Are trading invariants really invariant? Trading costs matter
Finding universal scaling laws between trading variables is highly valuable to make progress in our understanding of financial markets and market microstructure.…
Limits to arbitrage in markets with stochastic settlement latency
Distributed ledger technologies rely on consensus protocols confronting traders with random waiting times until the transfer of ownership is accomplished. This time-consuming…
Lykke Exchange public tradelog
Here you can find Lykke Exchange public tradelog that displays all transactions/operations for 24 hrs within a selected date: https://www.lykke.com/public-tra…
IATA Coin
International Air Transport Association (IATA) accepts money in one currency and pays out in another. Originally, IATA used the mechanism of the banks, which have…
Instantaneous volatility seasonality of Bitcoin in directional-change intrinsic time
In this publication Vladimir Petrov (University of Zurich), Anton Golub (Flov technologies), Richard Olsen (Lykke) uncover weekly instantaneous volatility seasonality…
Lykke Research Hub's call for proposals
The grant amount is split into two parts: 50% immediately and 50% upon completion of the project outlined in the research proposal. Newly created Lykke Research…
Decentralized Digital Depository
Decentralized Digital Depository is a global safekeeping service for crypto assets in distributed post-trade infrastructure. The project has been done by D3ledger…
Official version of Rusquant package for R
The Rusquant package by Vyacheslav Arbuzov is a package for interaction with trading API of different exchanges and trading terminals. The package provides access…
Coin Market Gene
Coin Market Gene aggregates real-time data from the top crypto exchanges to provide insights into the order book liquidity and execution costs of bitcoin asset pairs…
Risk management tools based on scaling laws and directional-change intrinsic time
This public GitHub repository has been prepared by Vladimir Petrov, University of Zurich, as part of the European research initiative BigDataFinance 2015–2019,…
Evaluating Blockchain implementation of clearing and settlement at the IATA clearing house
In this article Sergey Ivliev (Perm State University, Lykke), Yulia Mizgireva (Ariel University, Lykke), and Juan Ivan Martin (IATA) give practical evidence that…
The Alpha Engine: Designing an automated trading algorithm
Anton Golub (Flov technologies), James Glattfelder (Department of Banking and Finance, UZH), and Richard Olsen (Lykke) introduce a new approach to algorithmic investment…
Perm Winter School 2019
Save the date in your calendar for the upcoming Perm Winter School’19 on January, 31. Perm Winter School is a community of bright students, forward-looking…
Alpha Engine trading algorithm: Limit orders
Here you will find an adapted version of a trading algorithm Alpha Engine for real trading with limit orders made by Vladimir Petrov (Department of Banking and Finance,…
Everything you always wanted to know about Bitcoin modelling but were afraid to ask
Bitcoin is an open source decentralized digital currency and a payment system. It has raised a lot of attention and interest worldwide and an increasing number of…
Agent-based model in directional-change intrinsic time
In this publication Vladimir Petrov (Department of Banking and Finance, University of Zurich), Anton Golub (Lykke), and Richard Olsen (Lykke) describe an agent-based…