Detail publikace

Fil, M. & Kristoufek, L.: Pairs Trading in Cryptocurrency Markets

Autor: prof. PhDr. Ladislav Krištoufek Ph.D., Fíl, Miroslav
Typ: Články v impaktovaných časopisech
Rok: 2020
Číslo: 0
ISSN / ISBN:
Publikováno v: IEEE Access 8, pp. 172644-172651 PDF
Místo vydání:
Klíčová slova: cryptocurrencies, intra-day trading, pairs trading
JEL kódy:
Citace:
Granty: PRIMUS/19/HUM/17 2019-2021 Behaviorální finance a makroekonomie: Nové pohledy pro hlavní proud
Abstrakt: Pairs trading is a strategy based on exploiting mean reversion in prices of securities. Even though these strategies have been shown to perform well in equities, their performance is unknown for the field of cryptocurrencies, usually perceived as inefficient and predictable. We apply the distance and cointegration methods to the basket of 26 liquid cryptocurrencies traded on Binance, specifically at 5-minute, 1-hour and daily frequencies. In our backtests, the strategies underperform classical benchmarks. However, the results are quite sensitive to parameter settings and external factors such as transaction costs or execution windows. In addition, higher-frequency trading delivers better performance.
Prosinec 2020
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