Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
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Publication:2064610
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Cites work
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- COINTEGRATION AND COMMON FACTORS
- Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}
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- Nonstationary dynamic factor analysis
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- Statistical arbitrage in the US equities market
- Testing for Common Trends
Cited in
(5)- Model-based pairs trading in the bitcoin markets
- Cryptoasset factor models
- Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps
- Measuring cryptocurrency moment convergence using distance analysis
- Pair trading strategies in the cryptoassets market: a cointegration framework with optimized thresholds using genetic algorithms
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