Copula-based trading of cointegrated cryptocurrency Pairs
Abstract This study introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies. To identify the most suitable pairs and generate trading signals formulated from a reference asset for analyzing the mispricing index, the study employs linear and nonlinear coi...
Saved in:
Main Authors: | , |
---|---|
Format: | Article |
Language: | English |
Published: |
SpringerOpen
2025-01-01
|
Series: | Financial Innovation |
Subjects: | |
Online Access: | https://doi.org/10.1186/s40854-024-00702-7 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|