Questions tagged [cryptocurrency]
The cryptocurrency tag has no usage guidance.
35 questions
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Inverted Crypto Options - How to Derive the Greeks and Delta-Hedge?
Most of my question is based off this paper by Lucic and Sepp (2024). An inverted cyptocurrency option that is traded on the Deribit platform. It is a cash-settled option that settles in crypto and is ...
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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,...
CommunityBot
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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 ...
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where can i get all the depth levels of orderbook data for BTC?
Right now, I was able to get an orderbook snapshots data for BTCUSDT in Binance. The problem with this data is that each depth level of the orderbook increases every 5 cents or so. For total of 20 ...
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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 ...
CommunityBot
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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
...
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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 ...
CommunityBot
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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, ...
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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-...
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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 ...
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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 ...
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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, ...
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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 ...
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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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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 ...
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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 ...
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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 don't know about any other brokers out there, but in Binance, when you open a ...
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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 ...
CommunityBot
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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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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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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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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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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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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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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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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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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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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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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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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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