Бібліографічний опис:
Balakirska Alisa. Identification of Risk Factors for Predicting Cryptocurrency Returns. Bachelor Thesis. Ukrainian Catholic University, Faculty of Applied Sciences, Department of Computer Sciences. Lviv 2022, 37 p.
Короткий опис (реферат):
In this research we consider a comprehensive list of price- and market-related
return predictors in the cryptocurrency market. Using the long-short strategies we
formed a set of available characteristics at the daily and weekly frequencies. We further
implement equal- and value-weighted portfolios and find a number of cryptocurrency
characteristics that are successfully predicting their returns. Specifically, a number
of cryptocurrency characteristics form successful long-short strategies that generate
sizable and statistically significant returns.
