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Botond Benedek

Botond Benedek

is a Teaching Assistant and a PhD student at the Faculty of Economics and Business Administration at the Babeș-Bolyai University, Cluj Napoca, Romania. He earned a M.Sc. in Banking and Capital Markets from the same institutions in 2017. He is teaching insurance, corporate finance, and economic informatics. His research interests are in financial fraud detection and in cryptocurrencies.

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Botond Benedek, Bálint Zsolt Nagy: Nonlinear asset pricing for cryptocurrencies

Cryptocurrencies, crypto assets and crypto-portfolios have received increased attention from financial academia especially after the surge of bitcoin (BTC) prices during 2017 (arguably called “the bitcoin-bubble”). Although quite a few aspects of empirical finance have since been tested in the literature on crypto data, the issue of nonlinear asset pricing has not yet been examined. Nonlinear (or higher moment) asset pricing is an extension of the classical capital asset pricing model (CAPM), including higher moments (skewness and kurtosis) of the statistical distribution of returns. More specifically, non-linear asset pricing examines to what extent the correlation between these higher moments of an asset and those of the market portfolio (proxied usually by a stock index) can explain the evolution of expected returns, risk premia or portfolio-performance indicators. These non-linear effects on asset pricing become especially important in the context of large market fluctuations such as irrational bubbles, busts or market crashes, and as such are part of the extreme event/tail dependence methodology. Apart from the question of equilibrium asset pricing, our aim is also to examine the risk-return tradeoff characteristics of crypto portfolios.

Last modified: 2019.09.10.