Trading Cryptocurrencies Using Second Order Stochastic Dominance

被引：2
|
作者：
Cohen, Gil [1 ]
机构：
[1] Western Galilee Acad Coll, Dept Management, IL-2412101 Akko, Israel
来源：
MATHEMATICS | 2021年 / 9卷 / 22期
关键词：
cryptocurrencies; Bitcoin; Ethereum; algorithmic trading; artificial intelligence; BITCOIN;
D O I：
10.3390/math9222861
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
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.
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页数：10
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