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 Karl Härdle and Hermann Elendner

University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business, University of Amsterdam - Amsterdam School of Economics (ASE), Blockchain Research Center Humboldt-Universität zu Berlin and Austrian Blockchain Center (ABC Research)

Downloads 1,754 (21,770)

Citation 34

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 Karl 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 Humboldt-Universität zu Berlin

Downloads 708 (79,353)

Citation 13

Abstract:

3.

Multivariate Probabilistic Forecasting of Electricity Prices With Trading Applications

Number of pages: 45 Posted: 02 Aug 2023 Last Revised: 13 Nov 2024

Ilyas Agakishiev, Wolfgang Karl Härdle, Karel Kozmik, Milos Kopa and Alla Petukhina

Humboldt University of Berlin - Faculty of Economics and Business Administration, Blockchain Research Center Humboldt-Universität zu Berlin, Charles University in Prague - Faculty of Mathematics and Physics, Charles University in Prague - Faculty of Mathematics and Physics and University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business

Downloads 315 (208,005)

Citation 1

Abstract:

4.

Robustifying Markowitz

Number of pages: 44 Posted: 20 Dec 2021 Last Revised: 11 Nov 2022

Yegor Klochkov, Alla Petukhina, Wolfgang Karl 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 Humboldt-Universität zu Berlin and Department of mathematics ETH, Zürich

Downloads 280 (235,712)

Abstract:

5.

Advancing Markowitz: Asset Allocation Forest

Number of pages: 52 Posted: 15 Apr 2024

Luis Ormonde Bettencourt, Anastasija Tetereva and Alla Petukhina

Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business

Downloads 275 (240,994)

Abstract:

6.

Evaluation of Multi-Asset Investment Strategies with Digital Assets

Digital Finance (2021) 3:45–79 https://doi.org/10.1007/s42521-021-00031-9

Number of pages: 35 Posted: 11 Sep 2020 Last Revised: 24 Dec 2022

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 195 (337,222)

Abstract:

7.

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, Shanghai Jiao Tong University (SJTU), Antai College of Economics and Management, Students, 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 167 (385,715)

Abstract:

8.

Exploring Research Visibility of the FinAI COST Action Members: a Bibliometric Analysis of Topics

Number of pages: 21 Posted: 28 Nov 2023

Piotr Wojcik, Maciej Świtała, Wolfgang Karl Härdle, Codruta Mare, Daniel Traian Pele, Raul Bag, Joerg Osterrieder, Alla Petukhina and Daniele Marazzina

University of Warsaw - Faculty of Economic Sciences, University of Warsaw, Faculty of Economic Sciences, Humboldt University of Berlin, Babes-Bolyai University - Faculty of Economics and Business Administration, Bucharest University of Economic Studies, Humboldt-Universität zu Berlin, University of Twente, University of Applied Sciences for Engineering and Economics (HTW Berlin), School of Computing, Communication and Business and Polytechnic University of Milan - Department of Mathematics

Downloads 83 (649,636)

Abstract:

9.

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

J Asset Management (2018) 19:49–63 https://doi.org/10.1057/s41260-017-0060-9

Posted: 05 Jan 2017 Last Revised: 27 Dec 2022

Wolfgang Karl Härdle, David Kuo Chuen Lee, Sergey Nasekin and Alla Petukhina

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

Alla Petukhina

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

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Scholarly Papers (9)

Investing with Cryptocurrencies – evaluating their potential for portfolio allocation strategies

Abstract:

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

Abstract:

Multivariate Probabilistic Forecasting of Electricity Prices With Trading Applications

Abstract:

Robustifying Markowitz

Abstract:

Advancing Markowitz: Asset Allocation Forest

Abstract:

Evaluation of Multi-Asset Investment Strategies with Digital Assets

Abstract:

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

Abstract:

Exploring Research Visibility of the FinAI COST Action Members: a Bibliometric Analysis of Topics

Abstract:

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

Abstract: