2 papers
q-fin.ST2019
Empirical forward price distribution from Bitcoin option prices
Nikolai Zaitsev
Report presents analysis of empirical distribution of future returns of bitcoin (BTC) from BTUSD inverse option prices. Logistic pdf is chosen as underlying distribution to fit opt…
physics.data-an2006
Trend arbitrage, bid-ask spread and market dynamics
Nikolai Zaitsev
Microstructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed an…