# Altcoin-Bitcoin Arbitrage

## TL;DR

This paper presents an algorithm and source code for a statistical arbitrage strategy in cryptoassets, exploiting mean-reversion driven by momentum factors, with empirical validation and discussion of liquidity and trading implications.

## Contribution

It introduces a novel arbitrage algorithm based on mean-reversion in cryptoassets and provides empirical evidence of its effectiveness across different assets.

## Key findings

- Significant arbitrage alpha identified in specific cryptoasset cross-sections.
- Empirical data supports the mean-reversion hypothesis in cryptoasset returns.
- Discussion of liquidity considerations affecting arbitrage implementation.

## Abstract

We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in https://ssrn.com/abstract=3245641. Using empirical data, we identify the cross-section of cryptoassets for which this altcoin-Bitcoin arbitrage alpha is significant and discuss it in the context of liquidity considerations as well as its implications for cryptoasset trading.