Altcoin-Bitcoin Arbitrage

Zura Kakushadze and Willie Yu

Papers from arXiv.org

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.

Date: 2019-03, Revised 2019-04
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Published in Bulletin of Applied Economics 6(1) (2019) 87-110

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