This paper examines the extent to which herding and feedback trading behaviors drive price
dynamics across nine major cryptocurrencies. Using sample price data from bitcoin …

The Sharpe ratio is adequate for evaluating investment funds when the returns of those
funds are normally distributed and the investor intends to place all his risky assets into just …

Bitcoin is emerging as a distinct asset class among investors given its seemingly detached
price behavior relative to market and economic fundamentals. Its incomparably high returns …

Many institutional investors use the traditional Sharpe ratio today to examine the risk-
adjusted performance of funds of hedge funds (FOFs). However, this could pose problems …

" An excellent and comprehensive source of information on hedge funds! From a quantitative
view Lhabitant has done it once again by meticulously looking at the important topics in the …

Are cryptocurrencies useful minimum‐variance hedging instruments? This paper develops a
two‐step analytical framework to explore this question across time. First, it estimates …

Using a rich data set of transaction-level buy and sell orders from the major digital currency
exchange Coinbase, we formulate a measure for investor sentiment and shed new evidence …

Hedge funds have return peculiarities not commonly associated with traditional investment
vehicles. Specifically, hedge funds seem more inclined to produce return distributions with …

We analyze how the return connectedness between cryptocurrencies and environmental
market indexes evolves in the last decade. The current study is the first to examine whether …

The spectacular nature of bitcoin price crashes baffles market spectators and prompts
routine warnings from regulators cautioning that cryptocurrencies behave in contra to the …