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Momentum trading in cryptocurrencies: Short-term returns and diversification benefits

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Cited by:

  1. Jabbour, George M. & Mansour-Ichrakieh, Layal, 2025. "“Dollarization vs. bitcoinization in Türkiye: Which is more dangerous for the financial market?”," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 100(C).
  2. Thomas F. P. Wiesen & Lakshya Bharadwaj, 2023. "Cryptocurrency Connectedness: Does Controlling for the Cross-Correlations Matter?," Applied Economics Letters, Taylor & Francis Journals, vol. 30(20), pages 2873-2880, November.
  3. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
  4. Li, Yi & Urquhart, Andrew & Wang, Pengfei & Zhang, Wei, 2021. "MAX momentum in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 77(C).
  5. Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
  6. Christian Fieberg & Gerrit Liedtke & Daniel Metko & Adam Zaremba, 2023. "Cryptocurrency factor momentum," Quantitative Finance, Taylor & Francis Journals, vol. 23(12), pages 1853-1869, November.
  7. Mercik, Aleksander & Będowska-Sójka, Barbara & Karim, Sitara & Zaremba, Adam, 2025. "Cross-sectional interactions in cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 97(C).
  8. Colombo, Jéfferson Augusto & Cruz, Fernando I. L. & Paese, Luis H. Z. & Cortes, Renan X., 2021. "The diversification benefits of cryptocurrencies in multi-asset portfolios: cross-country evidence," Textos para discussão 542, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  9. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
  10. Andreas Renard Widarto & Harjum Muharam & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2022. "ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach," SAGE Open, , vol. 12(2), pages 21582440221, April.
  11. Jaroslav Mazanec, 2021. "Portfolio Optimalization on Digital Currency Market," JRFM, MDPI, vol. 14(4), pages 1-15, April.
  12. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
  13. Bui, Mai & Pham, Huy & Nguyen Thanh, Binh & Tiwari, Aviral Kumar, 2024. "Revisiting the determinants of cryptocurrency excess return: Does scarcity matter?," International Review of Economics & Finance, Elsevier, vol. 96(PC).
  14. Long, Huaigang & Demir, Ender & Będowska-Sójka, Barbara & Zaremba, Adam & Shahzad, Syed Jawad Hussain, 2022. "Is geopolitical risk priced in the cross-section of cryptocurrency returns?," Finance Research Letters, Elsevier, vol. 49(C).
  15. Kaya, Orçun & Mostowfi, Mehdi, 2022. "Low-volatility strategies for highly liquid cryptocurrencies," Finance Research Letters, Elsevier, vol. 46(PB).
  16. Sadaqat, Mohsin & Butt, Hilal Anwar, 2023. "Stop-loss rules and momentum payoffs in cryptocurrencies," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
  17. Daniel Poh & Stephen Roberts & Stefan Zohren, 2022. "Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity," Papers 2208.09968, arXiv.org, revised Feb 2023.
  18. José Almeida & Tiago Cruz Gonçalves, 2024. "Cryptocurrency market microstructure: a systematic literature review," Annals of Operations Research, Springer, vol. 332(1), pages 1035-1068, January.
  19. Weihao Han & David Newton & Emmanouil Platanakis & Haoran Wu & Libo Xiao, 2024. "The diversification benefits of cryptocurrency factor portfolios: Are they there?," Review of Quantitative Finance and Accounting, Springer, vol. 63(2), pages 469-518, August.
  20. Proelss, Juliane & Schweizer, Denis & Buchwalter, Bastien, 2025. "Do risk preferences drive momentum in cryptocurrencies?," Finance Research Letters, Elsevier, vol. 73(C).
  21. Borgards, Oliver, 2021. "Dynamic time series momentum of cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  22. Chang, Hsuan-Ling & Nie, Wei-Ying & Chang, Li-Han & Cheng, Hung-Wen & Yen, Kuang-Chieh, 2023. "Cryptocurrency Momentum and VIX premium," Finance Research Letters, Elsevier, vol. 57(C).
  23. Hsu, Ching-Chi & Chen, Miao-Ling, 2021. "Currency momentum strategies based on the Chinese Yuan: Timing of foreign exchange volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
  24. Zehra Eksi & Daniel Schreitl, 2022. "Closing a Bitcoin Trade Optimally under Partial Information: Performance Assessment of a Stochastic Disorder Model," Mathematics, MDPI, vol. 10(1), pages 1-13, January.
  25. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam, 2024. "Cryptocurrency anomalies and economic constraints," International Review of Financial Analysis, Elsevier, vol. 94(C).
  26. Fieberg, Christian & Günther, Steffen & Poddig, Thorsten & Zaremba, Adam, 2024. "Non-standard errors in the cryptocurrency world," International Review of Financial Analysis, Elsevier, vol. 92(C).
  27. Bhattacherjee, Purba & Mishra, Sibanjan & Kang, Sang Hoon, 2025. "Extreme frequency connectedness, determinants and portfolio analysis of major cryptocurrencies: Insights from quantile time-frequency approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 100(C).
  28. Thomas E. Koker & Dimitrios Koutmos, 2020. "Cryptocurrency Trading Using Machine Learning," JRFM, MDPI, vol. 13(8), pages 1-7, August.
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