Overview
Syllabus
Intro
Section 1
Section 3
General Overview
Sector Returns
Correlation of BTC Returns with Gold and US Equities
Main Players in the Crypto Ecosystem
Stable Coins
Tether and BitFinex
On-Chain Exchanges
Large on-Chain Flows
On-Chain Data
Physical Volatility and Price Discovery
Comparison of VWAP Bitcoin and Ether Rates
Comparison of Crypto Market Indices
Skew Student t Asymmetric Markov Switching GARCH
BitMEX Exchange
Alexander and Heck (2020)
Price Discovery Methodology
2. Options and Variance Swaps
Implied Volatility Indices
Variance Swap Rate Term Structure (Short End)
Bitcoin Variance Risk Premium per S1 Notional
Reverse Leverage Effect in Bubble Regime
Hedging with Perpetuals
Alexander, Deng and Jun (2020)
Margin Mechanism
Probability of BitMEX Margin Call
Margins and Liquidations
Sensitivity Analysis of Optimal Strategy
Data and Correlations
Estimation of Tail Parameters
Summary So Far
Taught by
Society for Industrial and Applied Mathematics