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.…
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…
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…
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,…
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…
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…
Tradelog data research paper
Lykke invites the research community to participate in the best research paper competition. Settlement on the blockchain creates a transparent post-trade trail,…