Research projects 2022

1. «Cryptocurrency option market efficiency»

In this project we examine the efficiency of Bitcoin options market by analyzing the dynamics of implied volatility aftershocks in Bitcoin price. This work contributes to three dimensions of financial literature. Firstly, we con­tribute to the literature that studies informational efficiency of derivatives markets. Secondly, we contribute to research on estimating and using option pricing models for dif­ferent markets. Lastly, the work is a part of the literature on new and unexplored cryptocurrency markets.
 

2. «Modelling liquidity dynamic in financial markets»

This project studies the sequential entry of financial intermediaries into an illiquid market. As interme­diaries trade with rational counterparts, affects market depth, and is affected by, the possibility of entry. This feedback loop between entry and depth, however, gives in­cumbent intermediaries more incentives to deter entrants, creating endogenous barriers to entry.

3. «Bond funds portfolio optimization during the sovereign default»

In this paper we focus on the information content of trading activity in the Argentine sovereign bond market prior, within and post the primary presidential elections in August 11, 2019. Our goal is to investigate whether some groups of institutional investors on average possess private information about the elections' outcome and adjust their positions based on asymmetric information.