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Altcoin-Bitcoin Arbitrage

Author

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  • Zura Kakushadze
  • Willie Yu

Abstract

We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in https://ssrn.com/abstract=3245641. Using empirical data, we identify the cross-section of cryptoassets for which this altcoin-Bitcoin arbitrage alpha is significant and discuss it in the context of liquidity considerations as well as its implications for cryptoasset trading.

Suggested Citation

  • Zura Kakushadze & Willie Yu, 2019. "Altcoin-Bitcoin Arbitrage," Papers 1903.06033, arXiv.org, revised Apr 2019.
  • Handle: RePEc:arx:papers:1903.06033
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    File URL: http://arxiv.org/pdf/1903.06033
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    References listed on IDEAS

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