Деан  Фантаццини: “Using Crypto-Asset Pricing Methods to Build Technical Oscillators for Short-Term Bitcoin Trading”

В научном журнале «Information»   (2022, 13(12), 560) опубликована статья заместителя заведующего кафедрой Эконометрики и математических методов экономики МШЭ МГУ д.э.н. профессора Деана Фантаццини: “Using Crypto-Asset Pricing Methods to Build Technical Oscillators for Short-Term Bitcoin Trading”, написанная в соавторстве с Zixiu Yang 

Аннотация: 

This paper examines the trading performances of several technical oscillators created using crypto-asset pricing methods for short-term bitcoin trading. Seven pricing models proposed in the professional and academic literature were transformed into oscillators, and two thresholds were introduced to create buy and sell signals. The empirical back-testing analysis showed that some of these methods proved to be profitable with good Sharpe ratios and limited max drawdowns. However, the trading performances of almost all methods significantly worsened after 2017, thus indirectly confirming an increasing financial literature that showed that the introduction of bitcoin futures in 2017 improved the efficiency of bitcoin markets.