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-...