Model-based pairs trading in the bitcoin markets
From MaRDI portal
Publication:4555101
DOI10.1080/14697688.2016.1231928zbMath1402.91715OpenAlexW2547953409MaRDI QIDQ4555101
No author found.
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1231928
Related Items
Pairs trading under delayed cointegration, Technical trading and cryptocurrencies, Predictability of cryptocurrency returns: evidence from robust tests, Optimal Cross-Border Electricity Trading, TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE, Portfolio management with cryptocurrencies: the role of estimation risk, Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}, Optimal vs naïve diversification in cryptocurrencies, Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market, High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control, Blockchain and cryptocurrencies: economic and financial research, Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages, A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns, Optimal multi-asset trading with linear costs: a mean-field approach, Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money?
Cites Work
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal switching for the pairs trading rule: a viscosity solutions approach
- Mean-variance portfolio selection of cointegrated assets
- Option valuation with co-integrated asset prices
- Continuous-time stochastic control and optimization with financial applications
- Costly arbitrage through pairs trading
- Dynamic pairs trading using the stochastic control approach
- Statistical arbitrage in the US equities market
- ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS
- Optimal Asset Allocation under Forward Exponential Performance Criteria
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model