A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

This paper examines the extent to which herding and feedback trading behaviors drive price
dynamics across nine major cryptocurrencies. Using sample price data from bitcoin …

The Sharpe ratio is adequate for evaluating investment funds when the returns of those
funds are normally distributed and the investor intends to place all his risky assets into just …

Bitcoin is emerging as a distinct asset class among investors given its seemingly detached
price behavior relative to market and economic fundamentals. Its incomparably high returns …

This paper presents a theoretically sound portfolio performance measure that takes into
account higher moments of distribution. This measure is motivated by a study of the …

The green bond market is emerging as an impactful financing mechanism in climate change
mitigation efforts. The effectiveness of the financial market for this transition to a low-carbon …

A frequent comment is that investment funds with a nonnormal return distribution cannot be
adequately evaluated by using the classic Sharpe ratio. Research on hedge fund data that …

Are cryptocurrencies useful minimum‐variance hedging instruments? This paper develops a
two‐step analytical framework to explore this question across time. First, it estimates …

We examine diversification capabilities of Bitcoin for a global portfolio spread across six
asset classes from the standpoint of investors dealing in five major fiat currencies namely US …

Using a rich data set of transaction-level buy and sell orders from the major digital currency
exchange Coinbase, we formulate a measure for investor sentiment and shed new evidence …