Cryptocurrency risk and return

In contrast, we show that the cryptocurrency returns can be predicted by factors which are specific to cryptocurrency markets. Specifically, we determine that there is a strong time-series momentum effect and that proxies for investor attention strongly forecast cryptocurrency returns. Finally, we create an index of exposures to cryptocurrencies of 354 industries in the US and 137 industries in China.

That is from a new NBER paper by Yukun Liu and Aleh Tsyvinski.


Sounds like it is largely a momentum or trend following strategy almost certain to have you buying at the top and selling at the bottom.

Investment (hedge) funds are replacing analysts with programmers and quants. I suppose this isn't investing based on speculation, since the definition of speculation is conjecture without firm evidence. There's evidence alright, firm evidence. Or at least mathematical evidence based on history. That's odd, since economists prefer not to rely on history as a guide. Why? History is chock-full of correlations, correlations that can provide very wrong lessons for the circumstances today (and tomorrow). Soothsayers with a twist.

"since economists prefer not to rely on history as a guide": LTCM?

That is an imperialist argument. Mathematical evidence based on asterisks are not economics arguments. Stick to the expressionism you cookie cutting Coolio.

If anne rice wanted Othello to take Crime & Punishment, she never would have stole the plate while tinkerbell was loitering.

Since there is no intrinsic value, how could anything other than a technical trading strategy have any chance of success?

There is intrinsic value we just don't know yet how high it is. Might be higher than the current price, but might be much lower. It's not zero, the fact that the space is slowly getting accepted means it has utility for the unbanked, the criminal, the Venezuelan, etc. It likely never replaces major fiat but it will likely always be used.

Why do you provide free publicity for this BS?

Slow news day?

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