Title: Dynamic properties and correlation structure of a large panel of cryptocurrencies
Authors: Francesco Violante - ENSAE ParisTech (France) [presenting]
Luc Bauwens - Universite catholique de Louvain (Belgium)
Jeroen Rombouts - ESSEC Business School (France)
Abstract: The behaviour of a large portfolio of highly valued and most actively traded cryptocurrencies is studied. Unlike more traditional financial assets, the dynamic behaviour of cryptocurrencies returns is characterised by a particularly high level of volatility, by abnormally large variations, and is affected by extreme shocks to liquidity. We aim at investigating the dynamic properties of cryptocurrencies and particularly the correlation structure linking them, with the scope to identify whether and to what extent there exist diversification opportunities in these markets.