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
Date Written: September 20, 2021
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: Suggested Citation