Anomaly detection in European cryptocurrency exchange-traded products
A 2026 paper by Kończal and Połoczański on momentum and trend following in equities, using tree ensembles: the abstract mentions drawdowns and an out-of-sample test and leaves out a benchmark, transaction costs, multiple testing and the size of the universe.
“Although each anomaly type represents fewer than 1% of one-minute bars, statistical analysis using Mann-Whitney U tests shows that anomaly observations exhibit significantly higher effective spreads, higher values of liquidity-related ratios, and more pronounced order-flow imbalances than non-anomalous bars.”
AssetEquitiesspot crypto
StrategyMomentumshort-term reversal
TechniqueTree ensemble
GeographyEurope
Also stated: Intraday, Drawdown, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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