no code implementations • 10 Sep 2021 • Carol Alexander, Xi Chen, Charles Ward
We propose a risk-adjusted valuation model to facilitate investors' subjective decision making, in response to the market valuation of an investment opportunity.
no code implementations • 6 Sep 2021 • Carol Alexander, Jun Deng, Jianfen Feng, Huning Wan
How do supply and demand from informed traders drive market prices of bitcoin options?
no code implementations • 26 Jul 2021 • Carol Alexander, Ding Chen, Arben Imeraj
Over 90% of exchange trading on crypto options has always been on the Deribit platform.
no code implementations • 1 Jul 2021 • Carol Alexander, Daniel Heck, Andreas Kaeck
We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto pair).
no code implementations • 29 Jan 2021 • Carol Alexander, Michael Coulon, Yang Han, Xiaochun Meng
Proper scoring rules are commonly applied to quantify the accuracy of distribution forecasts.
Methodology Statistical Finance Applications
no code implementations • 4 Jan 2021 • Carol Alexander, Jun Deng, Bin Zou
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice.