The aim of this paper is to propose a portfolio selection methodology capable to take into account asset tail co-movements, frequent among crypto assets. To achieve this aim we consider both systemic and tail risks as additional constraints in Markowitz model. We apply the methodology to the...

The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the relationships of five major Bitcoin exchange...

We aim to understand the dynamics of Bitcoin blockchain trading volumes and, specifically, how different trading groups, in different geographic areas, interact with each other. To achieve this aim, we propose an extended Vector Autoregressive model, aimed at explaining the evolution of trading...