Altcoin-Bitcoin Arbitrage
Portfolio Management
2019-04-04 v2 Risk Management
Abstract
We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in https://ssrn.com/abstract=3245641. Using empirical data, we identify the cross-section of cryptoassets for which this altcoin-Bitcoin arbitrage alpha is significant and discuss it in the context of liquidity considerations as well as its implications for cryptoasset trading.
Keywords
Cite
@article{arxiv.1903.06033,
title = {Altcoin-Bitcoin Arbitrage},
author = {Zura Kakushadze and Willie Yu},
journal= {arXiv preprint arXiv:1903.06033},
year = {2019}
}
Comments
26 pages; a few trivial typos corrected. arXiv admin note: substantial text overlap with arXiv:1811.07860