Questions tagged [cryptocurrency]

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How would you build a yield curve for a cryptocurrency with only a perpetual futures market?

Assuming that hourly/daily funding rates are autocorrelated and revert to a long term mean, then perhaps the following would work: Use the average of the last N day funding rate as as predictor of the ...
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Aggregated Open Interest Data

How to get aggregated open interest data like that with OHLC values? Using Binance API I can get open interest data like the following, ...
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Cryptocurrency perpetual futures shorting mechanism

I am trying to understand shorts in a perpetual futures market. Let's consider a market of ETH/USDC, trading at 1000 USDC. When user A shorts 1 perp (assuming no leverage) they pay 1000 USDC, the ...
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1 answer
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Convergence of crypto perpetual futures

Perpetual contracts are supposed to track the spot prices through the funding mechanism. Typically, if the future has traded above the spot in the last averaging period used to compute the funding, ...
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Crypto perpetual futures (swaps) pricing away from instantaneous moment of funding

Most perpetual futures offered by crypto exchanges employ a funding payment mechanism, that acts to periodically return the price of the perpetual to the underlying index price. The mechanism is ...
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1 vote
2 answers
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What happens to the perpetual future counterpart when my position is closed? (BINANCE FUTURES)

As far as I understand, perpetual contracts are like regular futures except they can be held open indefinitely. However, I dont know about any other brokers out there, but in binance, when you open a ...
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1 vote
1 answer
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Synthetix' assets failure scenarios

Synthetix project provides the system where different assets like USD, BTC, stocks are emulated by minting tokens representing them (sUSD, sBTC) collateralised by SNX token. Prices are defined via ...
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8 votes
4 answers
460 views

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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2 answers
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How did the algorithm pegging TerraUSD stablecoins to USD fail?

This month the TerraUSD stablecoin and associated Luna reserve cryptocurrency crashed and lost most of its value. About $45 billion in market capitalization vanished within a week. Apparently there ...
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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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Constructing a cryptocurrency momentum factor

This might be a very trivial question, but I simply can't find a practical answer anywhere. I am writing my Master's Thesis, and in this regard, i'm investigating the cross-sectional momentum effect ...
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1 vote
1 answer
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What limits the maximum possible returns when shorting crypto?

I'm new to finance and crypto and this question is more of a thought experiment so I would like to hear both theoretical as well as practical considerations. Suppose I would like to short a particular ...
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deribit Open Interest historical data

to fetch Deribit live Open Interest data, I can use their API or do so via ccxt. However, if I want historical OI data, where's the best place to do this? This is for back testing purpose, with ...
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1 vote
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Relative Strength in Altcoins compared to Bitcoin

I trade stocks using relative strength analysis compared with S&P index. I was wondering if crypto traders do the same compared with Bitcoin price %change. These coins had a higher %gain than btc ...
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2 votes
1 answer
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How often do maker orders arrive together with matching taker orders on modern exchanges?

Table below shows messages that were recently collected from the Full channel of the websocket feed of the well-known cryptocurrency exchange: The full channel provides real-time updates on orders ...
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Current Prices for Cryptocurrencies [duplicate]

Is there a way to actively download the current price for cryptocurrencies into a Google spreadsheet? Google allows for downloading stock prices. Is there a similar formula for downloading ...
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108 views

Instrument clustering to maximize model prediction accuracy

I've been developing models for crypto trading. Usually, I use a group of about 25 of the larger market cap currencies and train a model on all of them, however, sometimes I'll use fewer while ...
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Basis Trade- Long/Short vs Short/Long

I understand the long-short basis trade quite well, especially in the context of crypto. Say BTC is worth \$100. For example, buy \$100 of BTC, and short \$100 of a perpetual futures BTC-USD contract. ...
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What does "hybird CBDC" mean?

I am reading literature relating to Central Bank Digital Currency(CBDC), I faced a termed called "Hybrid CBDC" from Lannquist,2020, p.7 I am looking for the meaning of this word but still ...
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Definition of Mobile Money in IMF Financial Access Dataset - Cryptocurrency

I'm using an IMF data set that includes mobile money variables along with a data set of cryptocurrency use. I found the mobile money variables to be highly correlated with the cryptocurrency use data. ...
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3 votes
0 answers
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How does the cryptocurrency market rely on USD Tether?

The core of my question comes down to wondering what happens in the following scenario: Consider a situation where it turns out that USDT (Tether) is actually not backed by any assets, which would ...
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Can grid strategy make profit on a random walk?

I've seen this thread, but it's a little too advanced for me. I haven't studied finance, just recently had some experience with grid strategy bots on cryptocurrency exchanges (in future markets), and ...
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What is the convenience yield of Bitcoin?

Question What is the convenience yield of the cryptocurrency? Back-up Explanations According to the 4-page long research paper, Crypto carry, the widely varying funding rates of perpetual futures (...
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Timeseries for the number of coins in circulation for all coins trading on Binance

Does anyone know where I can get a timeseries (daily frequency) for the last couple of years of the number of coins in circulation for each instrument that trades on Binance please? I've looked around ...
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Maximum market volatility

I program trading algorithms that create profits from unpredictable market fluctuations. I am looking for markets with the most extreme fluctuations and I need them to fluctuate up and down in a zig-...
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Market making with transaction fee literature

In the past 2 months, I have read number of literature on market making; however, all of it has not considered transaction fee. Therefore, when implemented, those strategies are all loss-making after ...
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2 votes
0 answers
62 views

Filtering options for IV surface and construction for cryptocurrencies

I'm new to quant finance and currently working on my first project.I'm trying to construct the Implied volatility surface for cryptocurrencies from deribit ( as options from deribit are the most ...
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1 answer
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Is Fungibility Dynamic or Static

I'm trying to work out if fungibility of financial assets / instruments is dynamic (i.e. it can be applied to a subset of the asset or instrument's properties) or is it static (i.e. it can only be ...
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pricing crypto quanto swap and perpetual

https://www.bitmex.com/app/contract/ETHUSD https://www.bitmex.com/app/contract/ETHUSDM21 How do you apply stochastic quanto pricing formulas to quanto crypto futures and perpetuals? I can see couple ...
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