Questions tagged [bitcoin]
The bitcoin tag has no usage guidance.
42
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From OHCLV dataset to Tick Chart
We are all familiar with time-based candlestick charts, such as 1 Minut, 15 Minuts, 1 Hour and so on.
The dataset is more or less something similar:
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1
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66
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How does unwinding of long BTC futures positions prevent further downside risk/decrease in prices of BTC/Crypto?
This seemed like the most appropriate stack exchange for this question even though the question isn't strictly quantitative, but I hope it's ok.
I read an article(Article Below) and can't seem to ...
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57
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Bitcoin sell call options margin
I would like to know why on Deribit the margin requirements for selling call options is so much higher than selling futures.
It’s only about liquidity or there are other reasons?
I guess there are ...
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2
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1
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264
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Crypto perpetual futures contracts- How does the exchange fund the leverage?
Am I correct in saying that with the leverage system in crypto perpetual futures contracts, the user does not borrow from the exchange and the exchange does not have to borrow from external sources ...
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586
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How to fundamentally value cryptocurrencies?
Investing in cryptocurrencies is a wild ride. There is obviously a lot of speculation involved but my question is another one: what are good models to evaluate the fundamental value of ...
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Close price of crypto [closed]
How do we define close price for crypto? I am looking at Yahoo price, as we know, the BTC is 24 hours. How does the close price defined in this case?
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226
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Bitcoin data (minutes time frame)?
Where can I find a correct data of BTC/USD with a minute time frame?
I've downloaded a minutes data from this site
I've compared (with the original one from the exchange Binance) the last day (from ...
- 103
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107
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How to calculate if a portfolio has diversification
I writing a paper and wanted to know the best way, method or theory to know if a portfolio is diversified. To give you some context, I wanted to know if whether putting Bitcoin into a portfolio with ...
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Are there any studies on the link between energy markets and hedging-strategies for Cryptocurrency mining?
Full Disclaimer: I first asked this question on Bitcoin.SE, however I feel like my question is more relevant to this site as there would be wider knowledge and insight of some better sources or ...
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159
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Strange efficient frontier, when I try to calculate BTC & ETH ratios using MPT(Modern Portfolio Theory) [closed]
The 10k Monte-carlo simulations all fall on the same line, instead of a proper scatter plot..
Not sure what I'm doing incorrect. It all works fine, if I include Monero in the mix.
Any pointers ?
I'm ...
- 111
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What is a proper way to evaluate a backtested strategy if its trading asset has a strong trend?
I backtested a strategy that trades bitcoin, but I'm not sure if it's worth doing it because of the recent strong trend of bitcoin. The buy-and-hold has a better return, Sharpe ratio of the strategy ...
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298
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How Crypto Exchanges handle overlapping orders when self trading is disabled?
I am unsure how a typical "matching engine" handles overlapping orders (in my case, Deribit). I would be just as interested in how any crypto exchange handles the situation. The user has ...
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3
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830
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Consistent offset/lag in time-series prediction using Neural Network (all code provided)
I'm using a neural network (keras package) to predict Bitcoin prices 48 hours in advance. The issue is that for some reason, my predictions are "correct" but they are lagging behind the true ...
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1
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Why are my Neural Network predictions “correct”, but offset from true value? Not using any past lagged values
Please bear with me through the whole question - I just want to make it very clear what I've done so far and why I'm so perplexed.
I am working with a neural network with the Keras package in R, ...
- 247
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262
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Annualised Sharpe Ratio of a 24/7 Round-The-Clock High Frequency Trading Strategy
Consider a high frequency trading strategy that trades Bitcoin-USD round the clock 365 days of the year at 5-minute intervals. How would one calculate the annualised Sharpe ratio of such a trading ...
- 21
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349
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inverse futures hedging
This is my first question here and I hope I don't make any mistakes.
I have kind of a problem with spreading and hedging inverse futures such as Bitmex 3m or 6m XBTUSD contracts due to their non - ...
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214
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HAR-RV model for predicting 1-min volatility
I would like to use HAR-RV model (Heterogenous AutoRegressive - Realized Volatility) to predict a 1 minute realised volatility using the HAR model. As regressors I intend to use RV of previous minute, ...
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1
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323
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model high frequency bitcoin volatility
I am trying to model volatility of 1-minute returns of BTC, but it seems to me that the data do not behave traditionally. I tried fitting GARCH, eGARCH with ARMA (1,1) or (2,0), but I am not confident ...
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115
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tick/book data vs bar data, worth the infrastructure investment?
For reference, I am talking on behalf of a small group of math/stats graduate students as well as software engineers (we are 6 total), we know each other for years and decided to make a small (private)...
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1
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278
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Bitcoin dynamics - C++ Simulation
I would like perform a simulation of Bitcoin future prices given a sample of the 4 past years (2014-2018). My problem is that I do not know what model to use! For common stocks I used the geometric ...
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187
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How can I calculate the amount of volume to use to ensure highest profit on an arbitrage trade of two Constant Product Market Making exchanges? [closed]
If there exists an arbitrage opportunity between two Constant Product Market Making exchanges, how can you confidently determine the maximum volume to use in order to ensure highest profit?
I can ...
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73
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Why was a buy position not closed at the seller's price?
I'm trying to understand how the trading of crypto-currencies work. I imagine it's not that different from standard currency (or asset) trading, so I ask in this site.
Consider the crypto market ...
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Inflation of Bitcoins
https://www.google.com/amp/s/www.coindesk.com/bitcoins-next-halving-rally-coming-soon-in-2019%3famp
suggests that the inflation rate of Bitcoins is around 4 percent. Considering the fact that ...
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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
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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 ...
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1
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860
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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 ...
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1
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107
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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 ...
user31078
3
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1
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991
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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 ...
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3
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2
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234
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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 ...
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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 ...
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264
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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 ...
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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 ...
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2
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766
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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 ...
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806
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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 ...
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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?
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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 ...
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261
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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) ...
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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 investor ...
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5
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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 ...
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825
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Application of time series analysis to Bitcoin prices [closed]
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 ...
- 13.7k
3
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1
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802
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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 ...
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1
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776
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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 ...
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