Cryptocurrency and trading strategies

Abstract

The aim of this dissertation is to provide a review on the current cryptocurrency economics which isstill vague to a vast number of investors. Regression results suggest some but limited similarities tostocks with regards to the price movements in the market. The goal of the dissertation is to examinethe profitability of moving average trading strategies with 3, 9 and 30-days moving averages whichhave only been tested on a longer lag moving average and the feasibility of volatility timing strategywhich has not yet been implemented on Bitcoin markets. Results show that moving averagestrategies significantly outperform the Buy-and-Hold Bitcoin benchmark, but increase the higher order risk. The volatility timing strategy did not produce the desired decrease in higher-order risk. However, this result does not rule-out the possibility that an application of a more sophisticatedasset-pricing model could further decrease excess kurtosis, which seems problematic for a broaderscope of investors since there is a continuous risk of crash present in the cryptocurrency markets.

Date of Award	29 Jun 2022
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Pedro Barroso (Supervisor)