Purpose This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading strategies for the cryptocurrency portfolios. Design/methodology/approach The authors apply a series of statistical methods, including the Johansen test and Engle–Granger test, to derive a linear combination of cryptocurrencies that form a mean-reverting portfolio. Trading systems are designed and different trading strategies with stop-loss constraints are tested and compared according to a set of performance metrics. Findings The paper finds cointegrated portfolios involving four cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Bitcoin Cash (BCH) and Litecoin (LTC), and the corresponding trading strategies are shown to be profitable under different configurations. Originality/value The main contributions of the study are the use of multiple altcoins in addition to bitcoin to construct a cointegrated portfolio, and the detailed comparison of the performance of different trading strategies with and without stop-loss constraints.
{"title":"Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage","authors":"Tim Leung, H. Nguyễn","doi":"10.2139/ssrn.3235890","DOIUrl":"https://doi.org/10.2139/ssrn.3235890","url":null,"abstract":"\u0000Purpose\u0000This paper aims to present a methodology for constructing cointegrated portfolios consisting of different cryptocurrencies and examines the performance of a number of trading strategies for the cryptocurrency portfolios.\u0000\u0000\u0000Design/methodology/approach\u0000The authors apply a series of statistical methods, including the Johansen test and Engle–Granger test, to derive a linear combination of cryptocurrencies that form a mean-reverting portfolio. Trading systems are designed and different trading strategies with stop-loss constraints are tested and compared according to a set of performance metrics.\u0000\u0000\u0000Findings\u0000The paper finds cointegrated portfolios involving four cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Bitcoin Cash (BCH) and Litecoin (LTC), and the corresponding trading strategies are shown to be profitable under different configurations.\u0000\u0000\u0000Originality/value\u0000The main contributions of the study are the use of multiple altcoins in addition to bitcoin to construct a cointegrated portfolio, and the detailed comparison of the performance of different trading strategies with and without stop-loss constraints.\u0000","PeriodicalId":128369,"journal":{"name":"CompSciRN: Other Cybersecurity","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123379828","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2018-06-23DOI: 10.1007/978-3-319-95450-9_4
Z. Alansari, N. B. Anuar, A. Kamsin, S. Soomro, M. R. Belgaum, Mahdi H. Miraz, J. Alshaer
{"title":"Challenges of Internet of Things and Big Data Integration","authors":"Z. Alansari, N. B. Anuar, A. Kamsin, S. Soomro, M. R. Belgaum, Mahdi H. Miraz, J. Alshaer","doi":"10.1007/978-3-319-95450-9_4","DOIUrl":"https://doi.org/10.1007/978-3-319-95450-9_4","url":null,"abstract":"","PeriodicalId":128369,"journal":{"name":"CompSciRN: Other Cybersecurity","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125528114","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The Greater Washington region is one of three leading cybersecurity industry clusters in the world. The proximity of this region to federal agencies, particularly in national security, has created a vibrant ecosystem linking talent and businesses with federal and commercial customers. National security agencies, such as the National Security Agency and the Defense Advanced Projects Research Agency, are a specific driver of cybersecurity research and development. Collectively, these favorable conditions support a broad array of businesses that contract with the federal government and provide cybersecurity innovations to commercial customers around the world.
To better understand the composition of the Greater Washington region’s cybersecurity business base, this study differentiates between the more than 850 cybersecurity businesses in the region identified by us in a prior study that did at least some cybersecurity business and focuses more squarely on those that work only in cybersecurity. We describe these businesses as “pure play” cybersecurity firms. Our study examined the roots of pure-play cybersecurity firms by examining the background of their founders. We collected data on 177 pure-play cyber firms – and their founders – in the Greater Washington region (61% of the firms are in Northern Virginia and the rest in suburban Maryland and Washington D.C.). We believe that our dataset represents close to a census of such firms in this region. In these firms, there are 264 founders (48% of the firms have just one founder).
There is clearly a premium placed on prior experience in the national security ecosystem. Almost three quarters (72%) of the pure-play cybersecurity firms had at least one founder with prior experience as either a vendor to the government or as a government employee. And in more than half of these firms (52%) this experience was a direct result of government service. This validates those who have previously argued that there is a close connection between Greater Washington region cybersecurity startups and the national security ecosystem. It also distinguishes the region from competing cybersecurity clusters such as Silicon Valley. Additionally, the premium on locally gained experience makes the Greater Washington region’s pure play cybersecurity startup ecosystem very much a local industry: 78% of founders worked in Greater Washington prior to founding the firm.
