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Are cryptos becoming alternative assets?

Daniel Traian Pele Department of Statistics and Econometrics, Faculty of Cybernetics, Statistics and Economic Informatics, The Bucharest University of Economic Studies, Bucharest, Romania Niels Wesselhöfft Humboldt-Universität zu Berlin, IRTG Berlin, Germany Wolfgang Karl Härdle Blockchain Research Center, Humboldt-Universität zu Berlin, Berlin, Germany; Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, People's Republic of China; Sim Kee Boon Institute for Financial Economics, Singapore Management University, Singapore Singapore; Faculty of Mathematics and Physics, Charles University, Praha, Czech Republic; National Chiao Tung University, Hsinchu, Taiwan Michalis Kolossiatis Department of Mathematics and Statistics, University of Cyprus, Nicosia, Cyprus;i Central Bank of Cyprus, Nicosia, Cyprus Yannis G. Yatracos Yau Mathematical Sciences Center, Tsinghua University, and Beijing Institute of Mathematical Sciences and Applications, Beijing, People's Republic of China

TBD mathscidoc:2206.43021

The European Journal of Finance, 2021.8
This research provides insights for the separation of cryptocurrencies from other assets. Using dimensionality reduction techniques, we show that most of the variation among cryptocurrencies, stocks, exchange rates, commodities, bonds, and real estate indexes can be explained by the tail, memory and moment factors of their log-returns. By applying various classification methods, cryptocurrencies are categorized as a separate asset class, mainly due to the tail factor. The main result is the complete separation of cryptocurrencies from the other asset types, using the Maximum Variance Components Split method. Additionally, we show that cryptocurrencies tend to exhibit similar characteristics over time and become more distinguished from other asset classes (synchronic evolution).
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[ Download ] [ 2022-06-21 16:33:51 uploaded by yatracos ] [ 9653 downloads ] [ 0 comments ] 
@inproceedings{daniel2021are,
  title={Are cryptos becoming alternative assets?},
  author={Daniel Traian Pele, Niels Wesselhöfft, Wolfgang Karl Härdle, Michalis Kolossiatis, and Yannis G. Yatracos},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20220621163351469005422},
  booktitle={The European Journal of Finance},
  year={2021},
}
Daniel Traian Pele, Niels Wesselhöfft, Wolfgang Karl Härdle, Michalis Kolossiatis, and Yannis G. Yatracos. Are cryptos becoming alternative assets?. 2021. In The European Journal of Finance. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20220621163351469005422.
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