Summary of Research on Cryptocurrency Quantitative Strategies

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:

1. Arbitrage and statistical arbitrage (spot-futures, cross-exchange, pairs trading).
2. Factor-based investing (factor models, trend-following, diversification).
3. Sentiment and behavioral modeling (news sentiment, social sentiment).
4. Volatility forecasting (autoregression, machine learning).
5. 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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