RT Journal Article
SR Electronic
T1 Cryptocurrency Sectorization through Clustering and Web-Scraping: Application to Systematic Trading
JF The Journal of Financial Data Science
FD Institutional Investor Journals
SP jfds.2021.1.080
DO 10.3905/jfds.2021.1.080
A1 Babak Mahdavi-Damghani
A1 Robert Fraser
A1 James Howell
A1 Jon Sveinbjorn Halldorsson
YR 2021
UL https://pm-research.com/content/early/2021/12/09/jfds.2021.1.080.abstract
AB Although it is presented as a hypothesis, the authors discuss the historical events that have led to the rise of cryptocurrencies as a legitimate new asset class. They also discuss issues around cryptocurrency fundamentals as a means to explain the lack of sectors that exists for other asset classes such as equities or commodities. To address this issue, they propose a new methodology based on a hybrid approach between k-means and hierarchical clustering with alternative data gathered from web-scraping. The authors then reintroduce a couple of mathematical models, namely risk parity and momentum. Finally, they test their geopolitical hypothesis through a long-only strategy using risk parity and test their abstract sectorization through a long–short strategy.