TimeSeriesAnalysis

Time-Series Derivatives Analysis

Last Update September 16, 2021

Matteo Bottacini, [email protected]

The fourth step is to analyze the time-series of the derivatives In these scripts are described, the codes, the intuition behind them and, the results obtained.

Folder structure:

    ../SpotAnalysis/
        README.md
        deliverables/
            run-time-series-analysis.py
        src/
            utis.py
        reports/
            walk-though-the-code.md
            time-series-derivatives-analysis.md
            BTC/
                ...
                720_min_calibration/
                    data/
                        BTC_atm_iv.parquet
                        BTC_parameters.parquet
                        BTC_skew.parquet
                    images/
                        BTC_atm_iv.pdf
                        BTC_atm_iv_term_structure.pdf
                        BTC_parameters.pdf
                        BTC_skew.pdf
                    tables/
                        BTC_atm_iv.parquet
                        BTC_parameters.parquet
                        BTC_skew.parquet
                ...
            ETH/
                ...
                720_min_calibration/
                    data/
                        ETH_atm_iv.parquet
                        ETH_parameters.parquet
                        ETH_skew.parquet
                    images/
                        ETH_atm_iv.pdf
                        ETH_atm_iv_term_structure.pdf
                        ETH_parameters.pdf
                        ETH_skew.pdf
                    tables/
                        ETH_atm_iv.parquet
                        ETH_parameters.parquet
                        ETH_skew.parquet
                ...
            images/
            summary/
            

Reports

1. Walk trough the code
2. Time-Series Derivatives Analysis

Instruction

• ../TimeSeriesAnalysis/deliverables/run-time-series-analysis.py is the script to run to perform the analysis.
• In ../TimeSeriesAnalysis/src/utils.py are the set of functions to perform the tasks, the function are explained in Walk trough the code.