Copula-Based Trading of Cointegrated Cryptocurrency Pairs
Tadi and Witzany (2023) study pairs trading and statistical arbitrage in crypto. The abstract mentions excess returns, profits and a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“The findings indicate that the proposed method outperforms buy-and-hold trading strategies in terms of both profitability and risk-adjusted returns.”
AssetCryptospot crypto
StrategyPairs trading
ClaimExcess returnprofit
Long/shortLong-only
Also stated: benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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