Cointegration and Pairs Trading in Major Cryptocurrencies
Master thesis
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http://hdl.handle.net/11250/2616731Utgivelsesdato
2019-06-16Metadata
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Abstract
This paper applies cointegration tests to identify cryptocurrency pairs which can be used in pairs trading strategies. The aim of this research is twofold. First, I want to examine cointegration in a system of bitcoin, dashcoin, dogecoin and litecoin. In the second part, I create pairs trading strategies in order to determine whether excess return can be made, compared to a simple buy and hold approach. The results find evidence of cointegration between the cryptocurrencies and positive profitability using pairs trading. By creating a portfolio in which the funds are equally allocated to the strategies with an open position, excess return can be made.
Beskrivelse
Master's thesis in Applied Finance