比特币市场风险因素实证研究

arXiv - QuantFin - Statistical Finance Pub Date : 2024-05-24 DOI:arxiv-2406.19401

Shubham Singh

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摘要

本研究探讨了更广泛的市场因素和法玛-法式三因素模型能否有效分析比特币的特异风险和收益特征。通过纳入法玛-法式因子，测试了这些因子在不同移动平均期间对比特币超额收益的解释力。该分析旨在确定股票市场因素在解释和模拟比特币系统性风险方面是否重要。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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An empirical study of market risk factors for Bitcoin

The study examines whether broader market factors and the Fama-French three-factor model can effectively analyze the idiosyncratic risk and return characteristics of Bitcoin. By incorporating Fama-french factors, the explanatory power of these factors on Bitcoin's excess returns over various moving average periods is tested. The analysis aims to determine if equity market factors are significant in explaining and modeling systemic risk in Bitcoin.

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arXiv - QuantFin - Statistical Finance

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