Ph. D. Project
Title:
Causality for the cryptoasset market
Dates:
2025/12/01 - 2028/11/30
Supervisor(s):
Other supervisor(s):
CLAUSEL Marianne (marianne.clausel@univ-lorraine.fr)
Description:
This thesis seeks to analyze the cryptoasset market, and in particular the perpetual futures market, from a mathematical perspective. Since their introduction in 2016 by the BitMeX platform, these types of contracts have become dominant in terms of volume. In particular, they make it possible to "structure" the market as Schiller envisaged in 1993 [1] for illiquid markets.
The first part of the thesis will highlight, from an empirical perspective, the arbitrage opportunities in the perpetual cryptoasset futures market and their relationship with exogenous factors, particularly financial ones. [Part 1]
The second part will analyze and quantify the mutual interaction between different trading venues. The analysis will be based on modeling using point-in-time processes, addressing the associated causal challenges. These methods provide a more accurate representation of contagion effects between markets, taking into account possible exogenous financial factors. [Part 2]
Finally, the last part will address the construction of a cryptoasset portfolio based on the causal links highlighted in the second part. This work will include tests of the portfolio's robustness to, for example, changes in market regimes or rules. [Part 3]
The aim of this work is to contribute to scientific research through the publication of three articles and the provision of datasets to the scientific community.
Reference:
[1] Shiller, Robert J, 1993, Measuring asset values for cash settlement in derivative markets: hedonic repeated measures indices and perpetual futures, The Journal of Finance 48, 911-931.
The first part of the thesis will highlight, from an empirical perspective, the arbitrage opportunities in the perpetual cryptoasset futures market and their relationship with exogenous factors, particularly financial ones. [Part 1]
The second part will analyze and quantify the mutual interaction between different trading venues. The analysis will be based on modeling using point-in-time processes, addressing the associated causal challenges. These methods provide a more accurate representation of contagion effects between markets, taking into account possible exogenous financial factors. [Part 2]
Finally, the last part will address the construction of a cryptoasset portfolio based on the causal links highlighted in the second part. This work will include tests of the portfolio's robustness to, for example, changes in market regimes or rules. [Part 3]
The aim of this work is to contribute to scientific research through the publication of three articles and the provision of datasets to the scientific community.
Reference:
[1] Shiller, Robert J, 1993, Measuring asset values for cash settlement in derivative markets: hedonic repeated measures indices and perpetual futures, The Journal of Finance 48, 911-931.
Keywords:
Causality, Portfolio Optimization, Cryptocurrencies, Futures, Contagion
Conditions:
CIFRE thesis at Tilvest, a company located in Paris, lasting 36 months. Gross monthly salary of €2,500. The candidate will be based in Paris, with the possibility of visits to CRAN, Campus Sciences, Henri Poincaré building.
Profile: Master's degree in applied mathematics or signal processing.
Profile: Master's degree in applied mathematics or signal processing.
Department(s):
| Biology, Signals and Systems in Cancer and Neuroscience |
Funds:
CIFRE thesis