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Activity Number: 190 - Contributed Poster Presentations: Section on Risk Analysis
Type: Contributed
Date/Time: Monday, July 30, 2018 : 10:30 AM to 12:20 PM
Sponsor: Section on Risk Analysis
Abstract #329813
Title: High Frequency Momentum Trading with Cryptocurrencies
Author(s): Stephen Chan*
Companies: American University of Sharjah
Keywords: High Frequency ; Momentum Trading; Cryptocurrencies; Risk strategy
Abstract:

Many financial trading strategies to Cryptocurrencies usually involves the use of artificial networks, neural networks, algorithmic trading, etc., arguably methods which require significant computing power. We contribute to the literature instead by examining one of the simplest traditional trading strategies in finance - momentum trading, and provide a small extension of this method to cryptocurrencies in a high frequency setting. We investigate whether it can be adapted for use with cryptocurrencies (in a high frequency scenario) as an alternative to more complex methods, whilst still yielding positive results.


Authors who are presenting talks have a * after their name.

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