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…
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…
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…
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…
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…
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…