Seventeenth SIAM Activity Group on FME Virtual Talk

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sayedul441
Published
Date: Thursday, February 4, 2021, 1PM-2PM

Speaker: Carol Alexander, University Sussex

Title: Trading and Hedging Bitcoin Volatility

Abstract: This talk is in three sections. It starts with a general overview of crypto asset markets, focussing on data complexities and the trading behaviour of bitcoin and ether in centralised exchanges. Following this we examine the empirical research on bitcoin implied volatility and the bitcoin variance risk premium which laid the foundation for our collaboration with CryptoCompare to live-stream a bitcoin implied volatility index. The last section examines perpetual futures, a derivative product that is so far unique to unregulated crypto exchanges. By now, several of these exchanges allow very high leverage but substantial margin calls can lead to frequent defaults. We model the impact of margin constraints and default aversion on optimal hedging of bitcoin spot price volatility.

Moderator: Sebastian Jaimungal, University of Toronto
Category
Crypto Trading
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