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Altcoin-Bitcoin Arbitrage

Published 13 Mar 2019 in q-fin.PM and q-fin.RM | (1903.06033v2)

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.

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