Bitcoin: Like a Satellite or Always Hardcore? - A Core-Satellite Identification in the Cryptocurrency Market

17 Pages Posted: 26 May 2021 Last revised: 2 Oct 2023

See all articles by Christoph J. Börner

Christoph J. Börner

University of Duesseldorf

Ingo Hoffmann

Heinrich Heine University Duesseldorf

Jonas Krettek

University of Duesseldorf

Tim Schmitz

Heinrich-Heine-University Düsseldorf

Date Written: September 20, 2021

Abstract

Cryptocurrencies (CCs) become more interesting for institutional investors’ strategic asset allocation and will be a fixed component of professional portfolios in future. This asset class differs from established assets especially in terms of the severe manifestation of statistical parameters. The question arises whether CCs with similar statistical key figures exist. On this basis, a core market incorporating CCs with comparable properties enables the implementation of a tracking error approach. A prerequisite for this is the segmentation of the CC market into a core and a satellite, the latter comprising the accumulation of the residual CCs remaining in the complement. Using a concrete example, we segment the CC market into these components, based on modern methods from image / pattern recognition.

Keywords: Cryptocurrencies, Core-Satellite Identification, Market Segmentation, Pattern Recognition

JEL Classification: C14, C46, C55, E22, G10

Suggested Citation

Börner, Christoph J. and Hoffmann, Ingo and Krettek, Jonas and Schmitz, Tim, Bitcoin: Like a Satellite or Always Hardcore? - A Core-Satellite Identification in the Cryptocurrency Market (September 20, 2021). Available at SSRN: https://ssrn.com/abstract=3850583 or http://dx.doi.org/10.2139/ssrn.3850583

Christoph J. Börner

University of Duesseldorf ( email )

Universitätsstraße 1
Dusseldorf, 40225
Germany

Ingo Hoffmann

Heinrich Heine University Duesseldorf ( email )

Universitaetsstrasse 1
Duesseldorf, DE NRW 40225
Germany

HOME PAGE: http://https://www.fidl.hhu.de/en/

Jonas Krettek (Contact Author)

University of Duesseldorf ( email )

Universitätsstraße 1
Dusseldorf, 40225
Germany

Tim Schmitz

Heinrich-Heine-University Düsseldorf ( email )

Universitätsstrasse 1
Duesseldorf, DE NRW 40225
Germany

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