What is the state of formal research on cryptocurrency investment strategies? In his April 2025 paper entitled "Quantitative Alpha in Crypto Markets: A Systematic Review of Factor Models, Arbitrage Strategies, and Machine Learning Applications", William Mann synthesizes over two dozen peer-reviewed studies on systematic cryptocurrency trading strategies spanning 2018-2025. He categorizes studies as:
- Arbitrage and statistical arbitrage (spot-futures, cross-exchange, pairs trading).
- Factor-based investing (factor models, trend-following, diversification).
- Sentiment and behavioral modeling (news sentiment, social sentiment).
- Volatility forecasting (autoregression, machine learning).
- Algorithmic trading and price prediction (machine learning, deep learning, specialized metrics).
He includes implementation aids in the form of modular Python code for backtesting and a bibliography of published research. Based on the body of relevant formal research, he concludes that:
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