Cryptoasset factor models

Zura Kakushadze ()
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Zura Kakushadze: Quantigic® Solutions LLC and Free University of Tbilisi, Business School and School of Physics, Postal: Tbilisi, Georgia

Algorithmic Finance, 2018, vol. 7, issue 3-4, 87-104

Abstract: We propose factor models for the cross-section of daily cryptoasset returns and provide source code for data downloads, computing risk factors and backtesting them out-of-sample. In “cryptoassets” we include all cryptocurrencies and a host of various other digital assets (coins and tokens) for which exchange market data is available. Based on our empirical analysis, we identify the leading factor that appears to strongly contribute into daily cryptoasset returns. Our results suggest that cross-sectional statistical arbitrage trading may be possible for cryptoassets subject to efficient executions and shorting.

Keywords: Cryptoasset (search for similar items in EconPapers)
JEL-codes: C00 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:iosalg:0070

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