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Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
Work
Year: 2021
Type: article
Abstract: In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the cryptocurrencies asset class. The empirical r... more
Source: Decisions in Economics and Finance
Authors Gianna Figà‐Talamanca, Sergio M. Focardi, Marco Patacca
Institutions University of Perugia, Pôle Universitaire Léonard de Vinci, University of Verona
Cites: 69
Cited by: 13
Related to: 10
FWCI: 3.534
Citation percentile (by year/subfield): 93.66
Topic: Blockchain Technology Applications and Security
Subfield: Information Systems
Field: Computer Science
Domain: Physical Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: hybrid
APC paid (est): $2,890
Funder Fondazione Cassa di Risparmio di Perugia
Grant ID 2018.0427.021