Questions tagged [cryptocurrency]
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44 questions
1 vote
1 answer
102 views
Process for Removing Error/Incorrect Cryptocurrency Trades
I have many time series of cryptocurrency pair trade data from Kraken (available for batch download here) with some that are very long and others that are very short. I am attempting to build a basic ...
- 291
2 votes
1 answer
260 views
Crypto currency or crypto asset
Under the risk-neutral measure the S&P500 price process can be written as $$ \frac{dS_t}{S_t} = (r_t-q_t) dt + \sigma_t dW_t $$ We can regard this as an exchange rate, where $S$ is the number of ...
- 3,813
1 vote
0 answers
163 views
Is there a way to derive a fair price from cryptocurrency trade (no quote) data that is free of bid-ask bounce?
I'm working with Kraken historical ETH-USD trade data from 2017 onward, which includes: Timestamp (Datetime) Trade ID Trade price Trade volume Taker side (buy/sell) Order type (market or marketable ...
- 291
0 votes
0 answers
93 views
Using Only Trade Data for Backtesting/Analysis in Presence of Bid-Ask Bounce?
We are given historical trade data from a cryptocurrency exchange — in our case, Kraken — which, for each trade, includes the following information: Time of trade Trade Price Trade ID (Integers that ...
- 291
1 vote
1 answer
102 views
Data for crypto value prediction
Let's say you want to predict the future values of a crypto asset, what data would u consider? Where to find it (for free)? We can take Bitcoin as an example. But a general procedure for relevant data ...
- 21
2 votes
0 answers
103 views
TradingView Synthetic Market
I have been trying to find out how exactly is a synthetic market calculated in tradingview, and where is the external information coming from? My goal is to design a bot to implement this strategy, ...
- 121
2 votes
0 answers
208 views
Forecasting short term price movements from limit order book
I am new to HFT and quantitative finance so please bear with me if I ask anything obvious or weird. I am following a crypto trader who just looks the limit order book of the coin and then open the ...
- 21
3 votes
1 answer
929 views
How to compute implied probability of Bitcoin price given noisy option data?
I am trying to calculate the implied probabilities of Bitcoin being within specific price ranges using option chains from Deribit. The challenge I am facing is dealing with bid-ask spreads, which are ...
- 31
0 votes
0 answers
156 views
High risk-free rate on crypto options
I've been looking at options on crypto (on Binance specifically). Binance reports using r=10% to calculate their IVs, which seems really high to me. I took some option prices and tried to solve for ...
- 616
3 votes
0 answers
231 views
Inverted Crypto Options - How to Derive the Greeks and Delta-Hedge?
Most of my question is based off this paper by Lucic and Sepp (2024). An inverted cyptocurrency option that is traded on the Deribit platform. It is a cash-settled option that settles in crypto and is ...
- 119
0 votes
1 answer
625 views
where can i get all the depth levels of orderbook data for BTC?
Right now, I was able to get an orderbook snapshots data for BTCUSDT in Binance. The problem with this data is that each depth level of the orderbook increases every 5 cents or so. For total of 20 ...
0 votes
2 answers
309 views
Do perpetual futures have initial and variation margins?
When trading perpetual futures (for example, on crypto), do the concepts of initial and variation margins take place? I'll expand on my point: Perpetual futures without leverage. For example, we want ...
- 71
0 votes
1 answer
244 views
Can MACD with a broad range of parameter combinations beat Buy and Hold under the Efficient Market Hypothesis?
I conducted a study with Moving Average Convergence Divergence (MACD)s in the range of ...
- 101
0 votes
0 answers
173 views
Boosting models for algo trading
I’m currently working on a xgboost model to predict the price change above or below a given percentage between a candle’s open price and the next candle’s close price. I use a wide range of features, ...
0 votes
1 answer
1k views
Is it possible to exchange one stock for another without cash as an intermediary?
According to my research, it is possible to exchange one stock for another without selling to cash and then buying the other. The process is known as a "stock-for-stock" or "share-for-...
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