耶魯大學經濟學家開發了密碼價格預測系統
8月9日，耶魯大學的研究人員提出了一個密碼價格預測系統。以確定某些市值最大的加密貨幣的最佳買入機會。
耶魯大學經濟學教授Aleh Tsyvinski和經濟學博士候選人Yukun Liu研究了比特幣(BTC)、Ripple (XRP)和Ethereum (ETH)的歷史價格走勢。BTC數據在2011年到2018年之間進行跟蹤，XRP和ETH的性能分別在2012年和2015年開始分析。這些經濟學家在周一發表的題為《加密貨幣的風險和回報》的報告中描述了他們的發現。
Tsyvinski和Liu在論文中表示，加密貨幣對股票、貨幣和大宗商品等傳統資產類別的風險敞口「很低」。該研究還對一些流行的解釋提出了質疑，即供應因素(如採礦成本、市盈率或已實現的波動性)對預測加密貨幣回報行為有用。相反，研究人員斷言「加密貨幣的回報可以由特定於加密貨幣市場的因素來預測。」
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動量效應和投資者關注
經濟學家們確定了兩個因素來預測加密資產的未來表現。第一種被稱為動量效應，這基本上意味著當一種加密貨幣的價值增加時，它會升得更高。這種趨勢更多地適用於比特幣，但對Ethereum和Ripple來說，這種趨勢「在統計上仍具有重要意義」。為了利用動量效應，專家們建議，如果比特幣的價格在前一周上漲超過20%，投資者應該購買它。
第二個強烈影響加密貨幣的因素是投資者關注的程度，這是加密價格與社交媒體和搜索引擎上加密貨幣的帖子和查詢數量之間的關係。這篇論文解釋說，投資者的高度關注預測了比特幣未來1-2周的高回報，Ripple的1周的高回報，Ethereum的1- 3周和6周的高回報。
當然，人們必須記住，就像其他資產一樣，過去的表現並不能保證未來的回報。也許加密貨幣會完全改變它的行為，但目前市場認為它不會。
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每個投資組合至少應該包括6%的比特幣
根據Yales金融專家的說法，比特幣應該是投資者投資組合中不可或缺的一部分。對於一個人的投資組合的最優構建，經濟學家們認為比特幣至少應該占其中的6%。那些對最古老的加密貨幣不太熱心的人應該持有4%的加密貨幣。然而，無論你在這個問題上的立場如何，BTC應至少佔投資者多元化投資組合的1%。
英文原文
Yale University financial experts have outlined a basic strategy for identifying the best buying opportunities for some of the largest cryptocurrencies by market capitalization.
Yale economics professor Aleh Tsyvinski and economics Ph.D. candidate Yukun Liu, have studied the historical price trends of Bitcoin (BTC), Ripple (XRP) and Ethereum (ETH). The BTC data was tracked between 2011 and 2018, while the XRP and ETH performance was analyzed since their inception in 2012 and 2015, respectively. The economists described their findings in a report titled 「Risks and Returns of Cryptocurrency」, published on Monday.
Tsyvinski and Liu say in the paper that cryptocurrencies have 「low exposure」 to traditional asset classes, such as stock, currencies and commodities. The research also calls into question popular explanations that supply factors such as mining costs, price-to-dividend ratio, or realized volatility are useful for predicting the behavior of cryptocurrency returns. Instead, the researchers assert that 「cryptocurrency returns can be predicted by factors which are specific to cryptocurrency markets.」
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Momentum effect and investor attention
The economists have identified two factors to predict the crypto assets』 future performance. The first is called the momentum effect, which basically means that when a cryptocurrency increases in value, it will tend to rise even higher. This trend applies to Bitcoin more, but is 「still statistically significant」 for Ethereum and Ripple. To take advantage of momentum effect, the experts suggest an investor should buy Bitcoin if its value increases more than 20% in the previous week.
The second factor strongly influencing cryptocurrency is the measure of investor attention, which is a correlation between crypto prices and the number of posts and queries for cryptocurrencies on social media and in search engines. High investor attention predicts high future returns over 1-2 week horizons for Bitcoin, a 1-week horizon for Ripple, and 1-, 3-, and 6-week horizons for Ethereum, the paper explains.
「Of course, one has to remember that, as with any other assets, past performance is not a guarantee of future returns. Maybe cryptocurrency will completely change its behavior, but currently the market does not think it will,」 Tsyvinski stated in an interview published on Yales』 website.
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Every portfolio should include at least 6% Bitcoin
According to the Yale experts, Bitcoin is an essential part of a digital asset investor"s holding. In their view, Bitcoin should normally account for at least 6% of a digital asset portfolio, but that those who are less enthusiastic about it could consider having it comprise 4% but at a minimum 1% for diversification purposes.
譯者：鴕鳥區塊鏈
來源：鴕鳥創投媒體
清華大學五道口金融學院互聯網實驗室成立於2012年4月，是中國第一家專註於互聯網金融領域研究的科研機構。
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