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Questions tagged [bitcoin]

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1
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1answer
33 views

Are bitcoin futures daily settled at T+1 or is there another mechanism?

As in the title, are bitcoin futures daily settled at T+1 or is there another mechanism? Both CBOE and CME
2
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0answers
185 views

Strange trading data coming from bitstamp

Through researching order execution algorithms I came upon something rather strange. My dev team wrote a program that captures live bitcoin trades on bitstamp through the WebSocket API for a single ...
2
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1answer
206 views

Best way to buy and sell large volumes of crypto

I had a few questions about how to properly execute a large order of crypto currency without moving the price much. I know a lot of funds employ a TWAP/VWAP algorithm to liquidate or purchase a large ...
0
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1answer
66 views

How to properly classify rate of change?

I am working in a Machine Learning Model for Bitcoin Price. I am attempting to predict how much the price changes in the next day. I am approaching this as a classification problem instead of ...
2
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1answer
165 views

Weierstrass function as market movement's attractor

I suddenly realized that BTC/USD index (while being unbounded to anything, yet liquid) in times of high volatility turns itself into something really beautiful and well-structured. Stochastic ...
3
votes
2answers
174 views

Ethereum Price Movements

I've noticed a strange pattern for ethereum (ETH) prices over the past 3 months such that when sampling with a resolution of five minutes the mean time a continuous price drop/increase took ~25 ...
8
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1answer
324 views

Bitcoin CBOE futures listed today. Why its premium to cash product?

Today, CBOE Bitcoin futures were listed. I checked the price and was surprised that it has a premium to the cash price (Gemini exchange price from product specification) and am very shocked. I ...
0
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0answers
174 views

Model for Options on Bitcoin Futures

The CME will launch futures on Bitcoin. If the contract is successful, the exchange will likely launch options on the futures BTC contract. If that happens, what would be the appropriate model to ...
1
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2answers
187 views

How to price bitcoins?

From January 2017 to this day, bitcoin price has increased more than 1000%. While debates over the criptocurrency are focused on its short term utility and its disconnection with real financial ...
1
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0answers
50 views

Are there ways of detecting a price bubble of an asset with no inherent value such as Bitcoin, purely based on an existing momentum in pricing?

I have heard of existing methods of detecting bubbles in the pricing of precious metals like gold and was wondering if, by extension, something similar could be done to examine prices of ...
8
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2answers
419 views

Something fundamentally different about cryptocurrencies?

You read a lot about cryptocurrencies these days, especially bitcoin. My question: Do you see something fundamentally different about them compared to other asset classes, i.e. other currencies, from ...
2
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1answer
221 views

Build Implied Volatility Smile

I am currently to create my own volatility smile for cryptocurrency options. I am basically reading the bids and offers and calculating the implied volatilities. I now want to shape and parametrise ...
1
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0answers
45 views

Has anyone found good data sources to model / backtest crypto-currency trading strategies? [duplicate]

I want to write trading strategies for crypto-assets. I am looking to find data sources I can play with to backtest. Has anyone found easy to use data or do I have to index / crawl data sources?
9
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3answers
2k views

Which data sources are available for cryptocurrencies?

I am primarily looking for price and market cap histories for cryptocurrencies like Bitcoin, Ethereum, zcash, ... What are some good data sources and APIs where I can download history as well as get ...
0
votes
1answer
210 views

How is the Blockchain.info Bitcoin Market Price Calculated?

I am about to apply traditional univariate GARCH tools to analyze the volatility of the Bitcoin - US Dollar exchange rate. The index that I would like to investigate is the Bitcoin Market Price (BMP) ...
1
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0answers
165 views

Trading a large sum of bitcoin OTC

I was asked the following question at an interview: Suppose that you're an OTC trader for an exchange that trades bitcoin. What would you do in the following scenario? A large corporate ...
19
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5answers
5k views

Which Algorithmic trading library would you recommend for trading Bitcoin?

I am starting to do Algorithmic trading in cryptocurrencies using Python libraries. Most exchanges have RESTful API that make it easy to write you own code and get started. However, I would like to ...
4
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0answers
727 views

Application of time series analysis to Bitcoin prices

Various exchanges allow for the trading of Bitcoins. The price of Bitcoin was very volatile since the inception of the system, today it is 391.76 USD: I wonder whether time series analysis tools from ...
3
votes
1answer
418 views

How would you correct a GARCH model to deal with non mean reverting volatility?

I am currently attempting to model and forecast volatility of bitcoin but have not been able to find a GARCH model that fits the data appropriately. I've used tick data sampled at 1 hour intervals ...
3
votes
1answer
618 views

How can I calculate the margin requirements for a Bitcoin futures contract?

Suppose that I want to calculate what the margin requirements should be for a Bitcoin futures contract, where the contract is the USD/BTC exchange rate (settled in Bitcoins). I've looked at the SPAN ...