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A model based on the econometric studies of Thorp and Kassouf (pre-Black-Scholes) for Bitcoin derivatives arbitrage using a low-frequency strategy.
by dcvr 16d ago
A model based on the econometric studies of Thorp and Kassouf (pre-Black-Scholes) for Bitcoin derivatives arbitrage using a low-frequency strategy.
- aix1 16d agoI just finished listening to A Man for All Markets (narrated by Thorp himself!) Bitcoin derivatives arbitrage doesn't sound like something I'd personally be comfortable getting into, but I'd be curious to hear more about the types of things you're doing (to the extent you're happy to share).