Statistical Arbitrage Crypto
Statistical arbitrage is a data-driven trading strategy that seeks to identify and exploit inefficiencies in financial markets by uncovering predictive relationships between price, volume, and other market variables. It is widely used in quantitative hedge funds and high-frequency trading firms due to its ability to systematically generate alpha. Despite its success in traditional equity and futures markets, statistical arbitrage remains relatively underexplored in the cryptocurrency space. Given the decentralized nature, 24/7 trading cycles, and high volatility of digital assets, crypto markets present unique inefficiencies that may be well-suited for statistical arbitrage techniques.
This project aims to research and develop profitable trading strategies by leveraging statistical arbitrage principles in the crypto markets. Specifically, it focuses on two fundamental price behaviors:
Momentum – the tendency of assets to continue moving in the same direction after a significant price movement.
Reversal – the tendency of assets to mean-revert following excessive price deviations.
By analyzing historical price, volume, and market structure data, the project seeks to uncover robust, data-driven trading signals that can be applied to a systematic trading framework. The ultimate objective is to design and optimize a set of crypto trading strategies that can consistently identify and capture statistical inefficiencies while managing risk and transaction costs effectively.
To view the full project, click here.