I'd love to see a MST including BTC.
Then you could build a volatility harvesting portfolio for the entire crypto market.
RE: Visualizing Alt-Coin Correlation
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Visualizing Alt-Coin Correlation
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great idea, i'll have to make that graph in a follow up post!
followed you btw, you had me at "volatility harvesting portfolio" and your top post has VWAP in it LOL i'll have to take a read later
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Thanks for the follow! I follow your posts as well.
I'm definitely not a hard core quant like you seem to be, but I like to think I have a decent understanding of markets.
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Very nice use of built-in network analysis libraries to show correlations. How would you convert this insight into a trading strategy? In other words, would you be able to correlate temporally with prior patterns and then project the one further along as a probable path for the one following? Very nice analysis again - really enjoyed this presentation. Do check my posts on Elliot waves of these crytpos and would appreciate your feedback.
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easiest way to use something like this is using one of the members of a family of strats known as statistical arbitrage. the simplest version of that is pairs trading, where you find two highly correlation assets and then trade temporary "mispricings" in their long term equilibrium relationship
so for example, in the EOS / ADA example, you could build a linear model which says "given the price of ADA, EOS should be X" and when then real price of EOS is significantly different than X you take a position, either going long EOS and short ADA or visa versa.
of course in cash crypto markets its not always possible to really "short" and so to take advantage of the stat arb trade you would have to maintain inventories in both crypto's
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I think you hit reply in the wrong place
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