Enhancing portfolio performance with crypto tokens: a correlation network analysis
n this paper, we examine whether crypto tokens can boost portfolio performance and provide direct evidence on the claim that crypto tokens are potentially desirable alternatives for diversification. We use correlation-based networks to study the crypto token market and compare the optimal portfolio...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Conference Paper |
| Language: | English |
| Published: |
2023
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| Online Access: | https://hdl.handle.net/10356/166686 |
| _version_ | 1826113080670552064 |
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| author | Ma, Mengzhong Bao, Te Wen, Yonggang |
| author2 | Interdisciplinary Graduate School (IGS) |
| author_facet | Interdisciplinary Graduate School (IGS) Ma, Mengzhong Bao, Te Wen, Yonggang |
| author_sort | Ma, Mengzhong |
| collection | NTU |
| description | n this paper, we examine whether crypto tokens can boost portfolio performance and provide direct evidence on the claim that crypto tokens are potentially desirable alternatives for diversification. We use correlation-based networks to study the crypto token market and compare the optimal portfolio composed of tokens with that of tokens and stocks. We find that tokens with high Sharp ratios but low centrality can serve as the booster of portfolio performance. In addition, we discover that the token market resembles the stock market in terms of correlation network structure. The market is dominated by tokens from Defi, blockchain infrastructure, and GameFi sectors, and becomes more correlated during market downturns. |
| first_indexed | 2024-10-01T03:17:20Z |
| format | Conference Paper |
| id | ntu-10356/166686 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T03:17:20Z |
| publishDate | 2023 |
| record_format | dspace |
| spelling | ntu-10356/1666862024-04-07T09:17:12Z Enhancing portfolio performance with crypto tokens: a correlation network analysis Ma, Mengzhong Bao, Te Wen, Yonggang Interdisciplinary Graduate School (IGS) School of Social Sciences School of Computer Science and Engineering IEEE 43rd International Conference on Distributed Computing Systems Workshops (ICDCSW 2023) IGP-Global Asia Business::General Crypto Tokens Cryptocurrency Blockchain Tokenomics Fintech Token Returns Portfolio Selection Correlation Network n this paper, we examine whether crypto tokens can boost portfolio performance and provide direct evidence on the claim that crypto tokens are potentially desirable alternatives for diversification. We use correlation-based networks to study the crypto token market and compare the optimal portfolio composed of tokens with that of tokens and stocks. We find that tokens with high Sharp ratios but low centrality can serve as the booster of portfolio performance. In addition, we discover that the token market resembles the stock market in terms of correlation network structure. The market is dominated by tokens from Defi, blockchain infrastructure, and GameFi sectors, and becomes more correlated during market downturns. Nanyang Technological University Submitted/Accepted version We get financial support from Algorand Center of Excellence (NTU_ACE). 2023-11-03T05:04:53Z 2023-11-03T05:04:53Z 2023 Conference Paper Ma, M., Bao, T. & Wen, Y. (2023). Enhancing portfolio performance with crypto tokens: a correlation network analysis. IEEE 43rd International Conference on Distributed Computing Systems Workshops (ICDCSW 2023), 31-36. https://dx.doi.org/10.1109/ICDCSW60045.2023.00013 979-8-3503-2812-7 2332-5666 https://hdl.handle.net/10356/166686 10.1109/ICDCSW60045.2023.00013 31 36 en NTU-ACE © 2023 IEEE. All rights reserved. This article may be downloaded for personal use only. Any other use requires prior permission of the copyright holder. The Version of Record is available online at http://doi.org/10.1109/ICDCSW60045.2023.00013. application/pdf |
| spellingShingle | Business::General Crypto Tokens Cryptocurrency Blockchain Tokenomics Fintech Token Returns Portfolio Selection Correlation Network Ma, Mengzhong Bao, Te Wen, Yonggang Enhancing portfolio performance with crypto tokens: a correlation network analysis |
| title | Enhancing portfolio performance with crypto tokens: a correlation network analysis |
| title_full | Enhancing portfolio performance with crypto tokens: a correlation network analysis |
| title_fullStr | Enhancing portfolio performance with crypto tokens: a correlation network analysis |
| title_full_unstemmed | Enhancing portfolio performance with crypto tokens: a correlation network analysis |
| title_short | Enhancing portfolio performance with crypto tokens: a correlation network analysis |
| title_sort | enhancing portfolio performance with crypto tokens a correlation network analysis |
| topic | Business::General Crypto Tokens Cryptocurrency Blockchain Tokenomics Fintech Token Returns Portfolio Selection Correlation Network |
| url | https://hdl.handle.net/10356/166686 |
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