{"id":"https://openalex.org/W7134969887","doi":"https://doi.org/10.2139/ssrn.6188418","title":"Pairs Trading in Crypto","display_name":"Pairs Trading in Crypto","publication_year":2026,"publication_date":"2026-01-01","ids":{"openalex":"https://openalex.org/W7134969887","doi":"https://doi.org/10.2139/ssrn.6188418"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.6188418","doi":"https://doi.org/10.2139/ssrn.6188418","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.6188418","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.6188418","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5028310215","display_name":"SASHA F. STOIKOV","orcid":"https://orcid.org/0000-0002-0540-5846","observed_orcids":["https://orcid.org/0000-0002-0540-5846"]},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Sasha Stoikov","raw_affiliation_strings":["Cornell Financial Engineering Manhattan","Cornell Financial Engineering Manhattan, 2 W Loop Rd, New York, NY New York 10044, United States"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Cornell Financial Engineering Manhattan","institution_ids":["https://openalex.org/I205783295"]},{"raw_affiliation_string":"Cornell Financial Engineering Manhattan, 2 W Loop Rd, New York, NY New York 10044, United States","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5026704449","display_name":"Dora Xu","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Dora Xu","raw_affiliation_strings":["Cornell University - Cornell Financial Engineering Manhattan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Cornell University - Cornell Financial Engineering Manhattan","institution_ids":["https://openalex.org/I205783295"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5128778777","display_name":"Shijie Shao","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Shijie Shao","raw_affiliation_strings":["Cornell University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Cornell University","institution_ids":["https://openalex.org/I205783295"]}]},{"author_position":"middle","author":{"id":null,"display_name":"Yourui Wang","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Yourui Wang","raw_affiliation_strings":["Cornell University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Cornell University","institution_ids":["https://openalex.org/I205783295"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5063004474","display_name":"Tongshu Zhang","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Tongshu Zhang","raw_affiliation_strings":["Cornell University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Cornell University","institution_ids":["https://openalex.org/I205783295"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5159821504","display_name":"Jinxuan Hu","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jinxuan Hu","raw_affiliation_strings":["Cornell University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Cornell University","institution_ids":["https://openalex.org/I205783295"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5028310215"],"corresponding_institution_ids":["https://openalex.org/I205783295"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9355000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9355000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.03790000081062317,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.016200000420212746,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/pairs-trading","display_name":"pairs trading","score":0.8429999947547913},{"id":"https://openalex.org/keywords/cryptocurrency-trading","display_name":"cryptocurrency trading","score":0.7910000085830688},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"mean reversion","score":0.9739999771118164},{"id":"https://openalex.org/keywords/relative-value","display_name":"relative value","score":0.5249999761581421},{"id":"https://openalex.org/keywords/correlation-clustering","display_name":"correlation clustering","score":0.9150000214576721},{"id":"https://openalex.org/keywords/pair-selection","display_name":"pair selection","score":0.5590000152587891},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"algorithmic trading","score":0.7120000123977661},{"id":"https://openalex.org/keywords/market-neutrality","display_name":"market neutrality","score":0.6449999809265137},{"id":"https://openalex.org/keywords/liquidity","display_name":"liquidity","score":0.6949999928474426},{"id":"https://openalex.org/keywords/execution-cost","display_name":"execution cost","score":0.9200000166893005},{"id":"https://openalex.org/keywords/convergence-reliability","display_name":"convergence reliability","score":0.4449999928474426},{"id":"https://openalex.org/keywords/risk-control","display_name":"risk control","score":0.3009999990463257}],"concepts":[{"id":"https://openalex.org/C180706569","wikidata":"https://www.wikidata.org/wiki/Q13479982","display_name":"Cryptocurrency","level":2,"score":0.7379000186920166},{"id":"https://openalex.org/C2777303404","wikidata":"https://www.wikidata.org/wiki/Q759757","display_name":"Convergence (economics)","level":2,"score":0.5419999957084656},{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.5386000275611877},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5194000005722046},{"id":"https://openalex.org/C112972136","wikidata":"https://www.wikidata.org/wiki/Q7595718","display_name":"Stability (learning theory)","level":2,"score":0.513700008392334},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.46709999442100525},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4645000100135803},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.46399998664855957},{"id":"https://openalex.org/C158876240","wikidata":"https://www.wikidata.org/wiki/Q17105131","display_name":"Pairs trade","level":4,"score":0.4530999958515167},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.4065999984741211},{"id":"https://openalex.org/C2780801425","wikidata":"https://www.wikidata.org/wiki/Q5164392","display_name":"Construct (python library)","level":2,"score":0.40630000829696655},{"id":"https://openalex.org/C24683644","wikidata":"https://www.wikidata.org/wiki/Q138372","display_name":"High-frequency trading","level":3,"score":0.40139999985694885},{"id":"https://openalex.org/C201236551","wikidata":"https://www.wikidata.org/wiki/Q7310809","display_name":"Relative value","level":2,"score":0.38960000872612},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.38830000162124634},{"id":"https://openalex.org/C186797051","wikidata":"https://www.wikidata.org/wiki/Q60738868","display_name":"Trend following","level":2,"score":0.35010001063346863},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.34299999475479126},{"id":"https://openalex.org/C2779843651","wikidata":"https://www.wikidata.org/wiki/Q7390335","display_name":"SIGNAL (programming language)","level":2,"score":0.3353999853134155},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.32760000228881836},{"id":"https://openalex.org/C28719098","wikidata":"https://www.wikidata.org/wiki/Q44946","display_name":"Point (geometry)","level":2,"score":0.32519999146461487},{"id":"https://openalex.org/C61797465","wikidata":"https://www.wikidata.org/wiki/Q1188986","display_name":"Term (time)","level":2,"score":0.29840001463890076},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.2935999929904938},{"id":"https://openalex.org/C75684735","wikidata":"https://www.wikidata.org/wiki/Q858810","display_name":"Big data","level":2,"score":0.29319998621940613},{"id":"https://openalex.org/C114118609","wikidata":"https://www.wikidata.org/wiki/Q3036837","display_name":"Market data","level":2,"score":0.29089999198913574},{"id":"https://openalex.org/C167416602","wikidata":"https://www.wikidata.org/wiki/Q2859660","display_name":"Statistical arbitrage","level":5,"score":0.28200000524520874},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.27160000801086426},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.2651999890804291},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2639000117778778},{"id":"https://openalex.org/C2992337254","wikidata":"https://www.wikidata.org/wiki/Q31275820","display_name":"Financial stability","level":2,"score":0.2623000144958496},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.25850000977516174}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2139/ssrn.6188418","doi":"https://doi.org/10.2139/ssrn.6188418","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.6188418","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"}],"best_oa_location":{"id":"doi:10.2139/ssrn.6188418","doi":"https://doi.org/10.2139/ssrn.6188418","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.6188418","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W3008413283","https://openalex.org/W4406293608","https://openalex.org/W4383818668","https://openalex.org/W4411004660","https://openalex.org/W3178497623","https://openalex.org/W7160113443","https://openalex.org/W4412973953","https://openalex.org/W7164361320","https://openalex.org/W4389272391","https://openalex.org/W7005127395"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-11-09T13:22:03.289127","created_date":"2026-03-12T00:00:00"}
