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...

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 propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all defaulted obligors in the group. We obtain analytic...

For liquidity providers in the rapidly-growing crypto options market as well as potential institutional investors in crypto options, we test the joint efficiency of the bitcoin options and perpetual futures markets, and likewise for ether, and identify the frequency and magnitude of arbitrage...

Globally, decentralized energy systems are gaining popularity due to their potential for energy accessibility, energy resilience, and sustainability benefits. Existing research on an energy system decentralization approach, community choice aggregation (CCA), shows its ability to lower energy...

This paper analyzes insider-trading regulations, focusing on two recent proposals: advance disclosure and ''cooling-off periods.'' The former requires an insider to disclose his trading plan at adoption, while the latter mandates a delay period before execution. Disclosure increases stock price...

How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about market maker’s supply. The main demand-side effects are that at-the-money option prices are largely driven by volatility...