Trading Cryptocurrencies Using Second Order Stochastic Dominance

【Author】 Cohen, Gil

【Source】MATHEMATICS

【影响因子】2.592

【Abstract】This research is the first attempt to customize a trading system that is based on second order stochastic dominance (SSD) to five known cryptocurrencies' daily data: Bitcoin, Ethereum, XRP, Binance Coin, and Cardano. Results show that our system can predict price trends of cryptocurrencies, trade them profitably, and in most cases outperform the buy and hold (B & H) simple strategy. Our system's best performance was achieved trading XRP, Binance Coin, Ethereum, and Bitcoin. Although our system has also generated a positive net profit (NP) for Cardano, it failed to outperform the B & H strategy. For all currencies, the system better predicted long trends than short trends.

【Keywords】cryptocurrencies; Bitcoin; Ethereum; algorithmic trading; artificial intelligence

【发表时间】2021 NOV

【收录时间】2022-01-01

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