Model-based pairs trading in the bitcoin markets
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Cites work
- A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
- Algorithmic trading of co-integrated assets
- Continuous-time stochastic control and optimization with financial applications
- Costly arbitrage through pairs trading
- Dynamic pairs trading using the stochastic control approach
- How often to sample a continuous-time process in the presence of market microstructure noise
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- Mean-variance portfolio selection of cointegrated assets
- Optimal Asset Allocation under Forward Exponential Performance Criteria
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- Optimal switching for the pairs trading rule: a viscosity solutions approach
- Optimum consumption and portfolio rules in a continuous-time model
- Option valuation with co-integrated asset prices
- Statistical arbitrage in the US equities market
Cited in
(23)- Portfolio management with cryptocurrencies: the role of estimation risk
- Optimal vs naïve diversification in cryptocurrencies
- Risk-adjusted returns from statistical arbitrage opportunities in Indian stock futures market
- Blockchain and cryptocurrencies: economic and financial research
- Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
- Betting on bitcoin: a profitable trading between directional and shielding strategies
- Predictability of cryptocurrency returns: evidence from robust tests
- Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}
- Optimal bitcoin trading with inverse futures
- Trading strategies within the edges of no-arbitrage
- Optimal multi-asset trading with linear costs: a mean-field approach
- Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money?
- Pairs trading under delayed cointegration
- Optimal cross-border electricity trading
- Fragmentation, price formation and cross-impact in bitcoin markets
- Estimating the Proportion of Informed Traders in BTC-USD Market Using Spread and Range
- High-dimensional statistical arbitrage with factor models and stochastic control
- Cryptoasset factor models
- A flexible regime switching model with pairs trading application to the S\&P 500 high-frequency stock returns
- An expected exponential utility maximization problem for bitcoin miners
- The nexus between black and digital gold: evidence from US markets
- Pairs trading with costly short-selling
- Technical trading and cryptocurrencies
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