Bitcoin implied volatility smile
4 stars based on
Only top voted, non community-wiki answers of a minimum length are eligible. Questions Tags Users Badges Unanswered. Tag Info users hot new synonyms. Hot answers tagged bitcoin day week month year all. Bitcoin CBOE futures listed today. Why its premium to cash product? There's two reasons for that It is easier to buy the future than the cash products It is less likely that CBOE will be hacked than any of the existing exchanges It is very hard and risky to arbitrage the spread shorting the future and being long on an unregulated exchange bitcoin implied volatility smile to the risks of getting hacked, moving the money on shoddy platforms, long Lliane 1, 8 Which Algorithmic trading library would you recommend for trading Bitcoin?
QuantConnect has had users work on bitcoin implied volatility smile REST bitcoin brokerages - its fully open source and has complete modeling support for currencies. It also has python support in beta. Fully support python and crypto currencies now.
JaredBroad 1 4. Which data sources are available for cryptocurrencies? I have found that Bitcoincharts has trade level bitcoin implied volatility smile from a number of exchanges going back quite far. It can be downloaded at: Check out my ccxt library on GitHub: The ccxt library is Igor Kroitor 4.
Weierstrass function as market movement's attractor. This is not a new phenomenon indiginous to cryptocurrency. As far back as when Bachelier wrote his thesis The Theory of Speculation, stochastic processes Brownian motion or variants have been used to model the random nature of stock prices and other financial assets. The assumption that stock prices follow a geometric Brownian motion lead to the RRL 1, 5 9.
How to price bitcoins? Bitcoin is now priced by the law of supply and demand, as it is a product that is liquid enough.
I stressed the "now" because at its issuance, price was arbitrarily fixed. Thus there are no "wrong" assessments on its fair value. What drives its price? Mainly speculation for now. As mentioned in other answers, Coinmarketcap and Bitcoincharts are two options.
The data they provide is also available from Quandl too. The only issue is, that data bitcoin implied volatility smile daily frequency and is only the usual OHLC type, at best. If you want tick data you have no other option bitcoin implied volatility smile to get it from exchanges themselves. There you can also get the orderbook data You could web scrape historical snapshots from Coinmarketcap https: They also have an API https: Cryptowatch acquired by Kraken is generally sexy https: I have started to do the same thing a few months ago.
You can test your strategies pretty much in any platform: If you bitcoin implied volatility smile basic python then thiswould be my recommendation. Jaspal Singh Rathour 21 2. Something fundamentally different about cryptocurrencies? There is a new paper out which is quite interesting and which basically says that cryptocurrencies are indeed a new asset class, potentially useful as a diversifier of conventional asset classes: To say something is "strange," shouldn't you have some clean, careful analysis of what is expected?
Matthew Gunn 3, 1 4 Build Implied Volatility Smile. I recommend bitcoin implied volatility smile have a look at the SABR model. Wikipedia is a great starting point to get the relevant literature. The main advantage of the SABR model is that analytic approximations exist, which allow for a simple calibration. How to properly classify rate of change? If you want to incorporate the fact is it a fact? You could model in distinct regimes or add indicators of regimes as predictors.
First thoughts that you could add this Richard 8, 3 bitcoin implied volatility smile There is something very fundamental to Cryptocurrencies, especially the one you want to talk about, i. I suggest you a very good reading, "Academic Pedigree of Cryptocurrency.
Quswar Abid 26 2. For the question in your title, The mean reversion of the volatility is due to the Moving Average part of the volatility process.
The restriction in p and q come from the estimation process of the parameters. How can I calculate the margin requirements bitcoin implied volatility smile a Bitcoin futures contract? The reason the SPAN method looks complicated is that it is used for calculating the margin requirements for portfolios of options and futures, and therefore has to deal with changing volatilies as well as spot prices.
If you just want to calculate the margin requirement for futures, in principle it is much simpler, as you just need to worry about moves in Chris Taylor 2, 8 Will Gu 2 Just starting to check it out, but https: