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Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages |
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| Authors: | Fig&# -Talamanca,Gianna,Focardi,Sergio,Patacca,Marco |
| Affiliation: | Figá-Talamanca,Gianna,Focardi,Sergio,Patacca,Marco |
| Abstract: | Decisions in Economics and Finance - In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the... |
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