Model-based pairs trading in the bitcoin markets

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Subfields: Finance

How researchers see this paper

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Cryptocurrency trading: a comprehensive survey (2020, background): “Lintihac et al [174] proposed an optimal dynamic pair trading strategy model for a portfolio of assets.”
Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, background): “We set the proportionate transactions cost (T i ) of trading US equities at 50 bps (DeMiguel et al 2009) as well as 17 bps for the risk-free rate and bonds and 50 bps for Bitcoin (Lintilhac and Tourin 2017).”
Optimal vs naïve diversification in cryptocurrencies (2018, methodology): “Therefore we include transaction costs of 50 basis points for all cryptocurrencies, consistent with Lintilhac and Tourin (2017).”
Portfolio management with cryptocurrencies: The role of estimation risk (2019, unknown): “We set the proportionate transaction cost (Ti) per transaction to 50 bps for all cryptocurrencies as in Lintilhac and Tourin (2017).”