dc.contributor.advisor | Molnàr, Peter | |
dc.contributor.author | Isaksen, Vegard | |
dc.date.accessioned | 2019-09-13T08:48:18Z | |
dc.date.available | 2019-09-13T08:48:18Z | |
dc.date.issued | 2019-06-16 | |
dc.identifier.uri | http://hdl.handle.net/11250/2616731 | |
dc.description | Master's thesis in Applied Finance | nb_NO |
dc.description.abstract | 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. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | University of Stavanger, Norway | nb_NO |
dc.relation.ispartofseries | Masteroppgave/UIS-HH/2019; | |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.subject | økonomi | nb_NO |
dc.subject | administrasjon | nb_NO |
dc.subject | cointegration | nb_NO |
dc.subject | pairs trading | nb_NO |
dc.subject | kryptovaluta | nb_NO |
dc.subject | cryptocurrency | nb_NO |
dc.title | Cointegration and Pairs Trading in Major Cryptocurrencies | nb_NO |
dc.type | Master thesis | nb_NO |
dc.subject.nsi | VDP::Social science: 200::Economics: 210::Business: 213 | nb_NO |