Using Two Cryptocurrencies Enhances Volatility Forecasting
Researchers from the HSE Faculty of Economic Sciences have found that Bitcoin price volatility can be effectively predicted using Ethereum, the second-most popular cryptocurrency. Incorporating Ethereum into a predictive model reduces the forecast error to 23%, outperforming neural networks and other complex algorithms. The article has been published in Applied Econometrics.
The Cryptocurrency Market Works Like the Stock Market— Only Much Faster
After analysing the price fluctuations of almost 2,000 cryptocurrencies over seven years, Victoria Dobrynskaya, Associate Professor at the HSE University Faculty of Economic Sciences, found that there are no fundamental differences between their behaviour and that of conventional assets. Cryptocurrency follows the same principles, although its prices change much faster: processes that usually take years on traditional markets take only a month or so on the cryptocurrency market. An article on this research was reprinted by SSRN.