Intricacy of cryptocurrency returns
量化了加密货币收益预测中变量间的非线性和交互作用，发现其复杂性远高于股票，且交互作用随时间增强，对投资者和监管者构成挑战。
This paper quantifies the intricacy, i.e., non-linearity and interactions of predictor variables, in explaining cryptocurrency returns. Using data from several thousand cryptocurrencies spanning 2014 to 2022, we observe a notably high level of intricacy. This provides a quantitative measure why linear models are often outperformed by machine learning algorithms in predicting cryptocurrency returns. Furthermore, we document that the intricacy in these predictions is considerably larger compared to stocks. Our analysis reveals that interactions are gaining importance over time, while individual non-linearity of the drivers is diminishing. This adds to the emerging literature on spillover effects between cryptocurrencies, traditional finance and the economy. This finding is important for investors as well as regulators as the high intricacy proposes challenges to both actors in the market.