Hedging with automatic liquidation and leverage selection on bitcoin futures-Reference-Cited by-同舟云学术

Hedging with automatic liquidation and leverage selection on bitcoin futures

Published:2023-04 Issue:1 Volume:306 Page:478-493
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Alexander Carol^ORCID,Deng Jun^ORCID,Zou Bin^ORCID

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference31 articles.

1. Limits to arbitrage and hedging: Evidence from commodity markets;Acharya;Journal of Financial Economics,2013

2. BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness;Alexander;Journal of Futures Markets,2020

3. A parsimonious parametric model for generating margin requirements for futures;Alexander;European Journal of Operational Research,2019

4. Sudden changes in variance and time varying hedge ratios;Aragó;European Journal of Operational Research,2011

5. Price discovery in bitcoin spot or futures?;Baur;Journal of Futures Markets,2019

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