Questions tagged [cryptocurrency]
The cryptocurrency tag has no usage guidance.
12 questions with no upvoted or accepted answers
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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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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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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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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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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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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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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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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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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,...
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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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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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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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