Low-volatility strategies for highly liquid cryptocurrencies - 518070485.pdf
core.ac.uk
Using a sample of highly liquid cryptocurrencies from January 2017 to June 2021, this paper proposes a dynamic investment strategy that selects crypto- currencies based on their historical volatility and is complemented by a simple stop-loss rule. he early literature on CC prices investigates the ef
1 Users
0 Comments
2 Highlights
0 Notes
Top Highlights
- Using a sample of highly liquid cryptocurrencies from January 2017 to June 2021, this paper proposes a dynamic investment strategy that selects crypto- currencies based on their historical volatility and is complemented by a simple stop-loss rule.
- he early literature on CC prices investigates the efficiency and predictability and presents that CC prices are either inefficient or weakly efficient (Tiwari et al. (2018) and Wei (2018)). Focusing on the momentum strategies in CC markets, Grobys and Sapkota (2019) and Tzouvanas et al. (2020) show that these are profitable only in the short term.
Tags
Research
Event Driven
Paper
Domain
Ready to highlight and find good content?
Glasp is a social web highlighter that people can highlight and organize quotes and thoughts from the web, and access other like-minded people’s learning.