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.
 

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.

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.

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