3 papers
q-fin.CP2022
Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing
Danial Saef, Yuanrong Wang, Tomaso Aste
The increasing adoption of Digital Assets (DAs), such as Bitcoin (BTC), rises the need for accurate option pricing models. Yet, existing methodologies fail to cope with the volatil…
q-fin.TR2021
Understanding jumps in high frequency digital asset markets
Danial Saef, Odett Nagy, Sergej Sizov +1
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data give…
stat.AP2020
Data Analytics Driven Controlling: bridging statistical modeling and managerial intuition
Kainat Khowaja, Danial Saef, Sergej Sizov +1
Strategic planning in a corporate environment is often based on experience and intuition, although internal data is usually available and can be a valuable source of information. P…