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...

Using the generalized extreme value theory to characterize tail distributions, we address liqui- dation, leverage, and optimal margins for bitcoin long and short futures positions. The empirical analysis of perpetual bitcoin futures on BitMEX shows that (1) daily forced liquidations to out-...

We consider the hedging problem where a futures position can be automatically liquidated by theexchange without notice. We derive a semi-closed form for an optimal hedging strategy with dualobjectives -- to minimise both the variance of the hedged portfolio and the probability of liquidationsdue...

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...