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Publications

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.…

researchhub March 26, 2019

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…

researchhub January 26, 2019

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…

researchhub December 30, 2018

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…

researchhub December 10, 2018

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…

researchhub November 16, 2018

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…

researchhub November 1, 2018

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…

researchhub October 28, 2018
Volatility seasonality of Bitcoin prices

Volatility seasonality of Bitcoin prices

Most discussions around cryptocurrencies generally focus on the underlying value of the “coins” being purchased and how the technology will advance and…

researchhub October 14, 2018

Ubiquitous scaling laws and irrelevant time

Today huge companies one way or another make their money processing and selling structured information to other companies and individuals. There is no need to say…

researchhub September 19, 2018