{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,9,6]],"date-time":"2024-09-06T05:19:57Z","timestamp":1725599997140},"reference-count":0,"publisher":"ECMS","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2022,6,3]]},"abstract":"<jats:p>The focus of our research is the use of implied volatility in the context of margin calculations on BTC positions. We will compare the standard deviation estimated from historical data to the implied volatility values estimated from ATM option prices. As our main result, we show that the implied volatility is a superior basis for margining purposes. Not only does it perform better in a back test, it also requires lower average margin levels to provide the same risk profile. Our results also show that the logreturns of BTC cannot be assumed to be normally distributed.<\/jats:p>","DOI":"10.7148\/2022-0070","type":"proceedings-article","created":{"date-parts":[[2022,8,10]],"date-time":"2022-08-10T13:29:18Z","timestamp":1660138158000},"page":"70-77","source":"Crossref","is-referenced-by-count":0,"title":["Implied volatility based margin calculation on cryptocurrency markets"],"prefix":"10.7148","author":[{"given":"Balazs","family":"Kralik","sequence":"first","affiliation":[]},{"given":"Nora","family":"Felfoeldi-Szuecs","sequence":"additional","affiliation":[]},{"given":"Kata","family":"Varadi","sequence":"additional","affiliation":[]}],"member":"4144","published-online":{"date-parts":[[2022,6,3]]},"event":{"name":"36th ECMS International Conference on Modelling and Simulation"},"container-title":["ECMS 2022 Proceedings edited by Ibrahim A. Hameed, Agus Hasan, Saleh Abdel-Afou Alaliyat"],"original-title":[],"deposited":{"date-parts":[[2022,8,10]],"date-time":"2022-08-10T13:29:24Z","timestamp":1660138164000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.scs-europe.net\/dlib\/2022\/2022-0070.html"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2022,6,3]]},"references-count":0,"URL":"https:\/\/doi.org\/10.7148\/2022-0070","relation":{},"subject":[],"published":{"date-parts":[[2022,6,3]]}}}