Altcoin-Bitcoin Arbitrage

Bulletin of Applied Economics 6(1) (2019) 87-110

26 Pages Posted: 6 Feb 2019 Last revised: 3 Apr 2019

See all articles by Zura Kakushadze

Zura Kakushadze

Quantigic Solutions LLC; Free University of Tbilisi

Willie Yu

Duke-NUS Medical School - Centre for Computational Biology

Date Written: January 27, 2019

Abstract

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

Kakushadze, Zura and Yu, Willie, Altcoin-Bitcoin Arbitrage (January 27, 2019). Bulletin of Applied Economics 6(1) (2019) 87-110. Available at SSRN: https://ssrn.com/abstract=3327524 or http://dx.doi.org/10.2139/ssrn.3327524

Zura Kakushadze (Contact Author)

Quantigic Solutions LLC ( email )

1127 High Ridge Road #135
Stamford, CT 06905
United States
6462210440 (Phone)
6467923264 (Fax)

HOME PAGE: http://www.linkedin.com/in/zurakakushadze

Free University of Tbilisi ( email )

Business School and School of Physics
240, David Agmashenebeli Alley
Tbilisi, 0159
Georgia

Willie Yu

Duke-NUS Medical School - Centre for Computational Biology ( email )

8 College Road
Singapore, 169857
Singapore

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