关于协整和加密货币动态

Georg Keilbar, Yanfen Zhang
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引用次数: 10

摘要

本文旨在对非平稳环境中加密货币的联合动态进行建模。特别是,我们在向量纠错模型(VECM)框架中分析了大型加密货币系统中协整关系的作用。为了能够在动态环境中进行分析,我们提出了COINtensity VECM,这是一种非线性VECM规范,考虑了不同的全系统协整风险。我们的结果表明,加密货币确实是协整的,协整秩为4。我们还发现,所有货币都受到这些长期均衡关系的影响。事实证明,在加密货币泡沫最严重的时候,误差调整的非线性更强。提出了一种简单的统计套利交易策略,显示出良好的样本内性能,而样本外分析则给出了谨慎对待该策略的理由。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
On cointegration and cryptocurrency dynamics
This paper aims to model the joint dynamics of cryptocurrencies in a nonstationary setting. In particular, we analyze the role of cointegration relationships within a large system of cryptocurrencies in a vector error correction model (VECM) framework. To enable analysis in a dynamic setting, we propose the COINtensity VECM, a nonlinear VECM specification accounting for a varying systemwide cointegration exposure. Our results show that cryptocurrencies are indeed cointegrated with a cointegration rank of four. We also find that all currencies are affected by these long term equilibrium relations. The nonlinearity in the error adjustment turned out to be stronger during the height of the cryptocurrency bubble. A simple statistical arbitrage trading strategy is proposed showing a great in-sample performance, whereas an out-of-sample analysis gives reason to treat the strategy with caution.
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