Disentangling Cryptocurrencies

Over the last three years, cryptocurrencies have become one of the best performing asset classes in the financial markets and have currently reached an outstanding market capitalization of more than $ 2tn. In this report, produced in collaboration with Hercle Financial, a team made up of members from different divisions of Minerva analyses the correlation between the main cryptocurrencies by market cap and several other asset classes, such as commodities, traditional currencies, government bonds, and other cryptos. This aim is achieved by applying different correlation models, ranging from simple correlation statistics to linear and stationary dynamic linear models. Hercle developed proprietary ultra-low latency trading technology to execute High-Frequency market making strategies and to offer an end-to-end prime-brokerage solution to institutional investors who are interested in gaining exposure to crypto-assets.