Cointegrated Portfolios and Volatility modeling in the Cryptocurrency Market
“Five out of six trading strategies generate a positive overall profit and outperform a passive investment approach out-of-sample.”
AssetCryptospot crypto
StrategyPairs trading
TechniqueClassical time series
FrequencyIntraday
Also stated: Excess return, Profit, Price and volume, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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