---
title: Cointegrated Portfolios and Volatility modeling in the Cryptocurrency Market
url: https://www.ml-quant.com/papers/ssrn/4756389/
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 4756389
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4756389
featured: 2024-03-13
citations: 1
topic: Crypto & DeFi
---


# Cointegrated Portfolios and Volatility modeling in the Cryptocurrency Market

The study finds a correlation between cryptocurrency market volatility and trading spread, suggesting portfolios based on the Johansen procedure yield the highest returns.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4756389
- Identifier: SSRN 4756389
- Released: 2024-03-11
- First featured: Quant Letter No. 40 (2024-03-13): https://www.ml-quant.com/issues/2024-03-13/
- Citations (Semantic Scholar): 1
- Published in: not yet
- Topic: Crypto & DeFi

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