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Classroom Contents
Hedging with Automatic Liquidation and Leverage Selection on Bitcoin Futures
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- 1 Intro
- 2 Overview
- 3 Outline
- 4 1. Who Hedges Bitcoin - and How?
- 5 Perpetual Futures Contracts
- 6 Binance BTCUSDT Funding Rate
- 7 II. Trading on Centralised Crypto Derivatives Exchanges
- 8 Clearing Activities: Liquidation Protocol
- 9 III. Speculation Metrics
- 10 Turnover Index Garcia et al. (1986)
- 11 Liquidation Index
- 12 Implied Leverage
- 13 Adding the Margin Constraint
- 14 Parameter Estimation
- 15 Size of Optimal Hedge Position
- 16 Empirical Design
- 17 Empirical Results
- 18 Conclusions
