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Do perpetual futures have initial and variation margins?

When trading perpetual futures (for example, on crypto), do the concepts of initial and variation margins take place? I'll expand on my point: Perpetual futures without leverage. For example, we want ...
Disciple's user avatar
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Can MACD with a broad range of parameter combinations beat Buy and Hold under the Efficient Market Hypothesis?

I conducted a study with Moving Average Convergence Divergence (MACD)s in the range of ...
Roland Kofler's user avatar
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Boosting models for algo trading

I’m currently working on a xgboost model to predict the price change above or below a given percentage between a candle’s open price and the next candle’s close price. I use a wide range of features, ...
daniel dvali's user avatar
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1 answer
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Is it possible to exchange one stock for another without cash as an intermediary?

According to my research, it is possible to exchange one stock for another without selling to cash and then buying the other. The process is known as a "stock-for-stock" or "share-for-...
anonim's user avatar
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Where to get crypto data without survivorship-bias (delisted coins accounted for)? [duplicate]

What are folks using for their crypto data needs. I am looking for a provider of Crypto data - free of survivorship bias and should at least have the top 20 coins historically. As this research paper ...
masterpiece's user avatar
1 vote
1 answer
270 views

How does one calibrate lambda in a Avellaneda-Stoikov market making problem leading to Gueant-Lehalle-Tapia model?

The title is similar to that of the question I was referred to here which has been answered by Lehalle himself! I'm trying to implement the Gueant-Lehalle-Tapia model which is how I got to this answer ...
Jay's user avatar
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0 answers
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Searching for minute binned OHLCV Cryptocurrency data from 5 January 2018 to 7 September 2018

As the title states, searching for OHLCV data (USD) from the dates listed for these coins: [ADA, BCH, CVC, DASH, EOS, ETC, ETH, LTC, MANA, OMG, BCN, BTC, CND, DATA, ETP, GNT, NEO, NXT, QASH] I'm a ...
Jackson Thorn's user avatar
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When you have negative weights in the context of portfolio construction, what is the correct way normalize them?

For context, I am building an eigenportfolio following the conventions of Avellaneda and Lee Statistical Arbitrage in the U.S. Equities Market (2008), and I get negative weights for eigenportfolios 2,...
Kenfisherman's user avatar
1 vote
0 answers
60 views

how does prediction markets automated market makers work with examples?

I am trying to replicate the prices in prediction markets For example on below manifold calculates, how does new probability and payout estimate changes on manifold or on Futuur example similarly, ...
adam's user avatar
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1 answer
206 views

At what threshold on delta percentage should I hedge my option portfolio?

I am able to identify and build an option portfolio with long/short call/put options across different strikes and expiries such that the gamma is positive and cost is negative. Upon inception I hedge ...
pavybez's user avatar
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Binance crypto exchange inflow/outflow data, how to calculate from API data? [duplicate]

Does anybody know hot to calculate coin inflow/outflow volumes from Binance API? Thank you! P.S. is supply/demand figures something different?
mixa_ru's user avatar
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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 ...
Man Dem's user avatar
5 votes
1 answer
197 views

Why do exchanges apply a fixed interest rate as part of the funding rate for perpetual futures?

Some exchanges, such as Binance, charge a fixed interest rate as part of the funding rate. Having longs pay shorts doesn't quite make sense to me because it causes spot to trade rich to perpetuals ...
ron burgundy's user avatar
0 votes
1 answer
66 views

Any crypto exchanges with one-cancel-others order type?

I have an Interactive Broker account to trade regular stocks. They have a One Cancel Others order type that allows me to put both a stop loss (SL) and take profit (TP) order on a single position. Is ...
Jimmy Chu's user avatar
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2 votes
1 answer
267 views

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 ...
VoltageC's user avatar
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1 answer
308 views

Optimal leverage for short-only crypto strategy

I have the following strategy Instrument : crypto pairs (50 coins) short only ,Markets : spot and futures (isolated margin account margin sell (for spot) and futures on Binance) ,Frequency : ~5-10 ...
Jabran Zahid's user avatar
5 votes
3 answers
318 views

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 ...
theorangehobo's user avatar
4 votes
1 answer
311 views

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, ...
Marc P's user avatar
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1 vote
0 answers
144 views

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 ...
quantotonto's user avatar
2 votes
2 answers
970 views

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 don't know about any other brokers out there, but in Binance, when you open a ...
J3STER's user avatar
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2 votes
1 answer
81 views

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 ...
origaminal's user avatar
8 votes
4 answers
593 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 ...
vonjd's user avatar
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13 votes
2 answers
3k views

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 ...
NoDataDumpNoContribution's user avatar
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1 answer
105 views

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?
randy's user avatar
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1 vote
0 answers
300 views

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 ...
erdemelo's user avatar
1 vote
1 answer
131 views

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 ...
AstronautThis's user avatar
1 vote
0 answers
201 views

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 ...
mel's user avatar
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2 votes
1 answer
230 views

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 ...
zer0hedge's user avatar
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0 votes
1 answer
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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 ...
Weldon T Bollinger's user avatar
0 votes
0 answers
56 views

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 ...
Phil Nguyen's user avatar
3 votes
0 answers
102 views

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 ...
quanty's user avatar
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0 answers
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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 ...
Khanh's user avatar
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3 votes
0 answers
91 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 ...
Anouer Bhy's user avatar
0 votes
1 answer
67 views

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 ...
Matthew Layton's user avatar
0 votes
0 answers
229 views

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 ...
adam's user avatar
  • 539