Published in DataDrivenInvestor·PinnedThe most important financial formula of all — part IIUn-coupling market and credit risk In a previous article, I explained what “deferred delivery” was, and how to derive its price from spot prices. The little maths we needed is behind us, this part will focus on what becomes possible when forward contracts become readily available. NB: deferred delivery, forward…Capital Markets6 min readCapital Markets6 min read
Published in DataDrivenInvestor·PinnedEverything you’ve always wanted to ask your crypto exchangea.k.a how to navigate the unregulated world of crypto exchanges Whoever has been working in an investment bank knows that regulation is a big deal, even more so after 2008. By contrast, the world of digital assets is largely unregulated. What is regulation anyway, why does it even exist? It…Bitcoin5 min readBitcoin5 min read
Published in Coinmonks·PinnedLiquidity and order book distributionA look at order book distribution around mid-price — When we formed the team to launch SUN ZU Lab, we had mostly one question: are crypto-assets liquid, and if there is indeed liquidity to be found, to what extent is it different in quantity or quality from what we had seen in traditional markets for 25 years? Liquidity is…Bitcoin6 min readBitcoin6 min read
Published in DataDrivenInvestor·May 18, 2021Tether Reserves: at it againSo much for “Unrivaled transparency” As a capital market professional, I have expressed before (here) how skeptical I was about Tether and its so-called “transparency”. For all intent and purposes, Tether looks more and more like a traditional bank with “fractional reserves”, a very ancient and old-fashioned way of operating…Bitcoin4 min readBitcoin4 min read
Published in Geek Culture·May 11, 2021Crypto Risk Assessment: Way to GoA back-of-the-envelope comparison between risks on traditional and crypto markets — Last autumn I had the pleasure of giving an introductory course on financial risk management at the IAE Master in Bordeaux. The purpose was to provide students with a general understanding of what financial risk looks like, and what it means to “manage” risk. Naturally, as part of the course…Risk4 min readRisk4 min read
Published in Coinmonks·May 1, 2021Index Liquidity: what does it mean?Indexing is making its way into the market for digital assets — Indexing has been a popular strategy on traditional markets, indeed recent history shows index funds and ETFs have received massive inflows and registered a growth in assets superior to actively managed funds. Thus it is no surprise that indexing is starting to emerge on digital assets. It is a way…Defi Index8 min readDefi Index8 min read
Published in Geek Culture·Apr 26, 2021Tether as a Central BankCentral banks routinely issue money without any reserve backing it. Could Tether do the same and become the first decentralized central bank? I have expressed before skepticism about Tether (a.k.a USDT) and the fact that a high level of uncertainty still exists on the actual level of reserves backing the…Tether6 min readTether6 min read
Published in DataDrivenInvestor·Apr 20, 2021Is Tether a $48 billion scam?Well…. For those who follow the Tether story, there’s been a recent development worth mentioning: the publication of an audit of Tether reserves by a third-party. The statement is available for download on their front page. …Tether6 min readTether6 min read
Published in DataDrivenInvestor·Apr 7, 2021Price discrepancies in the world of digital assetsWhat a strange market! We at SUN ZU Lab are striving to gain a deep understanding of how the markets for digital assets function, to help our clients achieve their investment strategy through better execution. Based on our long (very long!) experience of traditional markets, we have started looking closely…Bitcoin6 min readBitcoin6 min read
Published in Coinmonks·Apr 1, 2021Arbitrage on digital assetsWe built a quantitative indicator on market integration — There is a lot of talk about arbitrage in the world of digital assets. Myth or reality? We at SUN ZU Lab wanted to provide the necessary tools to examine this question and provide reliable answers. Therefore we designed a quantitative indicator to detect macro arbitrage opportunities when markets fall…Bitcoin7 min readBitcoin7 min read
