Pairs Trading, Cryptocurrencies and Cointegration : A Performance Comparison of Pairs Trading Portfolios of Cryptocurrencies Formed Through the Augmented Dickey Fuller Test, Johansen’s Test and Phillips Perron’s Test
This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Statistiska institutionen
2019
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-385484 |