Model-based pairs trading in the bitcoin markets
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DOI: 10.1080/14697688.2016.1231928
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References listed on IDEAS
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Citations
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Cited by:
- Alessandra Cretarola & Gianna Figà-Talamanca & Cyril Grunspan, 2021. "Blockchain and cryptocurrencies: economic and financial research," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 781-787, December.
- Platanakis, Emmanouil & Urquhart, Andrew, 2020. "Should investors include Bitcoin in their portfolios? A portfolio theory approach," The British Accounting Review, Elsevier, vol. 52(4).
- Gianna Figá-Talamanca & Sergio Focardi & Marco Patacca, 2021. "Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 863-882, December.
- 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.
- Crépellière, Tommy & Pelster, Matthias & Zeisberger, Stefan, 2023. "Arbitrage in the market for cryptocurrencies," Journal of Financial Markets, Elsevier, vol. 64(C).
- Łęt Blanka & Sobański Konrad & Świder Wojciech & Włosik Katarzyna, 2022. "Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 58(4), pages 351-370, December.
- Panagiotidis, Theodore & Stengos, Thanasis & Vravosinos, Orestis, 2019.
"The effects of markets, uncertainty and search intensity on bitcoin returns,"
International Review of Financial Analysis, Elsevier, vol. 63(C), pages 220-242.
- Theodore Panagiotidis & Thanasis Stengos & Orestis Vravosinos, 2018. "The effects of markets, uncertainty and search intensity on bitcoin returns," Working Paper series 18-39, Rimini Centre for Economic Analysis.
- Yen-Sheng Lee, 2022. "Representative Bias and Pairs Trade: Evidence From S&P 500 and Russell 2000 Indexes," SAGE Open, , vol. 12(3), pages 21582440221, August.
- Platanakis, Emmanouil & Urquhart, Andrew, 2019. "Portfolio management with cryptocurrencies: The role of estimation risk," Economics Letters, Elsevier, vol. 177(C), pages 76-80.
- Li, Danyang & Shi, Yukun & Xu, Liao & Xu, Yahua & Zhao, Yang, 2022. "Dynamic asymmetric dependence and portfolio management in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 48(C).
- Álvaro Cartea & Sebastian Jaimungal & Jason Ricci, 2018. "Trading Strategies Within The Edges Of No-Arbitrage," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-37, May.
- Robert Hudson & Andrew Urquhart, 2021. "Technical trading and cryptocurrencies," Annals of Operations Research, Springer, vol. 297(1), pages 191-220, February.
- Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
- Platanakis, Emmanouil & Sutcliffe, Charles & Urquhart, Andrew, 2018. "Optimal vs naïve diversification in cryptocurrencies," Economics Letters, Elsevier, vol. 171(C), pages 93-96.
- Tang, Tao & Wang, Yanchen, 2022. "Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond," Journal of Multinational Financial Management, Elsevier, vol. 64(C).
- Thomas Günter Fischer & Christopher Krauss & Alexander Deinert, 2019. "Statistical Arbitrage in Cryptocurrency Markets," JRFM, MDPI, vol. 12(1), pages 1-15, February.
- Sakemoto, Ryuta, 2021. "Economic Evaluation of Cryptocurrency Investment," MPRA Paper 108283, University Library of Munich, Germany.
- Pengfei Wang & Wei Zhang & Xiao Li & Dehua Shen, 2019. "Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 377-418, June.
- Suardi, Sandy & Rasel, Atiqur Rahman & Liu, Bin, 2022. "On the predictive power of tweet sentiments and attention on bitcoin," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 289-301.
- Alessandra Cretarola & Gianna Figà-Talamanca, 2021. "Detecting bubbles in Bitcoin price dynamics via market exuberance," Annals of Operations Research, Springer, vol. 299(1), pages 459-479, April.
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