In this paper we test for regime changes and possible regime commonalities in the price dynamics of Bitcoin, Ethereum, Litecoin and Monero, as representatives of the cryptocurrencies asset class. Several parametric models are considered for the joint dynamics of the basket price where parameters are modulated through a Hidden Markov Chain with finite state space. Best specifications within Gaussian and Autoregressive models for price differences are selected by means of the AIC and BIC information criteria and through an out-of-sample forecasting performance. The empirical results, within the period January 2016 to October 2019, suggest that three or four states may be relevant to describe the dynamics of each individual cryptocurrency, depending on the selection criteria, while the entire basket displays at most three common states. Finally, we show how the identification of appropriate models may be exploited in order to build profitable investment strategies on the considered cryptocurrencies.

中文翻译：

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加密货币资产类别的制度转变和共性


在本文中，我们测试了作为加密货币资产类别代表的比特币、以太坊、莱特币和门罗币的价格动态中的政权变化和可能的政权共性。对于篮子价格的联合动态，考虑了几种参数模型，其中参数通过具有有限状态空间的隐马尔可夫链进行调制。高斯和自回归模型中价格差异的最佳规格是通过 AIC 和 BIC 信息标准以及样本外预测性能来选择的。 2016 年 1 月至 2019 年 10 月期间的实证结果表明，根据选择标准，三种或四种状态可能与描述每种加密货币的动态相关，而整个篮子最多显示三种常见状态。最后，我们展示了如何利用适当模型的识别来针对所考虑的加密货币建立有利可图的投资策略。