BitMEX Funding Correlation with Bitcoin Exchange Rate

Sai Srikar Nimmagadda and Pawan Sasanka Ammanamanchi

Papers from arXiv.org

Abstract: This paper examines the relationship between Inverse Perpetual Swap contracts, a Bitcoin derivative akin to futures and the margin funding interest rates levied on BitMEX. This paper proves the Heteroskedastic nature of funding rates and goes onto establish a causal relationship between the funding rates and the Bitcoin inverse Perpetual swap contracts based on Granger causality. The paper further dwells into developing a predictive model for funding rates using best-fitted GARCH models. Implications of the results are presented, and funding rates as a predictive tool for gauging the market trend is discussed.

Date: 2019-11
New Economics Papers: this item is included in nep-fmk and nep-pay
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1912.03270

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