UCLA Department of Mathematics
Researcher
Spring 2026
Los Angeles, CA
- • Researching statistical arbitrage in cryptocurrency markets: constructing normalized spread series across liquid trading pairs and testing for mean reversion via cointegration analysis with walk-forward evaluation.
- • Built a survivorship-bias-free dynamic universe spanning 100+ liquid spot pairs, rebalancing daily on volume and spread thresholds.
- • Tested mean-reversion hypotheses via Engle-Granger and Johansen cointegration on rolling windows; quantified half-life of mean reversion to size positions.
