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Illiquidity Premium in the Bitcoin Options Market

Subscribe to newsletter Sometimes, investors come across trading opportunities that offer outsized returns, but they may not fully understand the risks they are taking on. These risks can include operational risks, counterparty credit risks, or hidden optionality within a financial note. Reference examines the …

TRADING

Formal Study of Overfitting in Trading System Design

Subscribe to newsletter Trading systems often experience performance deterioration after going live, largely due to overfitting. Reference formally studied this issue, using analytical approximations for the in-sample and out-of-sample Sharpe ratios of portfolios. The authors pointed out, This paper derives analytical approximations for the …

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