Our research provided some other important insights. More than a quarter (26%) of founders founded at least one firm prior to their current business. Observers of innovation-based economic development often tie the long-term viability of a region as a tech hub to its ability to generate serial entrepreneurs. We also saw less impact from universities than what prevails in competing regions, as only 8% of founders emerged from university work. Demographically, female founders represented 8% of all founders, which underscores the shortfall of wome
大华盛顿地区是世界三大网络安全产业集群之一。该地区靠近联邦机构，特别是国家安全机构，创造了一个充满活力的生态系统，将人才和企业与联邦和商业客户联系起来。国家安全局和国防高级项目研究局等国家安全机构是网络安全研究与开发的具体推动者。总的来说，这些有利条件支持了与联邦政府签订合同并向全球商业客户提供网络安全创新的广泛企业。为了更好地理解大华盛顿地区网络安全业务基础的构成，本研究区分了我们在之前的研究中确定的该地区至少从事一些网络安全业务的850多家网络安全企业，并更直接地关注那些只从事网络安全业务的企业。我们将这些企业描述为“纯粹的”网络安全公司。我们的研究通过考察纯网络安全公司创始人的背景来考察其根源。我们收集了大华盛顿地区177家纯网络公司及其创始人的数据(61%的公司位于弗吉尼亚州北部，其余的位于马里兰州郊区和华盛顿特区)。我们认为，我们的数据集接近于该地区此类公司的人口普查。这些公司共有264名创始人(48%的公司只有一名创始人)。显然，在国家安全生态系统中有经验的人更受重视。近四分之三(72%)的纯网络安全公司至少有一位创始人有政府供应商或政府雇员的经验。在这些公司中，超过一半(52%)的这种经历是政府服务的直接结果。这证实了那些先前认为大华盛顿地区网络安全初创公司与国家安全生态系统之间存在密切联系的人的观点。这也使该地区有别于硅谷等网络安全集群的竞争对手。此外，在当地积累经验的优势，使大华盛顿地区纯粹的网络安全创业生态系统成为一个非常本地化的产业:78%的创始人在成立公司之前都在大华盛顿地区工作。我们的研究还提供了一些其他重要的见解。超过四分之一(26%)的创始人在创办目前的公司之前至少创办过一家公司。观察以创新为基础的经济发展的人士常常把一个地区作为科技中心的长期生存能力与该地区培养连续企业家的能力联系起来。我们还发现，大学的影响比竞争地区普遍存在的影响要小，因为只有8%的创始人来自大学工作。从人口统计学上看，女性创始人占所有创始人的8%，这凸显了女性在技术领导职位上的不足，因为女性占所有网络安全工作者的五分之一以上(22%)。毫无疑问，了解我们地区的网络安全业务是如何建立和发展的非常重要。大华盛顿伙伴关系(Greater Washington Partnership)的研究结果表明，网络安全每年为该地区带来140亿美元的经济影响，并能使该地区的GDP年增长率提高11-18%。该地区已经有大约30万个与网络相关的工作岗位。从这个角度来看，我们对我们的研究结果有什么看法?研究结果非常清楚地告诉我们，该地区网络创新和创业的来源仍然非常植根于美国的国家安全生态系统。我们应该进一步挖掘和加速这一温床，为本地区的网络安全产业创造活力。
{"title":"Cybersecurity Startup Founders in Greater Washington, DC: Prior Experience Required","authors":"E. Carmel, Jonathan Aberman, Bini Byambasuren","doi":"10.2139/ssrn.3686705","DOIUrl":"https://doi.org/10.2139/ssrn.3686705","url":null,"abstract":"The Greater Washington region is one of three leading cybersecurity industry clusters in the world. The proximity of this region to federal agencies, particularly in national security, has created a vibrant ecosystem linking talent and businesses with federal and commercial customers. National security agencies, such as the National Security Agency and the Defense Advanced Projects Research Agency, are a specific driver of cybersecurity research and development. Collectively, these favorable conditions support a broad array of businesses that contract with the federal government and provide cybersecurity innovations to commercial customers around the world. <br><br>To better understand the composition of the Greater Washington region’s cybersecurity business base, this study differentiates between the more than 850 cybersecurity businesses in the region identified by us in a prior study that did at least some cybersecurity business and focuses more squarely on those that work only in cybersecurity. We describe these businesses as “pure play” cybersecurity firms. Our study examined the roots of pure-play cybersecurity firms by examining the background of their founders. We collected data on 177 pure-play cyber firms – and their founders – in the Greater Washington region (61% of the firms are in Northern Virginia and the rest in suburban Maryland and Washington D.C.). We believe that our dataset represents close to a census of such firms in this region. In these firms, there are 264 founders (48% of the firms have just one founder). <br><br>There is clearly a premium placed on prior experience in the national security ecosystem. Almost three quarters (72%) of the pure-play cybersecurity firms had at least one founder with prior experience as either a vendor to the government or as a government employee. And in more than half of these firms (52%) this experience was a direct result of government service. This validates those who have previously argued that there is a close connection between Greater Washington region cybersecurity startups and the national security ecosystem. It also distinguishes the region from competing cybersecurity clusters such as Silicon Valley. Additionally, the premium on locally gained experience makes the Greater Washington region’s pure play cybersecurity startup ecosystem very much a local industry: 78% of founders worked in Greater Washington prior to founding the firm. <br><br>Our research provided some other important insights. More than a quarter (26%) of founders founded at least one firm prior to their current business. Observers of innovation-based economic development often tie the long-term viability of a region as a tech hub to its ability to generate serial entrepreneurs. We also saw less impact from universities than what prevails in competing regions, as only 8% of founders emerged from university work. Demographically, female founders represented 8% of all founders, which underscores the shortfall of wome","PeriodicalId":128369,"journal":{"name":"CompSciRN: Other Cybersecurity","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122093822","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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