Author Page for Alla Petukhina

Investing with Cryptocurrencies – evaluating their potential for portfolio allocation strategies

Quantitative Finance (2021): 1-29.

Number of pages: 64 Posted: 07 Nov 2018 Last Revised: 28 Sep 2021

Alla Petukhina, Simon Trimborn, Wolfgang K. Härdle and Hermann Elendner

University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, City University of Hong Kong (CityU) - Department of Management Sciences, Blockchain Research Center and Austrian Blockchain Center (ABC Research)

Downloads 1,227 (23,393)

Citation 9

Abstract:

2.

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies.

European Journal of Finance, 2020, DOI: 10.1080/1351847X.2020.1789684

Number of pages: 33 Posted: 09 Jul 2020 Last Revised: 11 Aug 2020

Alla Petukhina, Raphael C. G. Reule and Wolfgang K. Härdle

University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, International Research Training Group 1792 and Blockchain Research Center

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Citation 3

Abstract:

3.

Evaluation of Multi-Asset Investment Strategies with Digital Assets

Number of pages: 32 Posted: 11 Sep 2020

Alla Petukhina and Erin Sprünken

University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business and Charité - Universitätsmedizin zu Berlin

Downloads 116 (320,889)

Abstract:

4.

Robustifying Markowitz

Number of pages: 46 Posted: 20 Dec 2021

Yegor Klochkov, Alla Petukhina, Wolfgang K. Härdle and Nikita Zhivotovskiy

Humboldt University of Berlin, University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, Blockchain Research Center and Department of mathematics ETH, Zürich

Downloads 72 (431,377)

Abstract:

5.

Tail Event Driven ASset Allocation: Evidence from Equity and Mutual Funds’ Markets

SFB 649 Discussion Paper 2015-045

Number of pages: 26 Posted: 05 Jan 2017

Wolfgang K. Härdle, David Kuo Chuen Lee, Sergey Nasekin, Xinwen Ni and Alla Petukhina

Blockchain Research Center, Singapore University of Social Sciences (SUSS), Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Nanyang Technological University (NTU) and University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business

Downloads 65 (455,138)

Citation 3

Abstract:

6.

Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns

Number of pages: 29 Posted: 09 Jan 2021

Ya Qian, Jun Tu, Alla Petukhina and Zilin Chen

Humboldt University of Berlin, Singapore Management University, University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business and Southwestern University of Finance and Economics (SWUFE) - School of Finance

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Alla Petukhina

University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business

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Scholarly Papers (6)

Investing with Cryptocurrencies – evaluating their potential for portfolio allocation strategies

Abstract:

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies.

Abstract:

Evaluation of Multi-Asset Investment Strategies with Digital Assets

Abstract:

Robustifying Markowitz

Abstract:

Tail Event Driven ASset Allocation: Evidence from Equity and Mutual Funds’ Markets

Abstract:

Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns

Abstract: