Related papers: Altcoin-Bitcoin Arbitrage
In these notes we discuss investment allocation to multiple alpha streams traded on the same execution platform, including when trades are crossed internally resulting in turnover reduction. We discuss approaches to alpha weight…
In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…
This paper investigates the evolving link between cryptocurrency and equity markets in the context of the recent wave of corporate Bitcoin (BTC) treasury strategies. We assemble a dataset of 39 publicly listed firms holding BTC, from their…
Frazzini and Pedersen (2014) Betting Against Beta (BAB) factor is based on the idea that high beta assets trade at a premium and low beta assets trade at a discount due to investor funding constraints. However, as argued by Campbell and…
As the global economy transitions toward decarbonization, the aluminium sector has become a focal point for strategic resource management. While policies such as the Carbon Border Adjustment Mechanism (CBAM) aim to reduce emissions, they…
The availability of data on digital traces is growing to unprecedented sizes, but inferring actionable knowledge from large-scale data is far from being trivial. This is especially important for computational finance, where digital traces…
Revert protection is a feature provided by some blockchain platforms that prevents users from incurring fees for failed transactions. We study the economic implications and benefits of revert protection in the context of priority gas…
Cryptocurrency is a form of digital currency using cryptographic techniques in a decentralized system for secure peer-to-peer transactions. It is gaining much popularity over traditional methods of payments because it facilitates a very…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
Alpha factor mining aims to discover investment signals from the historical financial market data, which can be used to predict asset returns and gain excess profits. Powerful deep learning methods for alpha factor mining lack…
Recent studies about cryptocurrency returns show that its distribution can be highly-peaked, skewed, and heavy-tailed, with a large excess kurtosis. To accommodate all these peculiarities, we propose the asymmetric Laplace scale mixture…
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
Predicting cryptocurrency price trends remains a major challenge due to the volatility and complexity of digital asset markets. Artificial intelligence (AI) has emerged as a powerful tool to address this problem. This study proposes a…
We determine the number of statistically significant factors in a forecast model using a random matrices test. The applied forecast model is of the type of Reduced Rank Regression (RRR), in particular, we chose a flavor which can be seen as…
The initial purpose of the study is to search whether the market exhibits herd behaviour or not by examining the crypto-asset market in the context of behavioural finance. And the second purpose of the study is to measure whether the…
Currency arbitrage leverages price discrepancies in currency exchange rates across different currency pairs to gain risk-free profits. It involves multiple trading, where short-lived price discrepancies require real-time, high-speed…
Cryptocurrencies are a type of digital money meant to provide security and anonymity while using cryptography techniques. Although cryptocurrencies represent a breakthrough and provide some important benefits, their usage poses some risks…
The rapid growth of the stock market has attracted many investors due to its potential for significant profits. However, predicting stock prices accurately is difficult because financial markets are complex and constantly changing. This is…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…