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Model-based arbitrage in multi-exchange models for Bitcoin price dynamics
Bistarelli, Stefano; Cretarola, Alessandra; … - In: Digital finance : smart data analytics, investment … 1 (2019) 1/4, pp. 23-46
Persistent link: https://www.econbiz.de/10012223861
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Cointegrated portfolios and volatility modeling in the cryptocurrency market
Gabriel, Stefan; Kunst, Robert M. - 2024
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 …
Persistent link: https://www.econbiz.de/10014495264
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Weak efficiency of the cryptocurrency market : a market portfolio approach
Vidal-Tomás, David; Ibáñez, Ana María; Farinós … - In: Applied economics letters 26 (2019) 19, pp. 1627-1633
Persistent link: https://www.econbiz.de/10012204861
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Are cryptocurrencies cryptic or a source of arbitrage? : a genetic algorithm approach
Bewaji, Oluwasegun; Hamid, Sania; Aerts, Timothy; Byck, … - In: The journal of financial market infrastructures 11 (2023) 1, pp. 37-65
Persistent link: https://www.econbiz.de/10014484591
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Robust statistical arbitrage strategies
Lütkebohmert-Holtz, Eva; Sester, Julian - In: Quantitative finance 21 (2021) 3, pp. 379-402
Persistent link: https://www.econbiz.de/10012483829
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A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance
Focardi, Sergio M.; Fabozzi, Frank J.; Mitov, Ivan K. - In: Journal of banking & finance 65 (2016), pp. 134-155
Persistent link: https://www.econbiz.de/10011634338
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What is statistical arbitrage?
Lazzarino, Marco; Berrill, Jenny; Šević, Aleksandar - In: Theoretical economics letters 8 (2018) 5, pp. 888-908
Persistent link: https://www.econbiz.de/10011882402
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High-dimensional statistical arbitrage with factor models and stochastic control
Guijarro-Ordonez, Jorge - In: Applied mathematical finance 26 (2019) 4, pp. 328-358
Persistent link: https://www.econbiz.de/10012210319
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Statistical arbitrage : factor investing approach
Akyildirim, Erdinc; Goncu, Ahmet; Hekimoglu, Alper; … - In: OR spectrum : quantitative approaches in management 45 (2023) 4, pp. 1295-1331
Persistent link: https://www.econbiz.de/10014519079
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Up or down? : short-term reversal, momentum, and liquidity effects in cryptocurrency markets
Zaremba, Adam; Bilgin, Mehmet Huseyin; Long, Huaigang; … - In: International review of financial analysis 78 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10013253483