PandichefHow to Estimate a Sharpe Ratio With Aggregated DataSometimes you want to estimate a Sharpe Ratio, but you don’t have a clean return time series i.e., the return data is available at…3 min read·Jun 6, 2022----
PandichefAm I a Good Investor? How Long Should a Performance Track Record Be To Know For SureThe following post focuses on using performance data to evaluate the quality of a trader or investment manager. To be sure, qualitative…7 min read·Jun 5, 2022----
PandichefThe Marginal Sharpe Ratio: A New Heuristic for Asset SelectionPortfolio optimization strategies typically involve an unintuitive procedure that combines individual assets’ expected returns, individual…4 min read·Jun 5, 2022----
PandichefThe Impermanent Loss Rate of the Uniswap v3 AMMIn a previous post, I introduced a new term called the impermanent loss rate, which measures the cost per annum of delta hedging a…7 min read·Feb 28, 2022----
PandichefCommunal Equity: a New Model for Crypto Startup FinancingLast September, the Wall Journal Journal reported that the SEC started investigating Uniswap for violation of securities regulations. Since…4 min read·Feb 27, 2022----
PandichefA Brief History of Uniswap and Its MathAn automated market maker (AMM) is an algorithmic method for price discovery in a given market. This contrasts with the order book model…7 min read·Feb 27, 2022--4--4
PandichefHow Centralized Finance Rips Off Ordinary AmericansThis post is a tale of two stories. The first is a story about how antiquated technology and regulations give a small cabal of Wall Street…5 min read·Jun 29, 2021----
PandichefBitcoin Wasn’t Designed to Be “Cheaper or Faster”Lee Reiners of Duke Law recently wrote an op-ed for the Wall Street Journal where he states, “I have yet to identify a single task or…3 min read·May 25, 2021----
PandichefA Primer on DeFi Due DiligenceIn the following post, I look at the recent hack on Uranium Finance (Binance Smart Chain), identify points of failure and make suggestions…8 min read·May 1, 2021----
PandichefThe Slippage Ratio: A New Metric to Understand Curve.fi’s AMM ProtocolThe Curve Whitepaper concisely highlights an approach to building an AMM that allows developers to control slippage. Curve’s primary use…8 min read·Dec 18, 2020--1--1