英文标题：
《Altcoin-Bitcoin Arbitrage》
---
作者：
Zura Kakushadze and Willie Yu
---
最新提交年份：
2019
---
英文摘要：
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.
---
中文摘要：
我们给出了加密资产统计套利alpha的算法和源代码，该算法基于中讨论的加密资产回报中的领先动量因子驱动的均值回归效应https://ssrn.com/abstract=3245641.利用经验数据，我们确定了altcoin比特币套利alpha对加密资产的横截面具有重要意义，并结合流动性考虑及其对加密资产交易的影响进行了讨论。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--

---
PDF下载：
-->