Pairs Trading in Cryptocurrency Markets
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Pairs Trading in Cryptocurrency Markets
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Pairs Trading in Cryptocurrency Markets
Popis výsledku anglicky
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.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50201 - Economic Theory
Návaznosti výsledku
Projekt
—
Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2020
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
IEEE Access
ISSN
2169-3536
e-ISSN
—
Svazek periodika
8
Číslo periodika v rámci svazku
September
Stát vydavatele periodika
US - Spojené státy americké
Počet stran výsledku
8
Strana od-do
172644-172651
Kód UT WoS článku
000575907300001
EID výsledku v databázi Scopus
2-s2.0-85102793897