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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
Description:
Explore a comprehensive virtual talk on trading and hedging Bitcoin volatility presented by Carol Alexander from the University of Sussex. Delve into the complexities of crypto asset markets, focusing on bitcoin and ether trading behavior in centralized exchanges. Examine empirical research on bitcoin implied volatility and variance risk premium, which led to the development of a live-streamed bitcoin implied volatility index. Investigate perpetual futures, a unique derivative product in unregulated crypto exchanges, and analyze the impact of margin constraints and default aversion on optimal hedging strategies for bitcoin spot price volatility. Gain insights into the crypto ecosystem, stable coins, on-chain exchanges, physical volatility, price discovery methodologies, and advanced topics such as Skew Student t Asymmetric Markov Switching GARCH models.

Trading and Hedging Bitcoin Volatility

Society for Industrial and Applied Mathematics
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