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Nikolai Zaitsev

Publications and source records attributed to Nikolai Zaitsev.

3 recordsLinked to original sources

Extraterrestrial artificial particle sources. Application to neutrino physics and cosmic rays studies

The memo is exploring possibilities to set up extraterrestrial experimental facilities to study particles physics. The Moon is considered as the most promising location for artificial particle sources outside the Earth. This natural satellite is surrounded with deep vacuum, is at low cryogenic temperatures and is always facing the Earth with one side. These features can be exploited by setting up lunar neutrino factory, which may create a possibility for more precise measurements of oscillations and possibly mass of neutrinos. Various types of facilities are discussed with focus on lunar linear accelerators and nuclear reactors. The other types such as lunar colliders or even orbiting sources are briefly mentioned too. Lunar particle accelerators pointing to Earth can also be used to calibrate atmospheric shower models, which are the key part of cosmic rays research.

hep-ex

Empirical forward price distribution from Bitcoin option prices

Report presents analysis of empirical distribution of future returns of bitcoin (BTC) from BTUSD inverse option prices. Logistic pdf is chosen as underlying distribution to fit option prices. The result is satisfactory and suggests that these prices can be described with just three or even one parameter. Fitted Logistic pdf matches forward price movements upto a scaling factor. Nevertheless, this observation stands alone and does not allow stochastic description of underlying prices with logistic pdf in similar fashion as it is done within Black-Scholes modelling framework. Put-call parity relationship is derived connecting prices of vanilla inverse options and futures.

q-fin.ST

Trend arbitrage, bid-ask spread and market dynamics

Microstructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed and tested. The inequality sets limiting relationship between trend, bid-ask spread, market reaction and average update frequency of price information. Average time of market reaction is measured from market data. This parameter is interpreted as a constant value of the stock exchange and is attributed to the latency of exchange reaction to actions of traders. This latency and cost of trade are shown to be the main limit of bid-ask spread. Data analysis also suggests some relationships between trend, bid-ask spread and average frequency of price update process.

physics.data-an