$400
1stPrize
$300
2ndPrize
$300
2ndPrize
$300
2ndPrize
$300
2ndPrize
SUBMISSION
  • 07.01.2018
Login and Participate

The contest began. You can still participate, and will be able to evaluate the results of the competition after January 7.

  • Registration

    Nov 29 - Jan 7

  • Submissions

    Dec 1 - Jan 7

  • Voting

    Jan 7 - Jan 14

Pairs trading, a market-neutral strategy, is one of the most well-known and heavily used strategies among hedge funds and portfolio managers. This popular statistical arbitrage strategy was developed during the 1980s by a group of computer scientists, mathematicians, and physicists, working for Morgan Stanley. A strategy, making use of inefficiencies in financial markets, matching a long position with a short position in two stocks, exchange-traded funds (ETFs), currencies, commodities or options of the same sector.

At Lykke, we are interested to conduct research regarding pairs trading with respect to intrinsic time.

Pairs Trading

The goal is to match two trading vehicles that are highly correlated, trading one long and the other short when the pair's price ratio diverges. The entry points are found with the help of standard deviations and historical data. If the pair reverts to its mean trend, a profit is made on one or both of the positions.

 

Cryptocurrency Correlation Matrix

sifrdata.com



Requirements for the work

  • The submission should include an analysis of pairs trading in cryptocurrencies. Please include the programming code used for your research work.

  • Any formulas or plots should be also included in the document.

Prize

The first prize is the opportunity to join Lykke team for innovative projects!
The contestants will receive a prize money of 400, 300, 300, 300 $

Support

Please refer to the Terms of Use of the organization and remuneration issues. If you have any questions, please feel free to ask them in the comments to the contest. 

A few disclaimers

There is no guarantee of winning a prize. The prizes are only awarded to entries that the Lykke judges find worthwhile. Prizes are awarded in Lykke coins, which may be redeemed for currency and sent to your bank. You must be at least 18 years of age. You must not submit twice — your first submission is the one that counts. You will be responsible for declaring your own income to your local tax authorities. All submissions will be disclosed to the public. The prizes are given at Lykke’s sole discretion. The decisions of the judges will be final — there is no appeals process if your project does not win a prize. No other compensation will be given at this stage.

 

Experts

AUTHOR Lykke co-founder and Chief Research Officer
Lykke co-founder and Chief Technical Officer
Lykke co-founder and and Chief Operations Officer
Lykke Chief Business Development Officer
Seamus Donoghue
Lykke Singapore Director
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