GARCH-LSTM Long/Short Pair Trading Strategies on ETH/BTC pair
“This project includes model development, backtesting and evaluation, aiming to outperform traditional statistical methods in terms of adaptability and profitability.”
AssetCryptospot crypto
StrategyPairs tradingshort-term reversal
TechniqueTransformerrecurrent neural network
ClaimExcess returnprofit
Also stated: Long-short
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
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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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