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Monthly Archives: juin 2026

Home2026Monthly Archives: juin 2026
A dynamic image showcasing Bitcoin, credit cards, and financial apps for investment enthusiasts.
Cryptos

Construction of a Conditional Hedge via MNQ Micro E-mini Nasdaq Short. Calibration on BTC Beta=0.45

This study details an advanced quantitative modeling of a conditional hedge for a crypto-exposed portfolio, employing Micro E-mini Nasdaq-100 (MNQ) futures contracts as the hedging instrument. The calibration is based on a dynamic conditional beta of BTC/Nasdaq at 0.45, estimated using a multivariate DCC-GARCH(1,1) model with Markov regime switching. Key Findings: ¤ Minimum Variance Hedge…
6 heures ago0Comments

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Detailed financial trading screen with colorful charts and data representing market fluctuations.
Cryptos

The construction of a conditional hedge for Bitcoin (BTC) against systemic risks from Commodity Trading Advisors (CTAs)

CTAs, large systematic trend-following funds, can trigger massive redemptions and forced selling during correlated drawdowns in tech indices like the Nasdaq-100. This poses a liquidity risk for crypto portfolios exposed to tech beta. The study models BTC's exposure to the Nasdaq-100 using a time-varying beta derived from DCC-GARCH, empirically calibrated at 0.45. This indicates that…
1 jour ago0Comments

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Analyse de marchéAnalyse de marché

Silver vs. Gold: When and Why Silver Often Takes the Lead

Silver, a unique hybrid asset (monetary, industrial, speculative, linked to energy transition), exhibits higher volatility than gold. Its price is influenced by monetary demand, industrial demand, physical supply, and real interest rates. The primary driver, monetary demand, is linked to real interest rates (nominal rates minus inflation). When real rates are negative, the opportunity…
4 jours ago0Comments

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A striking illumination of a gold-colored mineral against a dark background, showcasing its intricate details.
Analyse de marchéAnalyse de marché

Gold Prices Dip, But Fund Manager Sees Long-Term Rally Intact

Excerpt from the article by Neils Christensen The gold market has experienced a downturn, with prices falling below $4,500 and testing the critical 200-day moving average support. Despite this short-term selling pressure, attributed to inflation concerns and speculation of interest rate hikes, one fund manager, Tom Winmill of the Midas Discovery Fund, believes the long-term…
4 jours ago0Comments

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