Strategic Diversification for Asynchronous Asset Trading: Insights from Generalized Coherence Analysis of Cryptocurrency Price Movements
Non-linear interactions between cryptocurrency price movements can elicit cross-frequency coupling (CFC) wherein one set of frequencies in the 1st timeseries is coupled to another set of frequencies in the 2nd timeseries. To investigate this, we use a generalized coherence approach to detect and qua...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University Library System, University of Pittsburgh
2021-09-01
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| Series: | Ledger |
| Subjects: | |
| Online Access: | https://ledger.pitt.edu/ojs/ledger/article/view/227 |