Proceedings of the 2024 2th International Conference on Economic Management, Financial Innovation and Public Service (EMFIPS 2024)

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Research on Risk Measurement and Investment Selection of Cryptocurrencies

Authors
Kuijin Wang1, *
1Shanghai Nanyang Model Private School, Shanghai, 200000, China
*Corresponding author. Email: 3246415169@qq.com
Corresponding Author
Kuijin Wang
Available Online 7 May 2025.
DOI
10.2991/978-94-6463-706-9_26How to use a DOI?
Keywords
Cryptocurrency; Digital Currency; Risk Measurement; Investment Selection
Abstract

Encrypted digital currency is a new form of currency after physical currency, which can be traded 24 h a day through online circulation without being affected by time zones and regions. Firstly, the concept and characteristics of encrypted digital currency are introduced, and the significant differences between encrypted digital currency and traditional financial assets are pointed out, especially the uncertainty in regulation and technology. This paper discusses the theoretical basis of market risk measurement, including VaR and GARCH models, and analyzes the applicability of these models in the encrypted digital currency market. Through the analysis of the high-frequency data of Bitcoin for six years, the stationarity of the return series is verified, and the EGARCH-EVT model is used to estimate the VaR value, so as to more accurately assess the market risk. The article further discusses the mean-variance portfolio model and risk-adjusted return model, such as Sharpe ratio and Sotino ratio, which provide investors with a set of scientific investment decision-making tools.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2024 2th International Conference on Economic Management, Financial Innovation and Public Service (EMFIPS 2024)
Series
Advances in Economics, Business and Management Research
Publication Date
7 May 2025
ISBN
978-94-6463-706-9
ISSN
2352-5428
DOI
10.2991/978-94-6463-706-9_26How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Kuijin Wang
PY  - 2025
DA  - 2025/05/07
TI  - Research on Risk Measurement and Investment Selection of Cryptocurrencies
BT  - Proceedings of the 2024 2th International Conference on Economic Management, Financial Innovation and Public Service (EMFIPS 2024)
PB  - Atlantis Press
SP  - 281
EP  - 290
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-706-9_26
DO  - 10.2991/978-94-6463-706-9_26
ID  - Wang2025
ER  -