Trading Cryptocurrencies Using Second Order Stochastic Dominance
This research is the first attempt to customize a trading system that is based on second order stochastic dominance (SSD) to five known cryptocurrencies’ daily data: Bitcoin, Ethereum, XRP, Binance Coin, and Cardano. Results show that our system can predict price trends of cryptocurrencies, trade th...
| Published in: | Mathematics |
|---|---|
| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-11-01
|
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/22/2861 |
| _version_ | 1851831205915262976 |
|---|---|
| author | Gil Cohen |
| author_facet | Gil Cohen |
| author_sort | Gil Cohen |
| collection | DOAJ |
| container_title | Mathematics |
| description | This research is the first attempt to customize a trading system that is based on second order stochastic dominance (SSD) to five known cryptocurrencies’ daily data: Bitcoin, Ethereum, XRP, Binance Coin, and Cardano. Results show that our system can predict price trends of cryptocurrencies, trade them profitably, and in most cases outperform the buy and hold (B&H) simple strategy. Our system’s best performance was achieved trading XRP, Binance Coin, Ethereum, and Bitcoin. Although our system has also generated a positive net profit (NP) for Cardano, it failed to outperform the B&H strategy. For all currencies, the system better predicted long trends than short trends. |
| format | Article |
| id | doaj-art-e586907eb2074ef2b61ba82b679c1c5d |
| institution | Directory of Open Access Journals |
| issn | 2227-7390 |
| language | English |
| publishDate | 2021-11-01 |
| publisher | MDPI AG |
| record_format | Article |
| spelling | doaj-art-e586907eb2074ef2b61ba82b679c1c5d2025-08-19T22:32:00ZengMDPI AGMathematics2227-73902021-11-01922286110.3390/math9222861Trading Cryptocurrencies Using Second Order Stochastic DominanceGil Cohen0Department of Management, Western Galilee Academic College, Acre 2412101, IsraelThis research is the first attempt to customize a trading system that is based on second order stochastic dominance (SSD) to five known cryptocurrencies’ daily data: Bitcoin, Ethereum, XRP, Binance Coin, and Cardano. Results show that our system can predict price trends of cryptocurrencies, trade them profitably, and in most cases outperform the buy and hold (B&H) simple strategy. Our system’s best performance was achieved trading XRP, Binance Coin, Ethereum, and Bitcoin. Although our system has also generated a positive net profit (NP) for Cardano, it failed to outperform the B&H strategy. For all currencies, the system better predicted long trends than short trends.https://www.mdpi.com/2227-7390/9/22/2861cryptocurrenciesBitcoinEthereumalgorithmic tradingartificial intelligence |
| spellingShingle | Gil Cohen Trading Cryptocurrencies Using Second Order Stochastic Dominance cryptocurrencies Bitcoin Ethereum algorithmic trading artificial intelligence |
| title | Trading Cryptocurrencies Using Second Order Stochastic Dominance |
| title_full | Trading Cryptocurrencies Using Second Order Stochastic Dominance |
| title_fullStr | Trading Cryptocurrencies Using Second Order Stochastic Dominance |
| title_full_unstemmed | Trading Cryptocurrencies Using Second Order Stochastic Dominance |
| title_short | Trading Cryptocurrencies Using Second Order Stochastic Dominance |
| title_sort | trading cryptocurrencies using second order stochastic dominance |
| topic | cryptocurrencies Bitcoin Ethereum algorithmic trading artificial intelligence |
| url | https://www.mdpi.com/2227-7390/9/22/2861 |
| work_keys_str_mv | AT gilcohen tradingcryptocurrenciesusingsecondorderstochasticdominance |