Are cryptos becoming alternative assets?
本研究通过降维和分类方法，发现加密货币与其他资产（如股票、债券、房地产）在尾部风险因子上显著不同，应被视为独立资产类别，且其独特性随时间增强。
This research provides insights for the separation of cryptocurrencies from other assets. Using dimensionality reduction techniques, we show that most of the variation among cryptocurrencies, stocks, exchange rates, commodities, bonds, and real estate indexes can be explained by the tail, memory and moment factors of their log-returns. By applying various classification methods, cryptocurrencies are categorized as a separate asset class, mainly due to the tail factor. The main result is the complete separation of cryptocurrencies from the other asset types, using the Maximum Variance Components Split method. Additionally, we show that cryptocurrencies tend to exhibit similar characteristics over time and become more distinguished from other asset classes (synchronic evolution).