12 citations · 13 across the 2 of their papers we have counts for
2 papers
q-fin.TR2023★ 1 cited
Copula-Based Trading of Cointegrated Cryptocurrency Pairs
Masood Tadi, Jiří Witzany
This research introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies. To identify the most suitable pairs, the study employs linear a…
q-fin.TR2021★ 12 cited
Evaluation of Dynamic Cointegration-Based Pairs Trading Strategy in the Cryptocurrency Market
Masood Tadi, Irina Kortchmeski
This research aims to demonstrate a dynamic cointegration-based pairs trading strategy, including an optimal look-back window framework in the cryptocurrency market, and evaluate i…