This is a summary of links featured on Quantocracy on Saturday, 01/02/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Does It Make Sense to Use 1-Hour 1% VaR and ES for Bitcoin? [Quant at Risk]Another day, another record. Today, at 17:35 GST+1, Bitcoin crossed U$33,000 in trading at Coinbase Pro exchange and did not fall sharply down. It took about 4.5 hours to accelerate from a psychological level of U$30k with more greed among investors rather than fear of bursting Bitcoin (second) bubble around the corner. Greed is good. Gordon Gekko told us so. However, what about the risk? Those of