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Market microstructure


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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

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…

researchhub January 21, 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
Lykke Research Hub's call for proposals

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…

researchhub December 26, 2018

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…

researchhub December 21, 2018

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…

researchhub December 20, 2018

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,…

researchhub December 16, 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
Perm Winter School 2019

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…

researchhub November 7, 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

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,…

researchhub January 16, 2018