英文标题：
《Momentum and liquidity in cryptocurrencies》
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作者：
Stjepan Begu\\v{s}i\\\'c, Zvonko Kostanj\\v{c}ar
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最新提交年份：
2019
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英文摘要：
The goal of this paper is to explore the relationship between momentum effects and liquidity in cryptocurrency markets. Portfolios based on momentum-liquidity bivariate sorts are formed and rebalanced on a varying number of cryptocurrencies through time. We find a strong momentum effect in the most liquid cryptocurrencies, which supports the theories of investor herding behavior. Moreover, we propose two profitable long-only strategies: the illiquid losers and liquid winners, which exhibit improved risk adjusted performance over the market capitalization weighted portfolio.
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中文摘要：
本文旨在探讨加密货币市场中动量效应与流动性之间的关系。基于动量流动性双变量分类的投资组合形成，并随着时间的推移在不同数量的加密货币上重新平衡。我们在流动性最强的加密货币中发现了强大的动量效应，这支持了投资者羊群行为理论。此外，我们提出了两种盈利的长期策略：非流动性输家和流动性赢家，这两种策略在市值加权投资组合中表现出更好的风险调整绩效。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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