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...

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Bibliographic Details
Main Authors: Masood Tadi, Jiří Witzany
Format: Article
Language:English
Published: SpringerOpen 2025-01-01
Series:Financial Innovation
Subjects:
Online Access:https://doi.org/10.1186/s40854-024-00702-7
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