17 citations · 64 across the 33 of their papers we have counts for
Showing 2018Show all
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q-fin.GN2018
The CCI30 Index
Igor Rivin, Carlo Scevola
We describe the design of the CCI30 cryptocurrency index.
q-fin.MF2018
Fear Universality and Doubt in Asset price movements
Igor Rivin
We take a look the changes of different asset prices over variable periods, using both traditional and spectral methods, and discover universality phenomena which hold (in some cas…
q-fin.PM2018
What is the Sharpe Ratio, and how can everyone get it wrong?
Igor Rivin
The Sharpe ratio is the most widely used risk metric in the quantitative finance community - amazingly, essentially everyone gets it wrong. In this note, we will make a quixotic ef…