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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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Arbitrage, contract design, and market structure in Bitcoin futures markets
De Blasis, Riccardo; Webb, Alexander - In: The journal of futures markets 42 (2022) 3, pp. 492-524
Persistent link: https://www.econbiz.de/10012817947
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Bitcoin arbitrage
Shynkevich, Andrei - In: Finance research letters 40 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012819371
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Trading and arbitrage in cryptocurrency markets
Makarov, Igor; Schoar, Antoinette - In: Journal of financial economics 135 (2020) 2, pp. 293-319
Persistent link: https://www.econbiz.de/10012543080
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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