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加密货币的集体动态、多元化与最优投资组合构建

Collective Dynamics, Diversification and Optimal Portfolio Construction for Cryptocurrencies.

作者信息

James Nick, Menzies Max

机构信息

School of Mathematics and Statistics, University of Melbourne, Victoria 3010, Australia.

Beijing Institute of Mathematical Sciences and Applications, Tsinghua University, Beijing 101408, China.

出版信息

Entropy (Basel). 2023 Jun 13;25(6):931. doi: 10.3390/e25060931.

Abstract

Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as lacking rhyme or reason. There has been great speculation as to what role it plays in a diversified portfolio. For instance, is cryptocurrency exposure an inflationary hedge or a speculative investment that follows broad market sentiment with amplified beta? We have recently explored similar questions with a clear focus on the equity market. There, our research revealed several noteworthy dynamics such as an increase in the market's collective strength and uniformity during crises, greater diversification benefits across equity sectors (rather than within them), and the existence of a "best value" portfolio of equities. In essence, we can now contrast any potential signatures of maturity we identify in the cryptocurrency market and contrast these with the substantially larger, older and better-established equity market. This paper aims to investigate whether the cryptocurrency market has recently exhibited similar mathematical properties as the equity market. Instead of relying on traditional portfolio theory, which is grounded in the financial dynamics of equity securities, we adjust our experimental focus to capture the presumed behavioral purchasing patterns of retail cryptocurrency investors. Our focus is on collective dynamics and portfolio diversification in the cryptocurrency market, and examining whether previously established results in the equity market hold in the cryptocurrency market and to what extent. The results reveal nuanced signatures of maturity related to the equity market, including the fact that correlations collectively spike around exchange collapses, and identify an ideal portfolio size and spread across different groups of cryptocurrencies.

摘要

自诞生以来,加密货币市场常被描述为一个不成熟的市场,其特点是波动性大幅波动,有时甚至被形容为毫无规律可言。关于它在多元化投资组合中所起的作用,一直存在诸多猜测。例如,投资加密货币是一种通胀对冲手段,还是一种随市场情绪波动且贝塔系数放大的投机性投资?我们最近以股票市场为明确重点探讨了类似问题。在那里,我们的研究揭示了一些值得注意的动态,比如危机期间市场整体强度和一致性的增强、股票板块间(而非板块内)更大的多元化收益,以及存在一个“最佳价值”股票投资组合。本质上,我们现在可以对比在加密货币市场中识别出的任何成熟度潜在特征,并将其与规模大得多、历史更悠久且更成熟的股票市场进行对比。本文旨在研究加密货币市场近期是否展现出与股票市场类似的数学特性。我们不再依赖基于股票证券金融动态的传统投资组合理论,而是调整实验重点,以捕捉散户加密货币投资者假定的行为购买模式。我们关注的是加密货币市场中的集体动态和投资组合多元化,并考察股票市场中先前确立的结果在加密货币市场中是否成立以及在何种程度上成立。结果揭示了与股票市场相关的细微成熟度特征,包括在交易所崩溃时相关性集体飙升这一事实,并确定了理想的投资组合规模以及不同加密货币组别的分布情况。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/4b4f/10297033/6dba488f3f3f/entropy-25-00931-g001.jpg

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