Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/166686
Title: Enhancing portfolio performance with crypto tokens: a correlation network analysis
Authors: Ma, Mengzhong
Bao, Te
Wen, Yonggang
Keywords: Business::General
Issue Date: 2023
Source: Ma, M., Bao, T. & Wen, Y. (2023). Enhancing portfolio performance with crypto tokens: a correlation network analysis. IEEE 43rd International Conference on Distributed Computing Systems Workshops (ICDCSW 2023), 31-36. https://dx.doi.org/10.1109/ICDCSW60045.2023.00013
Project: NTU-ACE 
Conference: IEEE 43rd International Conference on Distributed Computing Systems Workshops (ICDCSW 2023)
Abstract: n this paper, we examine whether crypto tokens can boost portfolio performance and provide direct evidence on the claim that crypto tokens are potentially desirable alternatives for diversification. We use correlation-based networks to study the crypto token market and compare the optimal portfolio composed of tokens with that of tokens and stocks. We find that tokens with high Sharp ratios but low centrality can serve as the booster of portfolio performance. In addition, we discover that the token market resembles the stock market in terms of correlation network structure. The market is dominated by tokens from Defi, blockchain infrastructure, and GameFi sectors, and becomes more correlated during market downturns.
URI: https://hdl.handle.net/10356/166686
ISBN: 979-8-3503-2812-7
ISSN: 2332-5666
DOI: 10.1109/ICDCSW60045.2023.00013
Schools: Interdisciplinary Graduate School (IGS) 
School of Social Sciences 
School of Computer Science and Engineering 
Research Centres: IGP-Global Asia
Rights: © 2023 IEEE. All rights reserved. This article may be downloaded for personal use only. Any other use requires prior permission of the copyright holder. The Version of Record is available online at http://doi.org/10.1109/ICDCSW60045.2023.00013.
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:IGS Conference Papers

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