Liquidation, leverage and optimal margin in bitcoin futures markets
Author:
Affiliation:
1. School of Banking and Finance, University of International Business and Economics, Beijing, China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2021.1922597
Reference18 articles.
1. BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness
2. Optimal Hedging with Margin Constraints and Default Aversion and its Application to Bitcoin Perpetual Futures
3. A parsimonious parametric model for generating margin requirements for futures
4. Volatility and return jumps in bitcoin
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Arbitrage opportunities and efficiency tests in crypto derivatives;Journal of Financial Markets;2024-08
2. Optimal Margin Levels for Margin Buying in China: An Extreme Value Method;Emerging Markets Finance and Trade;2021-11-18
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