Kaiko to provide reference rates for Cboe Digital’s futures settlement

Kaiko Quantitative Analytics Launch Robust Pair Prices

June 16th, 2023

Kaiko’s Quantitative Analytics team launches Robust Pair Prices, a groundbreaking cryptocurrency pricing tool, catering to various market strategies.

We’re thrilled to announce the launch of Robust Pair Prices: The Outlier Resistant Pricing Tool built by the Kaiko Quantitative Analytics team. With our proprietary algorithm, users can accurately determine the fair price of assets by leveraging robust prices aggregated from all major exchanges.

Robust Pair Prices present a powerful solution that caters to various strategies, including market analysis, charting and display, valuation, accounting, risk management, and the facilitation of smart contracts.

Our statistical methodology stands out for its innovation and uniqueness, surpassing existing solutions in the market. By utilizing Kaiko’s Robust Pair Price tool, users can:

  1. Obtain Accurate and Resilient Pricing: Our tool generates prices resistant to outliers caused by factors such as governance issues, security concerns, liquidity challenges, or data quality discrepancies prevalent on certain exchanges.
  2. Leverage Cutting-edge Statistical Analysis: Benefit from the industry’s most powerful pricing tool, based on transparent and advanced statistical analysis techniques.
  3. Defragment the Market: Our tool aggregates pair prices from all venues, effectively addressing fragmentation concerns while offering custom granularity.
  4. Rely on Trustworthy Pricing: Trust the accuracy and reliability of our pricing tool, even in the face of potential market manipulation on certain platforms.

Innovative Methodology for Robust Pricing
The development of Kaiko’s Robust Pair Price tool involved extensive research and analysis conducted by our Quantitative Analytics team. They examined existing price aggregation methodologies applied to cryptocurrency prices, considering the fragmented nature of quotations across different platforms.

The inherent challenge lies in the heavy-tailed distribution of price returns and volumes, often resulting in numerous outliers. Traditional methods, such as Volume-Weighted Average Prices (VWAPs) or Volume-Weighted Median prices (VWMs), struggle to handle this unique problem effectively.

To overcome these challenges, we devised the Robust Weighted Median (RWM) estimator. This estimator exhibits robustness against outliers in both price and volume, providing a reliable solution within the digital asset space.

Kaiko Robust Price Aggregation provides a rigorous and high-performing statistical methodology (academic paper and Methodology) that satisfies the required properties for such an estimator. The innovative highlights of this new methodology include; Wide interval range (1s-1d), rigorous high-performing statistical approach, resistance to outliers, and suitable for illiquid pairs.

For more information on Kaiko’s Robust Pair Prices, visit our Pricing Services page.

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