Alla Petukhina

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

Treskowallee 8

Berlin, 10313

Germany

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 31,213

SSRN RANKINGS

Top 31,213

in Total Papers Downloads

2,212

SSRN CITATIONS

8

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

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
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:

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Cryptocurrency, CRIX, Investments, Portfolio Management, Asset Classes, Blockchain, Bitcoin, Altcoins, DLT

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
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
Downloads 674 (53,701)
Citation 3

Abstract:

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Cryptocurrency, High-Frequency Trading, Algorithmic Trading, Liquidity, Volatility, Price Impact, CRIX

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)

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Portfolio Management, Asset Allocation, Investments, Alternative Assets, Bitcoin, Cryptocurrencies, LIBRO

4.

Robustifying Markowitz

Number of pages: 46 Posted: 20 Dec 2021
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:

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robust estimator, portfolio allocation, Markowitz, turnover

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
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:

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adaptive lasso, portfolio optimisation, quantile regression, Valueat- Risk, tail events

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
Downloads 58 (481,249)

Abstract:

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information arrival, volatility modelling, jump, sentiment, GARCH