Cross-market return jumps

statistical Timeframe: intraday Confidence: 90%
From Paper:
Understanding jumps in high frequency digital asset markets

Danial Saef, Odett Nagy, Sergej Sizov, Wolfgang Karl Härdle

October 18, 2021
Strategy Description:

This strategy involves studying high frequency crypto data to identify jumps in cross-market digital asset returns. These jumps are often clustered around black swan events, and can be used to predict end of day returns. This strategy provides fundamental research for crypto option pricing models.

Parameters:

None

No code implementation available for this strategy yet.
No backtest results available for this strategy yet.
Strategy Metadata
  • Extracted On 2025-05-12 04:01
  • Strategy ID 16
  • Assets digital assets
  • Code Generated