The Digital Asset Research & Engineering Collaborative (DAREC) at Duke University is a research effort into one of the fastest-growing global asset classes—digital assets. DAREC's online research repository is a browseable library of high-quality research, analysis and commentary by Duke experts.
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A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility.
| DAREC
Pricing cryptocurrency options with machine learning regression for handling market volatility
The comparative analysis reveals that equity options are easier to price, clearly indicating inefficiencies in the cryptocurrency option market, which confirms the challenges in achieving accurate pricing.
| DAREC
Deep reinforcement trading with predictable returns
An original research of Duke University's DAREC (Digital Asset Research & Engineering Collaborative) published on Physica A: Statistical Mechanics and its Applications
| DAREC
Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect
By analyzing a large cross-section of cryptocurrencies, we document the absence of the leverage effect in this market.