Over the past few years, the crypto-currency market has been developing rapidly. Large investments in this industry were accompanied by a lot of speculation from private investors. If we talk about the traditional stock market, then in today's trading you could observe quite a lot of trading strategies. They are divided into both the holding time of the position and the way the signal is determined to open the position. A special place is occupied by statistical arbitrage. In this article, we will consider the possibility of applying statistical arbitrage in the market of crypto-currencies, and comparing its effectiveness with the use in traditional exchanges, or rather - in the US stock market.
The article is devoted to a new approach for the Russian market, aimed at predicting the prices of financial assets and making market operations - a statistical arbitrage. Despite the fact that the western markets, investors have long been actively using the methods of statistical arbitrage, in Russia they have not yet received adequate distribution. The authors reveal the essence of this approach and demonstrated its effectiveness in the Russian stock market.
The topicality of capital allocating efficiency increasing becomes more urgent with the volatility growth in financial markets. The article provides an innovative approach for currency risks management using composite currency pairs indexes forming stationary time series.