Trading Cryptocurrencies Using Second Order Stochastic Dominance

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 th...

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Auteur principal:	Gil Cohen
Format:	article
Langue:	EN
Publié:	MDPI AG 2021
Sujets:	cryptocurrencies Bitcoin Ethereum algorithmic trading artificial intelligence Mathematics QA1-939
Accès en ligne:	https://doaj.org/article/e586907eb2074ef2b61ba82b679c1c5d
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spelling	oai:doaj.org-article:e586907eb2074ef2b61ba82b679c1c5d2021-11-25T18:16:40ZTrading Cryptocurrencies Using Second Order Stochastic Dominance10.3390/math92228612227-7390https://doaj.org/article/e586907eb2074ef2b61ba82b679c1c5d2021-11-01T00:00:00Zhttps://www.mdpi.com/2227-7390/9/22/2861https://doaj.org/toc/2227-7390This 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.Gil CohenMDPI AGarticlecryptocurrenciesBitcoinEthereumalgorithmic tradingartificial intelligenceMathematicsQA1-939ENMathematics, Vol 9, Iss 2861, p 2861 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	cryptocurrencies Bitcoin Ethereum algorithmic trading artificial intelligence Mathematics QA1-939
spellingShingle	cryptocurrencies Bitcoin Ethereum algorithmic trading artificial intelligence Mathematics QA1-939 Gil Cohen Trading Cryptocurrencies Using Second Order Stochastic Dominance
description	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.
format	article
author	Gil Cohen
author_facet	Gil Cohen
author_sort	Gil Cohen
title	Trading Cryptocurrencies Using Second Order Stochastic Dominance
title_short	Trading Cryptocurrencies Using Second Order Stochastic Dominance
title_full	Trading Cryptocurrencies Using Second Order Stochastic Dominance
title_fullStr	Trading Cryptocurrencies Using Second Order Stochastic Dominance
title_full_unstemmed	Trading Cryptocurrencies Using Second Order Stochastic Dominance
title_sort	trading cryptocurrencies using second order stochastic dominance
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/e586907eb2074ef2b61ba82b679c1c5d
work_keys_str_mv	AT gilcohen tradingcryptocurrenciesusingsecondorderstochasticdominance
_version_	1718411412093534208

Trading Cryptocurrencies Using Second Order Stochastic Dominance

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