Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities
Macro signals and regime strategies in crypto, studied by James in 2022 with a state-space model. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We begin by applying random matrix theory and principal components analysis (PCA) to correlation matrices of both collections, highlighting clear differences in the eigenspectra exhibited.”
AssetCryptospot crypto
StrategyMacro signals
TechniqueState-space modelsymbolic search
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMacro signals and regime strategies by year
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