| Meno: | Michal
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| Priezvisko: | Porubský
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| Názov: | Comovement between cryptocurrencies
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| Vedúci: | RNDr. Ing. Peter Molnár PhD.
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| Rok: | 2019
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| Kµúčové slová: | comovement, cryptocurrencies, cointegration, pairs trading, high frequency
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| 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.
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