63 citations · 63 across the 3 of their papers we have counts for
3 papers
Robustifying Markowitz
Wolfgang Karl Härdle, Yegor Klochkov, Alla Petukhina +1
Markowitz mean-variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice. They perform poorly out of sample due to estimation erro…
Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies
Alla Petukhina, Simon Trimborn, Wolfgang Karl Härdle +1
Cryptocurrencies (CCs) have risen rapidly in market capitalization over the last years. Despite striking price volatility, their high average returns have drawn attention to CCs as…
Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
Alla A. Petukhina, Raphael C. G. Reule, Wolfgang Karl Härdle
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European crypto…