Pairs Trading in Cryptocurrency Markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F20%3A10416379" target="_blank" >RIV/00216208:11230/20:10416379 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=c15NN.yj2S" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=c15NN.yj2S</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1109/ACCESS.2020.3024619" target="_blank" >10.1109/ACCESS.2020.3024619</a>
Alternative languages
Result language
angličtina
Original language name
Pairs Trading in Cryptocurrency Markets
Original language description
Pairs trading is a strategy based on exploiting mean reversion in prices of securities. Even though these strategies have been shown to perform well for equities, their performance is unknown for the field of cryptocurrencies, usually perceived as inefficient and predictable. We apply the distance and cointegration methods to a basket of 26 liquid cryptocurrencies traded on the Binance exchange, 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. Higher-frequency trading delivers significantly better performance, and while the most common daily distance method returns -0.07% monthly, this increases to 11.61% monthly for 5-minute frequency. Additionally, we find evidence of simple mean-reverting behavior in intraday prices that is missing in daily data, and which provides further support for the inefficiency of cryptocurrency markets.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
IEEE Access
ISSN
2169-3536
e-ISSN
—
Volume of the periodical
8
Issue of the periodical within the volume
September
Country of publishing house
US - UNITED STATES
Number of pages
8
Pages from-to
172644-172651
UT code for WoS article
000575907300001
EID of the result in the Scopus database
2-s2.0-85102793897