Altcoin-Bitcoin Arbitrage
arXiv:1903.06033
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.
26 pages; a few trivial typos corrected. arXiv admin note: substantial text overlap with arXiv:1811.07860