Qishi Club's 2nd Quantitative Research Project
By Runmin Zhang
May 19, 2019
Global Nodes of Bitcon Network
"..Virtual currencies have been determined to be commodities under the Commodity Exchange Act.." - US Commodity Futures Trading Commission
> More Exchanges
> Public Accessibility
> Simple API
> Poor Quality & Transparency
> High Latency
How can we Interpret/design indicators from possible manipulated data?
Lquidity: a vital element in markets.
Liquidity - ability to smoothly absorb the flow of buying and selling orders.
> Tightness: Buy and sell with low transaction costs.
> Depth: The existence of abundant orders.
> Resiliency: The ability of correct imbalances.
Orders will impace markets.
We can decompose market impacts into several componets:▼
> When we take liquidity, equity price is impacted due to distorted demand/supply equilibrium.
> Temporary impacts dissipates over time.
> Market makers infer institutional traders intention.
> Permanent impacts would be reflected in equity prices.
Model Market Impacts
Collect Data by CCXT - github:ccxt/ccxt
A small dashboard
> All calculations involve market data.
> Can we trust market data published by exchange?
We still have a lot to do...
 Parlour, Christine A., and Duane J. Seppi. "Limit order markets: A survey." Handbook of financial intermediation and banking 5 (2008): 63-95.
 Sarr, Abdourahmane, and Tonny Lybek. Measuring liquidity in financial markets. Vol. 2. International Monetary Fund, 2002
 Von Wyss, Rico. Measuring and predicting liquidity in the stock market. Diss. Verlag nicht ermittelbar, 2004.
 Dong, K. (2015). Liquidity prediction in limit order book markets (Doctoral dissertation, University of Liverpool).
 Burghardt, Galen, Jerry Hanweck, and Lauren Lei. "Measuring market impact and liquidity." The Journal of Trading 1.4 (2006): 70-84.
 Andrew Ferraris. Equity Market Impact Models. Mathematics at the interface between business and research, Stifterverband fur die Deutsche Wissenschaft.