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Hedging with automatic liquidation and leverage selection on bitcoin futures
16 references·1 citing·51 second hop
Hedging with automatic liquidation and leverage selection on bitcoin futures (2022)Hedging with automatic liquidation and le…Personalized Robo-Advising: Enhancing Investment Through Client Interaction (2021)Personalized Robo-Advising: E…Price discovery in bitcoin spot or futures? (2019)Price discovery in bitcoin sp…BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness (2019)BitMEX bitcoin derivatives: P…A Dynamic Mean-Variance Analysis for Log Returns (2018)A Dynamic Mean-Variance Analy…Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? (2015)Hedging with Futures: Does An…Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets (2014)Markov Switching GARCH Models…Limits to arbitrage and hedging: Evidence from commodity markets (2013)Limits to arbitrage and hedgi…Hedging and value at risk: A semi‐parametric approach (2009)Hedging and value at risk: A …Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets (2007)Asymmetric effect of basis on…Some Recent Developments in Futures Hedging (2002)Some Recent Developments in F…Margin exceedences for European stock index futures using extreme value theory (2001)Margin exceedences for Europe…Optimal margin level in futures markets: Extreme price movements (1999)Optimal margin level in futur…Lead‐lag relationships between trading volume and price variability: New evidence (1986)Lead‐lag relationships betwee…Margins and market integrity: Margin setting for stock index futures and options (1984)Margins and market integrity:…Hedging Performance and Basis Risk in Stock Index Futures (1984)Hedging Performance and Basis…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…Fundamentals of Perpetual Futures (2022)Fundamentals of Perpetual Fut…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Competition among Exchanges (2001)Extreme spectral risk measures: An application to futures clearinghouse margin requirements (2006)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)MONEY, INCOME, AND CAUSALITY (1972)The Price Variability-Volume Relationship on Speculative Markets (1983)The role of futures trading activity in exchange rate volatility (1996)On measuring speculative and hedging activities in futures markets from volume and open interest data (2008)Price discovery in Bitcoin: The impact of unregulated markets (2020)Cross Hedging (1981)The relation between forward prices and futures prices (1981)Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices (1988)Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach (1993)Bitcoin Futures—What use are they? (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Data-Driven Optimization for Commodity Procurement Under Price Uncertainty (2020)Effects of structural changes on the prediction of downside volatility in futures markets (2021)Carbon credit futures as an emerging asset: Hedging, diversification and downside risks (2022)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)An analysis of price discovery between Bitcoin futures and spot markets (2018)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)The determinants of price discovery on bitcoin markets (2020)Forecasting mid-price movement of Bitcoin futures using machine learning (2021)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004)A Markov regime switching approach for hedging energy commodities (2008)Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Common risk factors in the returns on stocks and bonds (1993)Risk premia in crude oil futures prices (2013)Convective Risk Flows in Commodity Futures Markets (2014)A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets (2019)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Measuring and Testing the Impact of News on Volatility (1993)Dynamic Conditional Correlation (2002)Regime switching correlation hedging (2010)Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis (2012)Shock transmission and volatility spillover in stock and commodity markets: evidence from advanced and emerging markets (2018)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)
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References

  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 2013Limits to arbitrage and hedging: Evidence from commodity markets371 cited
  • 1984Hedging Performance and Basis Risk in Stock Index Futures364 cited
  • 2002Some Recent Developments in Futures Hedging229 cited
  • 1984Margins and market integrity: Margin setting for stock index futures and options135 cited
  • 2019Price discovery in bitcoin spot or futures?130 cited
  • 2015Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?119 cited
  • 2019BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness116 cited
  • 1986Lead‐lag relationships between trading volume and price variability: New evidence113 cited
  • 2007Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets107 cited
  • 1999Optimal margin level in futures markets: Extreme price movements99 cited
  • 2021Personalized Robo-Advising: Enhancing Investment Through Client Interaction98 cited
  • 2001Margin exceedences for European stock index futures using extreme value theory95 cited
  • 2018A Dynamic Mean-Variance Analysis for Log Returns88 cited
  • 2014Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets

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57 cited
  • 2009Hedging and value at risk: A semi‐parametric approach52 cited
  • Cited by

    • 2022Fundamentals of Perpetual Futures25 cited