Altcoin-Bitcoin Arbitrage

Zura Kakushadze and Willie Yu

Bulletin of Applied Economics, 2019, vol. 6, issue 1, 87-110

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: cryptoasset; cryptocurrency; altcoin; Bitcoin; mean-reversion; momentum; statistical arbitrage (search for similar items in EconPapers)
JEL-codes: G00 G10 G11 G12 G23 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:rmk:rmkbae:v:6:y:2019:i:1:p:87-110

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