DYNAMIC CRYTOCURRENCY INERTIA SYSTEM

원문 (중국어)

Apparatus and associated methods relate to global implied volatility assessment in a dynamic inertia system. In an illustrative example, a global implied volatility assessment system (GIVAS) may include a market data standardization module configured to receive updates of option contracts of a cryptocurrency from multiple data tracking devices. For example, the option contracts value may be prone to outlying events causing discontinuity in a time-series of the value. The received update may, for example, be aggregated into a global order book (GOB) including instantaneous representations of the option contracts among the multiple data tracking devices. Based on the GOB, the GIVAS may generate a global raw volatility characterization (GRVC) of the option contracts. An infinite impulse response filter may be applied to the GRVC to generate a transient-dampened volatility characterization. Various embodiments may advantageously generate a transient-dampened volatility metric usable for analyzing the option contract value by external code.