Hedging with automatic liquidation and leverage selection on bitcoin futures

Alexander, Carol; Deng, Jun; Zou, Bin

doi:10.1016/j.ejor.2022.07.037

Cited by 13 publications

(2 citation statements)

References 30 publications

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“…Step3: Calculate the two-color European rainbow call option return under the risk-neural assumption (5) Step4: Replicate Step2 and Step3 until getting 1000 times Step5: Get the average of the result of Step4 (6) Step6: According to Formula (1), calculate the present value of two-color European rainbow call option return.…”

Section: Monte-carlo Stimulationmentioning

confidence: 99%

“…Combining the derivatives with Internet technology is a common phenomenon in the current financial market like virtual currency futures. Alexander et al (2022) made a study on the improvement of the liquidation mechanism of bitcoin futures [6]. Just like Bitcoin, the metaverse, which also originates from the Internet technology, could be speculate to combine with derivatives as well.…”

Section: Introductionmentioning

confidence: 99%

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Monte-Carlo Stimulation for European Rainbow Call Options BASED on Meta and NEM’s Case Study

Ding¹

2022

BCPBM

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Recently, investors have paid great attention to the metaverse sector and the investing instruments for metaverse. Metaverse has become the most popular investment sector since 2021. Due to the rapid development of the industry, coupled with the social instability, it is critical to search for the appropriate investment. Previous literature proposed many advantages of the rainbow options and the expected growth of the metaverse industry. However, there is currently a lack of research on the combination of metaverse assets and the rainbow options. Based on this, this paper chooses the stocks of the metaverse enterprise META and the gold enterprise NEM as the safe-haven asset to construct a two-color European rainbow call options and chooses yahoo Finance's transaction data and excel and python as analysis software. The rainbow options return is given by Monte Carlo simulation method, and complete sensitivity analysis of the four parameters. At the end, the pros cons of rainbow options are compared. Besides three findings are obtained, including that options have cost advantages, could gain return from the market volatility by changing the portfolio, and have sharp peaks and thick tails in the distribution.

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Section: Monte-carlo Stimulationmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Monte-Carlo Stimulation for European Rainbow Call Options BASED on Meta and NEM’s Case Study

Ding¹

2022

BCPBM

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Perpetual future contracts in centralized and decentralized exchanges: Mechanism and traders’ behavior

Chen,

Ma,

Nie

2024

Electron Markets

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Assessing the Risk of Bitcoin Futures Market: New Evidence

Dutta

2024

Ann. Data. Sci.

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The main objective of this paper is to forecast the realized volatility (RV) of Bitcoin futures (BTCF) market. To serve our purpose, we propose an augmented heterogenous autoregressive (HAR) model to consider the information on time-varying jumps observed in BTCF returns. Specifically, we estimate the jump-induced volatility using the GARCH-jump process and then consider this information in the HAR model. Both the in-sample and out-of-sample analyses show that jumps offer added information which is not provided by the existing HAR models. In addition, a novel finding is that the jump-induced volatility offers incremental information relative to the Bitcoin implied volatility index. In sum, our results indicate that the HAR-RV process comprising the leverage effects and jump volatility would predict the RV more precisely compared to the standard HAR-type models. These findings have important implications to cryptocurrency investors.

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Hedging with automatic liquidation and leverage selection on bitcoin futures

Cited by 13 publications

References 30 publications

Monte-Carlo Stimulation for European Rainbow Call Options BASED on Meta and NEM’s Case Study

Monte-Carlo Stimulation for European Rainbow Call Options BASED on Meta and NEM’s Case Study

Perpetual future contracts in centralized and decentralized exchanges: Mechanism and traders’ behavior

Assessing the Risk of Bitcoin Futures Market: New Evidence

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