Zura Kakushadze and Willie Yu

Correspondence: Zura Kakushadze, zura@quantigic.com

Quantigic Solutions LLC, USA

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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, altcoin, Bitcoin, mean-reversion, momentum, statistical arbitrage


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