---
title: Quantitative Alpha in Crypto
url: https://www.ml-quant.com/papers/ssrn/5225612/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5225612
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5225612
featured: 2025-04-23
citations: unknown
topic: Crypto & DeFi
---


# Quantitative Alpha in Crypto

Systematic cryptocurrency investment strategies are statistically valid, with machine learning methods showing superior performance in capturing nonlinear price patterns, a review of studies shows.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5225612
- Identifier: SSRN 5225612
- Released: 2025-04-21
- First featured: Quant Letter No. 94 (2025-04-23): https://www.ml-quant.com/issues/2025-04-23/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Crypto & DeFi

## Related

- [Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero](https://www.ml-quant.com/papers/arxiv/2511.22782/): The study examines the price factors influencing five major cryptocurrencies from 2010-2018, highlighting the roles of market conditions, long-term appeal, and the SP500 index.
- [International Financial Markets Through 150 Years: Evaluating Stylized Facts](https://www.ml-quant.com/papers/arxiv/2504.08611/): The article examines eleven financial market patterns across different regions and cryptocurrencies over 150 years, offering insights into their reliability and applicability.
- [Impact of the COVID-19 Pandemic on the Financial Market Efficiency of Price Returns, Absolute Returns, and Volatility Increment: Evidence from Stock and Cryptocurrency Markets](https://www.ml-quant.com/papers/arxiv/2504.18960/): The COVID-19 pandemic's impact on market efficiency varies across asset classes and markets, affecting returns in stock markets and multifractality in cryptocurrency markets.
- [Beyond the mean: limit theory and tests for infinite-mean autoregressive conditional durations](https://www.ml-quant.com/papers/arxiv/2505.06190/): The research applies a unified asymptotic theory to high-frequency cryptocurrency ETF trading data, revealing infinite-mean durations for all five cryptocurrencies studied.
- [Informer in Algorithmic Investment Strategies on High Frequency Bitcoin Data](https://www.ml-quant.com/papers/arxiv/2503.18096/): The article discusses the effectiveness of Informer architecture in developing automated Bitcoin trading strategies, with certain models performing better when trained on high-frequency data.
- [Cryptocurrencies in the Balance Sheet: Insights from (Micro)Strategy - Bitcoin Interactions](https://www.ml-quant.com/papers/arxiv/2505.14655/): The relationship between cryptocurrency and equity markets is changing, with Bitcoin being the main information source, emphasizing the need for dynamic hedging ratios for risk management and portfolio diversification.