Bulletin of Applied Economics 6(1) (2019) 87-110
26 Pages Posted: 6 Feb 2019 Last revised: 3 Apr 2019
Date Written: January 27, 2019
We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in https://ssrn.com/abstract=3245641. Using empirical data, we identify the cross-section of cryptoassets for which this altcoin-Bitcoin arbitrage alpha is significant and discuss it in the context of liquidity considerations as well as its implications for cryptoasset trading.
Keywords: cryptoasset, cryptocurrency, Bitcoin, altcoin, factor, risk, return, size, volume, volatility, momentum, minable, cross-section, time series, source code, backtesting, market cap, price, mean-reversion, statistical arbitrage, market, liquidity, token, trading, signal, alpha
JEL Classification: G00, G10, G11, G12, G23
Suggested Citation: Suggested Citation