Pairs trading in cryptocurrencies
The competition and voting have completed. Winners were determined by the citizens of Lykke City.
Days of the project
Nov 29, 2017 - Jan 14, 2018 (45 days)
Nov 29, 2017 - Jan 7, 2018
Dec 1, 2017 - Jan 7, 2018
Jan 7 - Jan 14, 2018
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.
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
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.
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 $
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.
|December 23, 2017 10:16|
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For this project, none of the submitted results matched our experts expectations, so we decided not to award the first prize.