Quantocracy’s Daily Wrap for 07/10/2018

What causes a stocks price to move? A great question, and one that puzzles most market observers every day. Since this is puzzling, it is an entertaining topic to discussenter CNBC and the financial media. In the short-run, stocks prices can move for a variety of reasons noise trading, announcements from the FED, and 6 A.M. tweets from the President :). Kidding aside, short-run moves in

Just about anyone whos looked at a multi-year chart for a long volatility fund like Barclays VXX has thought about taking the short side side of that trade. VelocityShares ZIV is an Exchange Traded Product (ETP) that allows you to hold a short volatility position while avoiding some of the issues associated with a direct short position in VXX. Because ZIV is tied to VIX futures with at

This paper studies the efficiency and price formation of bitcoin and other cryptocurrency markets. First, there are large recurrent arbitrage opportunities in cryptocurrency prices relative to fiat currencies across exchanges that often persist for several days or weeks. These price dispersions exist even in the face of significant trading volumes on many of the exchanges. The total size of