Posts tagged "finance"

• The Maker-Taker Coin Game: A Statistical Look at Prediction Market Pricing Part 1

  Maker-Taker Coin Game

• Introducing WadSet: The Building Block of DeFi

  Anyone with even a passing familiarity with the crypto realm recognizes this: the crypto market largely operates independently from the broader economy. While this independence might present enticing investment opportunities for those looking to diversify their portfolios, it caps the crypto market's growth potential. For it to truly flourish, the...

• What is Liquidity Management

  This is the opening post in a series I've written for the Wad Labs project. I explored the current challenges in liquidity management and how modern technologies can help in solving them, particularly how leveraging decentralized ledger technologies can help discover better ways for liquid asset utilization. This post aims...

• Optimizing Risks for a Portfolio of Cryptocurrencies

  Created together with Maxim Korotkov and Dmytro Karabash Image credit geralt at pixabay In this post we will talk about optimizing a simple portfolio of cryptocurrency. The approaches below have been successfully applied to stock options trading and, as we see, work quite well for crypto. Also, crypto is great to...

• Volatility Estimation Using MCMC

  [mathjax] Problem In the financial world, it is often can be found examples of the application of the modeling price return distribution with an assumption of its normality. Applying the normal distribution in the price simulation makes the model relatively simple and computational chip. It also a very convenient solution...

• University Towns and Recession risk

  The time has come for me to start looking for new apartments in the US. The logical question has appeared: What is the best area to rent/buy an apartment? The simplest answer is "Go call your realtor and ask this question to him/her!." However, I decided to think a bit...

• Goodhart's Law versus market speculations

  "The more any quantitative social indicator is used for social decision-making, the more subject it will be to corruption pressures and the more apt it will be to distort and corrupt the social processes it is intended to monitor."This is a variation of one common low in economics, known as...

• Bitcoin price with google trends

  A long ago I want to experiment and deal with a question of how Google trends can be implemented to analyze the financial markets. Here the opportunity has just turned up. The main idea consists in the following: As the price is functioning of supply and demand, increase in demand...

• Russan ruble and oil price

  Everyone knows how the impact what oil has on the Russian economy. But how it can be explained in the context of math and how it changes in time? I calculated the regression equation and pairwise comparisons for BR futures and USDRUB. All data I took from FINAM open database....

• About oil price

  Ooh, long ago here I added nothing. Alas, until recently there was at all no opportunity to be engaged in independent researchers. Now it became slightly simpler with it, and it means that I will shortly publish some practices. Plus still is an idea entirely to move to the independent...

• Closed straddle strategy

  Here also the expiration of my options portfolio came that is the completion of an experiment. Now I can sum up the full result and analyze the effect. The portfolio kept one and a half months and had 3 modifications: Initial formation of a call spread in the form of...

• Bought BANE in M&A anticipation (END)

  Today, I closed my first M & A deal (Mergers and Acquisitions). Owning shares in Bashneft, I put up an offer for the sale of Rosneft's securities. The operation is quite simple, it is enough to apply through a broker: Here are details about my investing : Buy price: 3529 Offer price: 3706,4 ...

• ETF Investment

  It is known that any investor respecting himself puts the main objective ensuring profitability on the invested capital. Both intraday traders and strategic investors aspire to it. But how to define, an activity of the managing director is how productive? It is clear, that negative profitability is inefficiency indicator, but...

• Option spread SBRF

  Hi, everybody! I think it is time, to sum up, the intermediate results on option spread which I opened approximately a month ago. The spread consisted of two bought options. At the same time all options of one strike, but a different type. Such spread is usually called long straddle....

• Bought BANE in M&A anticipation

  All heard about the arrest of our minister of a mine? I hope that all. And so, all this sensation is partially connected with the future (possible) transaction on privatization. Of course, privatization at all not that term which is suitable for this situation. And situation very simple: the Rosneft...

• Market cycles

  I have decided to develop Barton Biggs's thought concerning recurrence of the market here and to note chronology of the main changes on the schedule of DJIA for the last 100 years (1 drawing). Biggs means that the "bear" market can be identified when the value of the index falls...

• Compound interest in the market

  Perhaps, it is time to needle to people who in all throat shout that "HFT an era" and distribution of retail-traders introduced high volatility and instability on the markets. They still like to say that distribution of difficult derivatives, for example, of exotic options leads to increase in fluctuations in...

• Short sell covered puts

  I continue to expand my options portfolio, and at the same time, I'm testing the strategy of recruiting a position in the stock market through derivatives. The bottom line is selling out-of-the-money puts to keep the position before expiration. If the option goes into money, then I get the underlying...