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We’re excited to open source Slsqp4j, a Java wrapper around the popular SLSQP nonlinear optimizer.

What is Slsqp4j?

SLSQP is a nonlinear optimization algorithm, included as part of SciPy’s optimize package. It was originally outlined by Dieter Kraft in [1] and implemented in [2]. SLSQP uses a sequential-quadratic-programming approach to solve nonlinear optimization problems. It can solve constrained and unconstrained as well as bounded and unbounded problems. This makes it an attractive general-purpose solver.

Slsqp4j is a Java wrapper around SLSQP. It provides an API that is similar to SciPy’s to aid in translating Python code and can solve equivalent problems an order of magnitude faster than SciPy. …


PRESS RELEASE

skew. & Crypto Garage trade first peer-to-peer Bitcoin-settled S&P500 derivatives

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  • Crypto startups skew. and Crypto Garage entered into an S&P 500 derivative contract on September 6, settled in bitcoin on the Bitcoin blockchain.
  • The Sep19 2975/3025 call spread expired and settled on September 20th using an oracle price feed provided by ICE Data Services’ Consolidated Feed.
  • The groundbreaking experiment underlines the potential of blockchain technology to radically improve the functioning of financial markets — in terms of security, efficiency & costs.
  • Options on S&P500 alone traded on average $400bln notional daily in 2018.

One of the most beneficial ways blockchain technology could be used in traditional markets is by speeding up trade settlements — typically taking two days to complete through a cumbersome and expensive process. The efficiency gains could yield potentially tremendous savings — options on S&P500 alone traded on average $400bln+ notional daily in 2018. …


Q2 was a great quarter for cryptocurrency markets and derivatives in particular: this is our take on the main developments.

1/. General Performance

  • Bitcoin up ~200% YtD and back > $10,000
  • Ether has been lagging as IEOs are the new ICOs , supporting BNB
  • Stellar is worst performing, started to underperform before the Facebook news
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Sources: Coinmarketcap, Messari

2/. Macro theme #1: Easing

  • The Fed and the ECB pivoted by turning dovish again in June
  • 40% of sovereign debt globally is now negative yielding, ~25% of the total bond market
  • Gold and Bitcoin surged in tandem
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Source: Bloomberg

3/. Macro theme #2: Facebook

  • Not another altcoin project : it’s an endorsement of the technology sending a clear signal cryptos are here to…

About

skew.

Founded by two derivatives traders in London, skew’s mission is to build the crypto options market.

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