Essays about: "Elisabeth Molin"

Found 2 essays containing the words Elisabeth Molin.

1. 1. Out of the Books and Into the Woods

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Elisabeth Molin; [2023]
   Keywords : Limit Order Book; Cryptocurrency; Random forest; Market Microstructure; Lead-lag; Business and Economics;

   Abstract : The objective of this thesis is to analyze the predictive power of the cryptocurrency limit order book for return predictions. The analysis is performed for the BTC/USD and ETH/USD directional 10-second returns, using limit order book data from three of the largest cryptocurrency spot exchanges. READ MORE

3. 2. How Do Traditional Models for Option Valuation Perform When Applied to Cryptocurrency Options?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Elisabeth Molin; [2022]
   Keywords : Heston; Black-Scholes; Cryptocurrency; Ethereum; Bitcoin; Business and Economics;

   Abstract : The market for cryptocurrencies has been known to be volatile with an asymmetrical return distribution where occasional extreme returns appear. In later years options have been introduced on the asset; but due to the characteristics of cryptocurrency returns, researchers have found it troublesome to value these options. READ MORE