We formulate an optimal hedging problem of Bitcoin inverse futures under the minimumvariance framework. We obtain the optimal hedging strategy in closed forms for both short and long hedges, and compute hedging efficiency under the optimal strategy. Our empirical studies show that the optimal...

In the Bitcoin futures markets, the dominating contracts are inverse contracts. Unlike standard futures, Bitcoin inverse futures have a non-linear payoff structure, are settled in Bitcoin instead of the fiat currency, and require Bitcoins to be deposited into the margin account during trading.We...