Returns to Buying Winners and Selling Losers: A Look at Cryptocurrencies
This paper is, to my knowledge, one of the first ever to examine the effectiveness of price momentum trading strategies applied to cryptocurrencies. Using aggregate OHLCV (Open, High, Low, Close, Volume) data on cryptocurrency pairs from Poloniex, Bittrex, and Bitfinex, I apply Jegadeesh and Titman’...
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| Format: | Others |
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Scholarship @ Claremont
2018
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| Online Access: | http://scholarship.claremont.edu/cmc_theses/1842 http://scholarship.claremont.edu/cgi/viewcontent.cgi?article=3039&context=cmc_theses |