Are Cryptos becoming alternative Assets?
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- 4.7 Rating
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Are Cryptos becoming alternative Assets?
This research provides insights for the separation of cryptocurrencies from other assets.
-
- 4.7 Rating
- 1 Reviews
- 11 Students Enrolled
Requirements
- Basic knowledge of Statistics of Financial Markets, Time Series and Multivariate Analysis.
General Overview
Description
- This study sheds light on the distinction between cryptocurrencies and other assets. Using dimensionality reduction techniques, we show that the tail, memory, and moment factors of log returns explain the majority of the variation in cryptocurrencies, stocks, exchange rates, commodities, bonds, and real estate indexes.
- By applying various classification methods, cryptocurrencies are categorized as a separate asset class, mainly due to the tail factor. Using the Maximum Variance Components Split method, the main result is the complete separation of cryptocurrencies from other asset types.
- Furthermore, we demonstrate that cryptocurrencies tend to exhibit similar characteristics over time, becoming more distinct from other asset classes (synchronic evolution).
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Meet the instructors !
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About the Instructor
Daniel Traian Pele is a Prof. dr. Department of Statistics and Econometrics Faculty of Cybernetics, Statistics and Economic Informatics, The Bucharest University of Economic Studies. https://scholar.google.com/citations?user=tN32HYcAAAAJ&hl=en