1 code implementation • 29 Oct 2020 • Faizaan Pervaiz, Christopher Goh, Ashley Pennington, Samuel Holt, James West, Shaun Ng
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement.
1 code implementation • 3 Oct 2020 • Rakshit Jha, Mattijs De Paepe, Samuel Holt, James West, Shaun Ng
This paper shows that temporal CNNs accurately predict bitcoin spot price movements from limit order book data.
Statistical Finance
1 code implementation • 25 Sep 2020 • Evans Rozario, Samuel Holt, James West, Shaun Ng
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies.
