• Media type: E-Book
  • Title: Machine Learning and the Cross-Section of Cryptocurrency Returns
  • Contributor: Cakici, Nusret [VerfasserIn]; Shahzad, Syed Jawad Hussain [VerfasserIn]; Bedowska-Sojka, Barbara [VerfasserIn]; Zaremba, Adam [VerfasserIn]
  • imprint: [S.l.]: SSRN, 2022
  • Extent: 1 Online-Ressource (55 p)
  • Language: English
  • DOI: 10.2139/ssrn.4295427
  • Identifier:
  • Keywords: cryptocurrency markets ; machine learning ; return predictability ; limits to arbitrage ; asset pricing ; the cross-section of returns
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 6, 2022 erstellt
  • Description: We employ a repertoire of machine learning models to explore the cross-sectional return predictability in cryptocurrency markets. While all methods generate substantial economic gains, those that account for nonlinearities and interactions fare the best. The return predictability derives mainly from a handful of simple features—such as idiosyncratic volatility, past alpha, or maximum daily return—and is likely driven by mispricing. Accordingly, abnormal returns originate predominantly from short positions, concentrate in hard-to-arbitrage assets, and gradually decline over time. Despite a high portfolio turnover, machine learning strategies remain a profitable net of trading costs. However, they critically depend on shorting small cryptocurrencies, which may pose challenges in practice
  • Access State: Open Access