Author

Beniamino Sartini

Published

January 17, 2024

Crypto CAPM

Bitcoin
Code 
capm <- crypto_capm(symbols = colnames(df_capm)[-c(1,2)], Rf = Rf,  df_capm = df_capm)
capm %>%
  knitr::kable()
Symbol Beta Rf R2 Sigma AIC
BNB 1.0927503 0…
Apr 3, 2025
Beniamino Sartini

Bitcoin is volatile?

Bitcoin
Bitcoin, a digital currency known for its volatility, presents unique opportunities and challenges for those who rely on it as a medium of wealth and transactions. One…
Nov 10, 2024
Beniamino Sartini

Seasonality of Bitcoin returns?

Bitcoin
The seasonal effect on Bitcoin (BTC) returns refers to the observed patterns and trends that occur during specific periods within a year. Researchers have found evidence…
Jun 22, 2024
Beniamino Sartini

Bitcoin and Metcalfe Law

Bitcoin
This work examine the paper Peterson (2018) and tries to reproduce its results considering the Bitcoin price from 2017-04-08 up to 2023-05-23.
Jun 19, 2024
Beniamino Sartini

Order Imbalance

Following Lipton, Pesavento, and Sotiropoulos (2013) the order imbalance signal is defined as:
Jan 17, 2024
Beniamino Sartini

 

Risk Indicators

Risk management
Sharpe Ratio
Jan 17, 2024
Beniamino Sartini

Microprice and Liquidity Curve

Trading
An order book is a set of quantities and prices for a given time t. Using a similar notation as in Gatheral and Oomen (2010), let’s define: - pt,1b: the best…
Jan 17, 2024
Beniamino Sartini

Simple rebalance strategy

Trading
A re-balance strategy consists in a portfolio Π, with n¯-assets whose relative weights w need to be constant and equal to an ideal allocation w⋆…
Oct 18, 2023
Beniamino Sartini

Nelson-Siegel-Svennson model for interest rates

Fixed income
A common approach that can be used to fit the interest rates for different maturities given a set of key-rates is linear interpolation. However a more flexible approach…
Sep 30, 2023
Beniamino Sartini

Modelling approaches for Bitcoin price

Bitcoin
In this section we propose an approach, traditionally used in stock market, to model the returns of the price of Bitcoin.
Sep 30, 2023
Beniamino Sartini
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Citation

BibTeX citation:
@online{sartini2024,
  author = {Sartini, Beniamino},
  title = {},
  date = {2024-01-17},
  url = {https://cryptoverser.org/},
  langid = {en}
}
For attribution, please cite this work as:
Sartini, Beniamino. 2024. January 17, 2024. https://cryptoverser.org/.