SSRNCrypto & DeFi
Cointegrated Portfolios and Volatility modeling in the Cryptocurrency Market
The study finds a correlation between cryptocurrency market volatility and trading spread, suggesting portfolios based on the Johansen procedure yield the highest returns.
Featured in No. 40 on 13 Mar 2024 · 2 days after release · 1 citation today
- Released
- 11 Mar 2024
- First featured
- No. 40 · 13 Mar 2024
- Citations (Semantic Scholar)
- 1
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 4
- Identifier
- SSRN 4756389
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).