Cryptoasset factor models

DOI10.3233/AF-180260MaRDI QIDQ5217677zbMATH OpenOpenAlexWikidataFDO

Authors Z. Kakushadze

Publication date 25 February 2020

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.07860

zbMATH Keywords

cryptoasset returnscryptocurrencies

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Abstract: We propose factor models for the cross-section of daily cryptoasset returns and provide source code for data downloads, computing risk factors and backtesting them out-of-sample. In "cryptoassets" we include all cryptocurrencies and a host of various other digital assets (coins and tokens) for which exchange market data is available. Based on our empirical analysis, we identify the leading factor that appears to strongly contribute into daily cryptoasset returns. Our results suggest that cross-sectional statistical arbitrage trading may be possible for cryptoassets subject to efficient executions and shorting.

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(4)

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• Autoencoder asset pricing models
• Balancing cryptoassets and gold: a weighted-risk-contribution index for the alternative asset space
• Performance measurement of crypto funds

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