424 citations · 593 across the 27 of their papers we have counts for
4 papers · 1 filter
Darwin Among the Cryptocurrencies
Bernhard K. Meister, Henry C. W. Price
The paper highlights some commonalities between the development of cryptocurrencies and the evolution of ecosystems. Concepts from evolutionary finance embedded in toy models consi…
Yields: The Galapagos Syndrome Of Cryptofinance
Bernhard K. Meister, Henry C. W. Price
In this chapter structures that generate yield in cryptofinance will be analyzed and related to leverage. While the majority of crypto-assets do not have intrinsic yields in and of…
Meta-CTA Trading Strategies based on the Kelly Criterion
Bernhard K. Meister
The influence of Commodity Trading Advisors (CTA) on the price process is explored with the help of a simple model. CTA managers are taken to be Kelly optimisers, which invest a fi…
Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes
Yingdong Lv, Bernhard K. Meister
In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a gene…