Cryptos

Current Research (including collaborations with industry):

  • Statistical Arbitrage
  • Machine Learning (ML)-powered analytics (prices & trading activities)
  • Crypto-portfolio management

Talks:

  • Cryptocurrency Market & Trading Strategies @ Seattle University, Nov 19, 2018

Papers:

  • Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage, [pdf] Studies in Economics and Finance 2018 (w. Hung Nguyen (UW CFRM))

Abstract:

In this paper, we analyze the process of constructing cointegrated portfolios of cryptocurrencies. Our procedure involves a series of statistical tests, including the Johansen cointegration test and Engle-Granger two-step approach. Among our results, we construct cointegrated portfolios involving four cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Bitcoin Cash (BCH), and Litecoin (LTC). We develop a number of trading strategies under different entry/exit thresholds and risk constraints, and examine their performance in details through backtesting and comparison analysis. Our methodology can be applied more generally to create new cointegrated portfolio using other cryptocurrencies.

  • Designing Stable Coins, working paper 2018 (with Kevin Guo (Millennium Partners))
  • Price Dynamics of Bitcoin Futures, working paper 2018 (w. Hung Nguyen)

email: timleung@uw.edu