Back-Testing of Statistical Arbitrage with Predictions in Cryptocurrency Markets

The explosive growth of cryptocurrency markets has captured the attention of both academic researchers and professional traders, leading to the development of various sophisticated trading strategies. Among these, statistical arbitrage stands out as a prominent approach, utilizing statistical models to identify and exploit price discrepancies between correlated assets. This paper focuses on the back-testing of statistical arbitrage strategies within the volatile and often unpredictable environment of cryptocurrency…