For the Project
- Find relevant Cryptocurrency data from a reputable source (Fred is a good place to start, Bloomberg is also good).
- Construct a trading strategy designed to highlight momentum if it exists for these asset classes.
- Run several variants of the strategy if possible and compare results from the perspective of raw return, risk, skewness, kurtosis, CAPM alpha and FF4 factor model alpha (momentum her is in equity, so you can see if you get different results, you can drop the momentum term if you want, that’s sometimes called the FF 3 factor model). When running regressions please make sure to interpret the changes in coefficients (slopes) between models. Ask if you need help or want to talk through the interpretations.
The final paper should include
- Title
- Abstract (short paragraph summary of paper)
- Author(s) Name(s) (generally on front page below abstract)
- Introduction (why are we doing this, what’s the point, what has already been done, what are we trying to show? Should include some literature review beyond the posted papers).
- Data – What data did you choose, list sources, provide summary statistics, visualizations/charts in the appendix but referenced here.
- Body of the paper, can be named and subdivided as you see fit. Explain the logic for your trading strategy, and how it will be implemented, show results & visualizations
- Discuss any limitations of the strategy you think are appropriate, for example will it generate high trading costs?
- Conclusion including topics for future research, how you might try and improve strategy in future
- References
- Tables/figures (any output from your code you want to show/discuss in the body above)
- Appendix (include all code here you reference in the paper with prompt and model used)