Cryptocurrency Trading Research

Quantpedia covers an extensive range of topics, and blog posts about cryptocurrencies are no exception. Our list of crypto articles has significantly increased; therefore, we have decided to consolidate free research on this subpage. Articles containing systematic trading strategies derived from the academic research are part of our Quantpedia Premium or Pro plans.

Are There Seasonal Intraday or Overnight Anomalies in Bitcoin?

This short article briefly examines some possible Bitcoin seasonalities related to the part of the day. The cryptocurrency markets are unique. We can trade cryptos also when traditional markets are close.

The Seasonality of Bitcoin

This article delves into Bitcoin’s intriguing seasonality, examining its unique patterns and their potential impact on risk reduction. The analysis explores whether these patterns are influenced by current market trends and volatility levels.

Trend-following and Mean-reversion in Bitcoin

The trend-following and mean-reversion strategies are some of the most favored in quantitative finance. This study examines how Bitcoin’s price is affected by its maximal or minimal price and investigates whether there are trends and reversals.

Investigating Price Reaction Around Bitcoin & Ethereum Events

Explore the intricate world of cryptocurrency dynamics, focusing on the market’s response to pivotal events in Bitcoin and Ethereum. Gain insights into revealing patterns and reactions within these digital currencies.

Analysis of Systematic Crypto Trading Strategies in 2021

Systematic cryptocurrency trading strategies are a subset of our algorithmic and quantitative trading strategies database, and their popularity is growing.

NFTs: Important Preliminary Risk and Return Analysis

This article explains why the NFTs might have their place in less risk-averse or even risk-hungry portfolios. 

Pump and Dump in Cryptocurrencies

Our article summarizes a few research papers connected to the pump and dump schemes in cryptocurrencies.

Bitcoin in a Time of Financial Crisis

This article argues why Bitcoin is not a good store of value during the economic and financial crisis.

Metcalfe’s Law in Bitcoin

A research paper shows that Metcalfe’s Law can model Bitcoin’s price behavior because its characteristic is very similar to Facebook. Their value depends on the number of active users – network size.

Benford’s Law Suggests Bitcoin’s Price Manipulation

In theory, the distribution of leading digits in numerical data should follow Benford’s law; any significant deviations usually signal fraud, and in the history of Bitcoin prices, was detected several of them.

What is the Bitcoin’s Risk-Free Interest Rate?

The passive holding of Bitcoin does not provide any coupon or dividend. Still, the possible approach is to look at Bitcoin as an asset class and find the risk-free rate in the regulated derivatives market (CME).

Fake Trading on Crypto Exchanges

Fake trading in crypto raises the future trading volume, exchange’s web popularity, and estimated trading commissions over one-to-three months horizons. Still, the strategy of inflating trading volume has its long-term costs.

Crypto Covered Interest Parity Deviations

Covered Interest Rate Parity (CIP) deviations were significant in the past, but the launch of BTC/USD futures in CME and high-frequency traders’ market entry changed it all.

Cryptocurrency Volatility Index

Whenever traders want to assess the stock market’s mood, they turn to CBOE’s VIX Index. This article reveals which index we can use to determine the mood of cryptocurrencies.

What Works (and Doesn’t Work) in Cryptocurrencies

This article reviews a test of more than 20 stock return anomalies on daily cryptocurrency data and documents strong evidence of price momentum.

What is Bitcoin’s Fair Value ?

The study investigates bubbles and crashes in bitcoin by analyzing fundamental and technical indicators’ coincidence (and absence).

Are There Any Simple Calendar Effects in Bitcoin Market?

A new research study analyzes simple calendar effects as intra-day, time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume.

Persistence in Cryptocurrencies

A short research paper shows interesting crypto’s characteristic – finding indicates that the crypto market exhibits persistence and that its degree changes over time.

Price Overreactions in the Cryptocurrency Market

After examining price overreactions in some cryptocurrencies, several parametric and non-parametric tests confirm the presence of price patterns after overreactions.

The Day of the Week Effect in the Crypto Currency Market

The cryptocurrency market’s day of the week effect uses various statistical techniques and a trading simulation approach. Trading simulation analysis shows exploitable profit opportunities as evidence against the efficiency of the cryptocurrency market.

Arbitrage Opportunities in Cryptocurrency Markets

The efficiency and price formation study of bitcoin and other cryptocurrency markets shows significant arbitrage opportunities in bitcoin prices across exchanges, also proves arbitrage opportunities are much more extensive across the same region.

Bitcoin Is Not the New Gold

Research shows that Bitcoin does not reflect any distinctive properties of Gold other than the asymmetric response invariance.

A Very Influential Paper About Tether-Bitcoin Relationship (Manipulation?)

The study examines the interaction between the largest cryptocurrency, Bitcoin, other major cryptocurrencies, and the main stable coin – Tether.

Bitcoin Returns and Volatility Predicted by Bitcoin Exchange Reserves

This blog shows how bitcoin exchange reserves are negatively related to contemporary and future bitcoin returns. Thus, the transfer of bitcoin on exchanges implies increased price pressure and vice versa.

Cryptocurrency Stablecoins – A Review of Recent Research

Stablecoins hold their value stable against a benchmark asset, usually a currency like the USD. We examined two research papers about the potential role of stablecoins in the financial system and a related study focused on the source of their stability.

What Is an Optimal Allocation to Cryptocurrencies?

The philosophical approach of Bayesian Portfolio Theory (BPT) discusses the position and size of cryptocurrencies in traditional portfolios based on prior and changing beliefs.

Are Cryptocurrencies Exposed to Traditional Factor Risks? 

Discover why new spot Bitcoin ETFs are attracting wealthy investors and explore insights on cryptocurrencies portfolio allocation in our blog post.

Systematic Hedging of the Cryptocurrency Portfolio 

Explore useful hedging strategies for securing your cold storage crypto portfolio, mitigating risks, and protecting investments effectively.

Cryptocurrency Market Dynamics Around Bitcoin Futures Expiration Events

Understanding price drivers and investor sentiment is crucial in the cryptocurrency market. This article examines how Bitcoin futures affect price dynamics, particularly during expiration events.

Subscribe for Newsletter

Be first to know, when we publish new content

    The Encyclopedia of Quantitative Trading Strategies

    Log in