“Having said that portfolio returns are highly volatile, thus negating the chances of using the popular momentum strategy for trading in cryptocurrencies. Although there is some predictive power of past performance for future returns, the profitability of a momentum strategy in cryptocurrency markets is significant only in the very short term.”

Warwick Business School, located in central England, is the largest department of the University of Warwick and ranked in the world’s top one per cent business schools by the

Financial Times

.

Daniele Bianchi

is an Assistant Professor at Warwick Business School, joining in the Fall of 2014. He was awarded a PhD by the Department of Finance at Bocconi University in Spring 2014. His research interests span empirical asset pricing, Bayesian econometrics, commodity markets, and cryptocurrencies. His papers have been presented at conferences organized by the American Economic Association (AEA), the National Bureau of Economic Research (NBER), the Econometric Society, the European Finance Association (EFA), the European Economic Association (EEA), the Society of Financial Studies (SFS), and the Society of Economic Dynamics (SED). His publications include the

Journal of Econometrics

, the

Journal of Business and Economic Statistics,

and the

Journal of Financial Econometrics.

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