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-...

This study investigates if the biggest players in major foreign currencies futures markets are affected by current and previous financial conditions. Using root mean squared errors (RMSE), normalized RMSE, and Nash-Sutcliffe efficiency, this study compares the impact of current, 1 and 2 week...