Meno:Michal
Priezvisko:Porubský
Názov:Comovement between cryptocurrencies
Vedúci:RNDr. Ing. Peter Molnár PhD.
Rok:2019
Kµúčové slová:comovement, cryptocurrencies, cointegration, pairs trading, high frequency
Abstrakt:In this text we study comovement between cryptocurrencies, a new and unusually volatile market. We start by discussing cryptocurrencies and the nature of its market. Then we describe the available sources of price data and implement an application that fetches all the available data relevant to our needs. We look closer at two years of price data of one hour frequency for thirty-nine cryptocurrencies and use euclidean distance and cointegration algorithms for analyzing comovement between the cryptocurrencies. Using the information about comovement pairs, we implement a market neutral trad- ing algorithm and discuss the out-of-sample results considering modifications of the algorithm. Lastly, we discuss how our trading algorithm performs on data of fifteen minute and one day frequencies.

Súbory bakalárskej práce:

main.pdf
crawler.zip
analysis.zip