices may be exploited to understand the market dynamics and build efficient investment portfolios. We use network methods to select cryptocurrencies and the Markowitz Portfolio Theory to create portfolios that are agnostic to future market behaviour. The performance of our network-based portfolios is optimal with 46 cryptocurrencies and superior to benchmarks for short-term investments, reaching up to 1, 066% average expected returns within 1 day. Cryptocurrency portfolio investment may be competitive but calls for caution given the high variability of prices.

引用

页数：8

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