Bitcoin: Like a Satellite or Always Hardcore? A Core-Satellite Identification in the Cryptocurrency Market
Christoph J. B\"orner, Ingo Hoffmann, Jonas Krettek, Lars M., K\"urzinger, Tim Schmitz

TL;DR
This paper investigates the structure of the cryptocurrency market by identifying a core set of coins with similar statistical properties, enabling better portfolio management and tracking strategies.
Contribution
It introduces a novel segmentation method using image and pattern recognition techniques to distinguish core and satellite cryptocurrencies.
Findings
Identification of a core cryptocurrency group with similar statistical features
Demonstration of market segmentation into core and satellite components
Application of pattern recognition methods to financial market analysis
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.
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Taxonomy
TopicsFinancial Markets and Investment Strategies · Complex Systems and Time Series Analysis · Blockchain Technology Applications and Security
