This study contributes to the unconsolidated cryptocurrency literature, with a systematic
literature review focused on cryptocurrency market microstructure. We searched Web of …

This study examines if blockchain fundamentals determine cryptoasset prices. Previous
research has shown that non-fundamental factors affect cryptoasset prices however …

We examine the fractal volatility and long‐range dependence of Bitcoin, Ethereum, Tether
and USD Coin by employing the continuous wavelet transform, maximal overlap discrete …

We consider a variety of highly-diversified cross-sectional momentum and reversal
strategies, with sorting and holding periods from 1 week up to 2 years. In a sample of 2,000 …

This study contributes to the unconsolidated cryptocurrency literature, with a systematic
literature review focused on cryptocurrency market microstructure. We searched Web of …

The core of portfolio management is asset diversification and risk management. Asset
diversification is to maximize the diversification effect for a multi-asset portfolio based on …

We analyse how cryptocurrency size and trading volume impact the momentum and reversal
dynamics of their returns. We show that the previously reported weekly return reversal …

This paper aims to simulate cryptocurrency investment strategies using the Crypto Fear &
Greed Index and verify whether they outperform passive buy-and-hold investment …