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Anti-Persistent Values of the Hurst Exponent Anticipate Mean Reversion in Pairs Trading: The Cryptocurrencies Market as a Case Study

Pairs trading is a short-term speculation trading strategy based on matching a long position with a short position in two assets in the hope that their prices will return to their historical equilibrium. In this paper, we focus on identifying opportunities where mean reversion will happen quickly, a...

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Principais autores: Mar Grande, Florentino Borondo, Juan Carlos Losada, Javier Borondo
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2024-09-01
Serier:Mathematics
Fag:
pairs trading
efficient market
time series
cryptocurrencies
Hurst
prices
Online adgang:https://www.mdpi.com/2227-7390/12/18/2911
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