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Section 1
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Classroom Contents
Trading and Hedging Bitcoin Volatility
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- 1 Intro
- 2 Section 1
- 3 Section 3
- 4 General Overview
- 5 Sector Returns
- 6 Correlation of BTC Returns with Gold and US Equities
- 7 Main Players in the Crypto Ecosystem
- 8 Stable Coins
- 9 Tether and BitFinex
- 10 On-Chain Exchanges
- 11 Large on-Chain Flows
- 12 On-Chain Data
- 13 Physical Volatility and Price Discovery
- 14 Comparison of VWAP Bitcoin and Ether Rates
- 15 Comparison of Crypto Market Indices
- 16 Skew Student t Asymmetric Markov Switching GARCH
- 17 BitMEX Exchange
- 18 Alexander and Heck (2020)
- 19 Price Discovery Methodology
- 20 2. Options and Variance Swaps
- 21 Implied Volatility Indices
- 22 Variance Swap Rate Term Structure (Short End)
- 23 Bitcoin Variance Risk Premium per S1 Notional
- 24 Reverse Leverage Effect in Bubble Regime
- 25 Hedging with Perpetuals
- 26 Alexander, Deng and Jun (2020)
- 27 Margin Mechanism
- 28 Probability of BitMEX Margin Call
- 29 Margins and Liquidations
- 30 Sensitivity Analysis of Optimal Strategy
- 31 Data and Correlations
- 32 Estimation of Tail Parameters
- 33 Summary So Far
