Cryptocurrency Portfolio Management:A Clustering-Based Association Approach
Articles
Turan Kocabıyık
Süleyman Demirel University, Faculty of Economics and Administrative Sciences, Turkey
https://orcid.org/0000-0003-3651-206X
Meltem Karaatlı
Süleyman Demirel University, Faculty of Economics and Administrative Sciences, Turkey
https://orcid.org/0000-0002-7403-9587
Mehmet Özsoy
Suleyman Demirel University, Faculty of Economics and Administrative Sciences, Turkey
https://orcid.org/0000-0003-3204-7295
Muhammet Fatih Özer
Suleyman Demirel University, Institute of Social Sciences, Turkey
Published 2024-04-11
https://doi.org/10.15388/Ekon.2024.103.1.2
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Keywords

Cluster
Association Rule
Hierarchical K-means
FP-Growth
Cryptocurrency
Portfolio Management

How to Cite

Kocabıyık, T. (2024) “Cryptocurrency Portfolio Management:A Clustering-Based Association Approach”, Ekonomika, 103(1), pp. 25–43. doi:10.15388/Ekon.2024.103.1.2.

Abstract

The aim of this study is to identify crypto assets with similar characteristics and to explore the similar responses of these assets to market-priced events. This process is carried out in two stages. Cluster analysis and association analysis were applied in the research. First of all, cluster analysis was performed using the variables; the total number of active unique addresses, USD value of the current supply, fixed closing price of the asset, return on investment of the asset, total of the current supply, number of transactions, USD value of the sum of native units and 30 days volatility criteria. HK-Means algorithm and R Program were used for clustering. Then, the co-movement of crypto assets was analyzed using the FP-Growth algorithm and the WEKA program. 71 crypto assets with the highest market capitalization and meeting the research criteria were included in the research. The data used in the research covers the period of May 2021-May 2022. According to the main findings obtained from the research; within the framework of the criteria used in the research, 4 clusters were formed. Most important association rules found to be between; btc (bitcoin) & aave (nominex), eth (ethereum) & aave (nominex), dot (polkadot) & aave (nominex), neo & aave (nominex), uni (uniswap) & aave (nominex) , btg (bitcoin gold) & etc (ethereum classic), xrp (riple) & algo (algorand) & doge (dogecoin), xrp (riple) & doge (dogecoin), cro (cronos) & xrp (riple) & algo ( algorand) & trx (tron) & doge (dogecoin).

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