  The objective of this paper is to assess the performances of dimensionality
reduction techniques to establish a link between cryptocurrencies. We have
focused our analysis on the two most traded cryptocurrencies: Bitcoin and
Ethereum. To perform our analysis, we took log returns and added some
covariates to build our data set. We first introduced the pearson correlation
coefficient in order to have a preliminary assessment of the link between
Bitcoin and Ethereum. We then reduced the dimension of our data set using
canonical correlation analysis and principal component analysis. After
performing an analysis of the links between Bitcoin and Ethereum with both
statistical techniques, we measured their performance on forecasting Ethereum
returns with Bitcoin s features.
