IDEAS home Printed from https://ideas.repec.org/a/ris/iosalg/0070.html
   My bibliography  Save this article

Cryptoasset factor models

Author

Listed:
  • Kakushadze, Zura

    (Quantigic® Solutions LLC and Free University of Tbilisi, Business School and School of Physics)

Abstract

We propose factor models for the cross-section of daily cryptoasset returns and provide source code for data downloads, computing risk factors and backtesting them out-of-sample. In “cryptoassets” we include all cryptocurrencies and a host of various other digital assets (coins and tokens) for which exchange market data is available. Based on our empirical analysis, we identify the leading factor that appears to strongly contribute into daily cryptoasset returns. Our results suggest that cross-sectional statistical arbitrage trading may be possible for cryptoassets subject to efficient executions and shorting.

Suggested Citation

  • Kakushadze, Zura, 2018. "Cryptoasset factor models," Algorithmic Finance, IOS Press, vol. 7(3-4), pages 87-104.
    • Handle: RePEc:ris:iosalg:0070
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zura Kakushadze & Willie Yu, 2019. "Altcoin-Bitcoin Arbitrage," Papers 1903.06033, arXiv.org, revised Apr 2019.
    2. David Zhao & Alessandro Rinaldo & Christopher Brookins, 2019. "Cryptocurrency Price Prediction and Trading Strategies Using Support Vector Machines," Papers 1911.11819, arXiv.org, revised Nov 2019.
    3. Jia, Boxiang & Goodell, John W. & Shen, Dehua, 2022. "Momentum or reversal: Which is the appropriate third factor for cryptocurrencies?," Finance Research Letters, Elsevier, vol. 45(C).
    4. Zura Kakushadze & Willie Yu, 2019. "Altcoin-Bitcoin Arbitrage," Bulletin of Applied Economics, Risk Market Journals, vol. 6(1), pages 87-110.
    5. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
    6. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & David Martinez-Regoband & Fan Wu, 2020. "Cryptocurrency Trading: A Comprehensive Survey," Papers 2003.11352, arXiv.org, revised Jan 2022.
    7. Mircea Constantin Șcheau & Simona Liliana Crăciunescu & Iulia Brici & Monica Violeta Achim, 2020. "A Cryptocurrency Spectrum Short Analysis," JRFM, MDPI, vol. 13(8), pages 1-16, August.

    More about this item

    Keywords

    Cryptoasset;

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:iosalg:0070. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Saskia van Wijngaarden (email available below). General contact details of provider: http://www.iospress.nl/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.