Comparison of the Effectiveness of Statistical Arbitrage in the Stock Market and the Crypto-Currency Market

Student: Spiridonov Maxim

Educational Programme: Economics (Bachelor)

Year of Graduation: 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%.

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