In this recently released study, the effects of momentum and contrarian strategies on the cryptocurrency market were investigated and analysed. The momentum and contrarian strategies were executed on the top…
Introduction The experience of the recent years as well as research results and regulatory requirements suggest the consideration of market regimes. Nevertheless, the largest part of today’s financial risk management…
This paper by Michele Ca’Zorzi and Michał Rubaszek claims to offer a formula for exchange rate forecasting so simple it can be calculated on the back of a napkin. The ‘back of…
Beta is generally considered a measure of an instrument’s risk in comparison to the overall risk of an industry or portfolio. There are structural limitations of the FX market which…
The main research question of this article is whether there is value in combining technical and macro/fundamental strategies. Two strategies are tested individually, then three variations of the combined strategies are tested…
This article focuses on the effective calibration of a quantitative model to a specific data set using a novel method in the form of machine learning. It provides an alternative…
This article proposes the primary research question: does FX volume contain information that is statistically and economically relevant for understanding future currency returns? The findings suggest that low volume tends…
The purpose of this paper is to analyze whether order book (buy and sell) data can be used as a short-term predictor of Bitcoin (BTC) volatility against the US Dollar.…
This article from Factor Research discusses several traditional quantitative investment strategies applied to seven popular cryptocurrencies—Bitcoin, Ethereum, Ripple, Litecoin, Dash, NEM and Monero, which were selected because they each have…
This paper seeks to determine whether public sentiment, as measured in Twitter posts, can be used as a predictor of stock market performance. Two sources of public mood are used—OpinionFinder…
