Crypto#143tier 1live in productionNew
crypto vol equity vol spillover
cadence: Dailydata: mediumlong only
paper
2018
Source
Bouri, E., Shahzad, S. J. H., Roubaud, D. (2018). "Co-explosivity in the cryptocurrency market." Journal of International Financial Markets, Institutions and Money, 54, 14-26.
Read the paper →
What it checks
BTC-vol spikes → retail risk-on flow into QQQ/IWM/ARKK within 1-5d.
Mechanism
BTC realized-vol spikes lead tech-ETF vol by 1-5 days; retail-flow rotation.
No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag.
Signal rule
BTC 5d realized vol z > +1 → long target ETF; hold 1/3/5d; fires for {QQQ,IWM,ARKK,SOXX,SMH}Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~10% ann.
- Paper window
- 2013-2017
Bouri-Shahzad-Roubaud 2018: ~10% annualized conditional.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
bitcoin treasury proxiesCryptoBTC momentum (1w/1m) predicts itself; miners have 3-5x operating leverage to BTC.
btc tech correlation regimeCryptoBTC returns are distinct from equity-factor risk; a basket of crypto-proxy stocks tracks BTC with a 1-2 day lag.
vol of vol signalMacro21-day realized vol of VIX; when high → defensive bias on momentum families.
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