Alla Petukhina

Humboldt University of Berlin - Institute for Statistics and Econometrics

Unter den Linden 6

Berlin, AK Berlin 10099

Germany

HTW Berlin

Treskowallee 8

Berlin, 10313

Germany

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 34,944

SSRN RANKINGS

Top 34,944

in Total Papers Downloads

1,785

SSRN CITATIONS

8

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Investing with Cryptocurrencies – evaluating their potential for portfolio allocation strategies

Quantitative Finance (2021): 1-29.
Number of pages: 64 Posted: 07 Nov 2018 Last Revised: 28 Sep 2021
Alla Petukhina, Alla Petukhina, Simon Trimborn, Wolfgang K. Härdle and Hermann Elendner
HTW BerlinHumboldt University of Berlin - Institute for Statistics and Econometrics, City University of Hong Kong (CityU) - Department of Management Sciences, Blockchain Research Center and Austrian Blockchain Center (ABC Research)
Downloads 921 (32,446)
Citation 7

Abstract:

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Cryptocurrency, CRIX, Investments, Portfolio Management, Asset Classes, Blockchain, Bitcoin, Altcoins, DLT

2.

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies.

European Journal of Finance, 2020, DOI: 10.1080/1351847X.2020.1789684
Number of pages: 33 Posted: 09 Jul 2020 Last Revised: 11 Aug 2020
Alla Petukhina, Alla Petukhina, Raphael C. G. Reule and Wolfgang K. Härdle
HTW BerlinHumboldt University of Berlin - Institute for Statistics and Econometrics, International Research Training Group 1792 and Blockchain Research Center
Downloads 658 (51,193)
Citation 3

Abstract:

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Cryptocurrency, High-Frequency Trading, Algorithmic Trading, Liquidity, Volatility, Price Impact, CRIX

3.

Evaluation of Multi-Asset Investment Strategies with Digital Assets

Number of pages: 32 Posted: 11 Sep 2020
Alla Petukhina, Alla Petukhina and Erin Sprünken
HTW BerlinHumboldt University of Berlin - Institute for Statistics and Econometrics and Charité - Universitätsmedizin zu Berlin
Downloads 95 (344,244)

Abstract:

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Portfolio Management, Asset Allocation, Investments, Alternative Assets, Bitcoin, Cryptocurrencies, LIBRO

4.

Tail Event Driven ASset Allocation: Evidence from Equity and Mutual Funds’ Markets

SFB 649 Discussion Paper 2015-045
Number of pages: 26 Posted: 05 Jan 2017
Wolfgang K. Härdle, David Kuo Chuen Lee, Sergey Nasekin, Xinwen Ni, Alla Petukhina and Alla Petukhina
Blockchain Research Center, Singapore University of Social Sciences (SUSS), Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Nanyang Technological University (NTU) and HTW BerlinHumboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 62 (439,064)
Citation 3

Abstract:

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adaptive lasso, portfolio optimisation, quantile regression, Valueat- Risk, tail events

5.

Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns

Number of pages: 29 Posted: 09 Jan 2021
Ya Qian, Jun Tu, Alla Petukhina, Alla Petukhina and Zilin Chen
Humboldt University of Berlin, Singapore Management University, HTW BerlinHumboldt University of Berlin - Institute for Statistics and Econometrics and Southwestern University of Finance and Economics (SWUFE) - School of Finance
Downloads 49 (488,704)

Abstract:

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information arrival, volatility modelling, jump, sentiment, GARCH