Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
19,452 documents
The note explains how collateral and funding payments relate to liquidation in perpetual futures. In the answer’s account, a position is liquidated when collateral falls below the maintenance margin. Collateral includes the amount initially posted, realized…
The document presents an eGARCH(1,1) fit to weekly Bitcoin log returns over a multi-year sample, using a generalized error distribution and a date-related dummy variable. The broader research aim is to compare volatility dynamics across Bitcoin, Ethereum,…
The document considers whether EUR/USD returns can serve as the market benchmark when applying CAPM to Bitcoin returns. Its response treats Bitcoin as a currency for this purpose and suggests constructing a broader currency-market proxy by averaging returns…
The question concerns regressions linking Bitcoin prices with daily Reddit post counts and sentiment. The author reports that price appears integrated while the social measures appear stationary, yet the series show strong correlation, high regression fit,…
The document surveys research on whether cryptocurrencies differ quantitatively from currencies and other assets. It describes proposed distinctions such as decentralized transaction records, market-specific drivers, high volatility, and limited history. The…
The document clarifies a market interpretation of declining open interest in long Bitcoin futures positions. The question asks how closing futures longs could limit further declines in Bitcoin, given that futures are often viewed as bets on the underlying…
The document asks how to implement the adapted Roll measure attributed to Easley and coauthors using daily cryptocurrency OHLCV data. Its main questions concern the meaning of lagged price changes such as ΔP at t−w and t−w+1, whether the lookback window W is…
The document considers whether cryptocurrency market conditions such as low volume, high volatility, or market immaturity might allow intra-exchange triangular arbitrage gaps to persist long enough for an API-based strategy. It asks whether traders can…
The document considers how to validate a low-frequency crypto strategy with roughly 25 trades per year, focusing on the limits of statistical evidence from a small sample and the dependence introduced by adding correlated assets. One reply suggests extending…
The document outlines a variance-covariance approach to estimating volatility for a portfolio of cryptocurrencies. It starts from daily price changes, forms a covariance matrix of daily returns, and scales that matrix by 365 to estimate annual variance,…
The document collects operational safeguards for an automated trading script interacting with an exchange API. The proposed controls include prioritizing exits and stop orders, checking whether orders reached the venue, handling failed requests, monitoring…
The document explores whether financial asset fungibility is an all-or-nothing property or can depend on selected attributes. It uses hypothetical digital currency tokens to illustrate how issuer, currency symbol, decimal precision, and encumbrances might…
The document clarifies how open interest changes when futures positions are opened or closed, including a question framed around crypto exchanges. Open interest counts outstanding contracts, with each contract having both a buyer and a seller. It does not…
The document explains why a candle can be green even when its close is below the previous candle’s close. In a common solid-candle convention, color compares the period’s close with its own open: green indicates the price rose during that interval, while red…
The document raises a pricing question about crypto options: whether a reported discount rate around 10% is unusually high, and whether observed option quotes imply a rate near 12% when checked against put-call parity. It presents bid and ask snapshots for…
The document sets out proposed formulas for Bitcoin’s Pi Cycle top and bottom indicators and asks whether the inequalities are stated correctly. The top condition compares a 111-day simple moving average with twice a 350-day simple moving average. The bottom…
The discussion considers how to estimate an option implied volatility surface when the target asset has spot history but no option data, while related assets have observable option surfaces. It presents break-even volatility, or fair skew, as a way to infer…
The document considers whether historical futures data from one crypto exchange can support backtests for a strategy traded on another. The motivating issue is a change in listed contracts that leaves little history for the replacement market, prompting the…
The document examines a SABR calibration on Ethereum option data where the fitted alpha parameter changes substantially when strikes and the forward are expressed at a different scale, even though the implied volatilities are unchanged. The questioner…
The document examines why maximum-likelihood estimates for an exponential Hawkes process can drive the decay rate and excitation parameter toward very large values when tick records share millisecond timestamps. In the stated likelihood recursion, zero…
The document compares holding a cryptocurrency investment for a fixed period with periodically withdrawing gains while restoring the original principal. It describes a Monte Carlo example using simulated daily returns, then reports average outcomes for both…
The document collects suggestions for software and services that can be used to backtest investment strategies. The examples span a mobile portfolio tool, a Python framework, a form based service, standalone engines, and a brokerage platform with strategy…
The document explains why exchanges may not provide idempotency for market orders and describes client-side checks to reduce accidental duplicates. It compares strict matching of past requests, order throttles, checks of consecutive or recent duplicate…
The document defines a stochastic reserve system in which a fund backs liabilities and a solvency ratio scales an issuance adjustment. The adjustment grows with the square of the ratio up to a cap, while reserve inflows, outflows, and shocks drive changes in…