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[2L4-GS-13-05] Cointegration Pairs Trading between Cryptocurrency Markets
Keywords:Forex Market, Order Infomation, Machine Learning
We applied cointegration pairs trading to cryptocurrency markets.Cryptocurrency pairs were selected by the cointegration test based on the regression analysis,and the mean reversion of its residual was used for getting profits.However,because of the possibility that the cointegration is unsustainable,the diversified investment is important to stabilize profits of cointegration pairs trading in cryptocurrency markets.
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