{"id":"https://openalex.org/W7166820566","doi":"https://doi.org/10.1109/icbc67748.2026.11575519","title":"Detecting Tradable Put-Call Parity Breaks in Crypto Options: A High-Frequency Bid-Ask Study on Delta Exchange","display_name":"Detecting Tradable Put-Call Parity Breaks in Crypto Options: A High-Frequency Bid-Ask Study on Delta Exchange","publication_year":2026,"publication_date":"2026-06-01","ids":{"openalex":"https://openalex.org/W7166820566","doi":"https://doi.org/10.1109/icbc67748.2026.11575519"},"language":null,"primary_location":{"id":"doi:10.1109/icbc67748.2026.11575519","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icbc67748.2026.11575519","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2026 IEEE International Conference on Blockchain and Cryptocurrency (ICBC)","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5139761598","display_name":"Ahmad Abtahi","orcid":null},"institutions":[{"id":"https://openalex.org/I202697423","display_name":"University of Zurich","ror":"https://ror.org/02crff812","country_code":"CH","type":"education","lineage":["https://openalex.org/I202697423"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Ahmad Abtahi","raw_affiliation_strings":["University of Zurich UZH,Communication Systems Group CSG,Department of Informatics,Zurich,Switzerland,CH-8050"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Zurich UZH,Communication Systems Group CSG,Department of Informatics,Zurich,Switzerland,CH-8050","institution_ids":["https://openalex.org/I202697423"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5121184211","display_name":"Reza Abtahi","orcid":null},"institutions":[{"id":"https://openalex.org/I202697423","display_name":"University of Zurich","ror":"https://ror.org/02crff812","country_code":"CH","type":"education","lineage":["https://openalex.org/I202697423"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Reza Abtahi","raw_affiliation_strings":["University of Zurich UZH,Communication Systems Group CSG,Department of Informatics,Zurich,Switzerland,CH-8050"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Zurich UZH,Communication Systems Group CSG,Department of Informatics,Zurich,Switzerland,CH-8050","institution_ids":["https://openalex.org/I202697423"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5139715750","display_name":"Burkhard Stiller","orcid":null},"institutions":[{"id":"https://openalex.org/I202697423","display_name":"University of Zurich","ror":"https://ror.org/02crff812","country_code":"CH","type":"education","lineage":["https://openalex.org/I202697423"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Burkhard Stiller","raw_affiliation_strings":["University of Zurich UZH,Communication Systems Group CSG,Department of Informatics,Zurich,Switzerland,CH-8050"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Zurich UZH,Communication Systems Group CSG,Department of Informatics,Zurich,Switzerland,CH-8050","institution_ids":["https://openalex.org/I202697423"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I202697423"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.87228916,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"1","last_page":"5"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.1371999979019165,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.1371999979019165,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.12150000035762787,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.042399998754262924,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/parity","display_name":"Parity (physics)","score":0.40630000829696655},{"id":"https://openalex.org/keywords/exchange-rate","display_name":"Exchange rate","score":0.37059998512268066},{"id":"https://openalex.org/keywords/delta","display_name":"Delta","score":0.257999986410141},{"id":"https://openalex.org/keywords/statistical-analysis","display_name":"Statistical analysis","score":0.249099999666214},{"id":"https://openalex.org/keywords/identification","display_name":"Identification (biology)","score":0.2402999997138977}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.43799999356269836},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.41769999265670776},{"id":"https://openalex.org/C2777151079","wikidata":"https://www.wikidata.org/wiki/Q141160","display_name":"Parity (physics)","level":2,"score":0.40630000829696655},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.37059998512268066},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3019999861717224},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.287200003862381},{"id":"https://openalex.org/C5072461","wikidata":"https://www.wikidata.org/wiki/Q49506","display_name":"Delta","level":2,"score":0.257999986410141},{"id":"https://openalex.org/C2986587452","wikidata":"https://www.wikidata.org/wiki/Q938438","display_name":"Statistical analysis","level":2,"score":0.249099999666214},{"id":"https://openalex.org/C116834253","wikidata":"https://www.wikidata.org/wiki/Q2039217","display_name":"Identification (biology)","level":2,"score":0.2402999997138977},{"id":"https://openalex.org/C2778112365","wikidata":"https://www.wikidata.org/wiki/Q3511065","display_name":"Sequence (biology)","level":2,"score":0.2313999980688095}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/icbc67748.2026.11575519","is_oa":false,"landing_page_url":"https://doi.org/10.1109/icbc67748.2026.11575519","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2026 IEEE International Conference on Blockchain and Cryptocurrency (ICBC)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1972471931","https://openalex.org/W1985545902","https://openalex.org/W1997562394","https://openalex.org/W2003888645","https://openalex.org/W2007223908","https://openalex.org/W2033029702","https://openalex.org/W2056822017","https://openalex.org/W2061881868","https://openalex.org/W2062384810","https://openalex.org/W2072981581","https://openalex.org/W2091152111","https://openalex.org/W3121362994","https://openalex.org/W3125387330","https://openalex.org/W4389990175","https://openalex.org/W4401304305"],"related_works":[],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2026-07-02T00:00:00"}