• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Maxim Spiridonov
Comparison of the Effectiveness of Statistical Arbitrage in the Stock Market and the Crypto-Currency Market
Economics
(Bachelor’s programme)
2018
Over the past few years, the crypto-currency market has developed very rapidly. Investments in this industry were accompanied by a lot of speculation from private investors. In this paper, we will consider the possibility of applying a popular strategy - «pair trading» in the market of crypto-currencies. Also, a similar strategy will be applied to the US stock market. For research on the crypto-currency market, the most popular currencies traded on the Bitfinex exchange will be selected, and 5 pairs will be formed for trading. Similarly, for the US market will be selected 34 stocks and formed 5 trading pairs. As a result, it will be shown that this strategy works better in the crypto-currency market, since 6 out of 10 tested periods achieved profit, and its maximum value per month was 18.26%. In the US stock market, only 5 out of 10 periods showed a profit, and its maximum value reached 6.8%.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses