Factor Model in Cryptocurrency Market

Factor Model in Cryptocurrency Market

Saket Kumar

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Mike Zeng

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Ruinan Lu

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University of California, Berkeley

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C: FINANCE1YQ76

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Abstract

In our paper, we investigate the explanatory power to the crypto currency return premium of market factor and size factor. We tested both the value-weighted and the equally weighted market factor and a big minus small Fama-French size factor. We found the market and size together can explain 33% of the premium. We also used UMAP to find a non-linear transformation of the crypto returns to create two factors, who can explain over 80% of the premium in both training and testing periods. However, further analysis and research needs to be carried out to decipher what these two factors represent.

References

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Saket Kumar. 2020. \u201cFactor Model in Cryptocurrency Market\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 20 (GJMBR Volume 20 Issue C3).

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GJMBR Volume 20 Issue C3

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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Classification

GJMBR-C Classification JEL Code: G20

Submission ReceivedDecember 13, 2019
Peer Review Double Blind
Handling Editor
Accepted January 2, 2020
Published January 15, 2020

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v1.2

Issue date

July 10, 2020

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