constructing cointegrated portfolios that enable statistical arbitrage. Moreover, we find evidence for a connection between market … implement two types of forecasting models for Bitcoin volatility: the GARCH (generalized autoregressive conditional … important role in Bitcoin volatility forecasts. The findings indicate that the realized GARCH model is the only GARCH model that …

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and … from the random ones. Therefore the overreactions detected in the cryptocurrency market do not give rise to exploitable …

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and … from the random ones. Therefore the overreactions detected in the cryptocurrency market do not give rise to exploitable …

our results, we construct cointegrated portfolios involving four cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Bitcoin …

Machine learning research has gained momentum-also in finance. Consequently, initial machine-learning-based statistical … arbitrage strategies have emerged in the U.S. equities markets in the academic literature, see e.g., Takeuchi and Lee (2013 …); Moritz and Zimmermann (2014); Krauss et al. (2017). With our paper, we pose the question how such a statistical arbitrage …

"pump-and-dump schemes" in the crypto markets. To do that, we estimate the volatility spillovers from Bitcoin to altcoin and … the cryptos' own risk spillovers during bull and bear markets. The spillover results from Bitcoin to altcoin provide mixed …This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the …