Lykke Research Hub Newsletter: April 2019
Lykke Research Hub grants
In December 2018, Lykke Research Hub ran an applied research projects competition. The research areas included but were not limited to digital markets microstructure, crypto trading, market abuse, and governance in decentralized systems.
The competition was dedicated to Lykke Research Hub mentor, professor of Simon Fraser University (Canada) Ramo Gencay who tragically passed away last December.
We received 12 submissions which were then voted on by the community and an expert panel that included:
- Dean Fantazzini (Moscow State University)
- Fabrizio Lillo (University of Bologna)
- Katya Malinova (McMaster University)
- Rosario Mantegna (University of Palermo)
The grants were awarded to the following research proposals:
- A Framework for Designing Better Stablecoins by Ariah Klages-Mundt (1st prize, $5000);
- Insights into Crypto Community Governance: A Case Study of the DASHMasternode Proposal System by Omni Analytics Group (2nd prize, $2500);
- Spoofing in the Cryptocurrency Markets by Shenje Hshieh (2nd prize, $2500);
- Market Making and Toxic Arbitrage in Blockchain Markets by Stefan Voigt (2nd prize, $2500).
Stefan Voigt and Christoph Scheuch were invited to present their research atPerm Winter School on Digital Markets.
The grant amount is split into two parts: 50% has already been paid and 50% will be paid upon completion of the project outlined in the research proposal. All the winners will be asked to present their research work at open webinars.
Lykke Research Hub Council
We would like to announce the formation of Lykke Research Hub Council that consists of our mentors — distinguished scholars and financial markets professionals. They will work closely with our research team to set the strategic direction of the initiative, assess research grants proposals and projects, facilitate collaboration with academia and businesses.
Meet the LRH Council:
- Stefano Battiston (University of Zurich)
- Jean-Philippe Bouchaud (Capital Fund Management)
- Michael Dempster (University of Cambridge)
- David Easley (Cornell University)
- Dean Fantazzini (Moscow State University)
- J. Doyne Farmer (Oxford University)
- Sean Foley (University of Sydney)
- Marko Grobelnik (Jožef Stefan Institute)
- Thorsten Hens (University of Zurich)
- Juho Kanniainen (Tampere University)
- Fabrizio Lillo (University of Bologna)
- Katya Malinova (McMaster University)
- Rosario Mantegna ( Palermo University)
- Anna Obizhaeva (New Economic School)
- Maureen O’Hara (Cornell University)
- Didier Sornette (ETH Zurich)
- Edward Tsang (University of Essex)
Lykke Research Hub projects
Sci Seed
Sci Seed is a decentralized p2p crowdfunding platform for early-stage scientific research.
The concept of the project was presented by Sergey Ivliev at SEED’19. Then it was further developed in collaboration with Andreas Cuny, Christophe Van Neste, and Jurg Hugo during the SEED’19 Think Tank.
Coin Market Gene
Coin Market Gene aggregates real-time data from the top crypto exchanges to provide insights into the order book liquidity and execution costs of bitcoin asset pairs (and soon other cryptocurrencies).
The project is realized by Lykke Research Hub in partnership with the Vienna Graduate School of Finance.
The project’s website will be published in Q2 2019. If you would like to be notified, please subscribe to our mailing list.
We recommend: Featured publications
Are trading invariants really invariant? Trading costs matter by
Frederic Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud, Michael Benzaquen
Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time by Vladimir Petrov, Anton Golub, Richard Olsen
Limits to Arbitrage in Markets with Stochastic Settlement Latency by Nikolaus Hautsch, Christoph Scheuch, Stefan Voigt
How investible is Bitcoin? Analyzing the liquidity and transaction costs of Bitcoin markets by Anne H. Dyhrberg, Sean Foley, Jiri Svec
Scaling properties of extreme price fluctuations in Bitcoin markets by Stjepan Begušića, Zvonko Kostanjčara, H.Eugene Stanley, Boris Podobnik
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