Corpus ID: 208857706

BitMEX Funding Correlation with Bitcoin Exchange Rate

  title={BitMEX Funding Correlation with Bitcoin Exchange Rate},
  author={Sai Srikar Nimmagadda and Pawan Sasanka Ammanamanchi},
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… CONTINUE READING

Create an AI-powered research feed to stay up to date with new papers like this posted to ArXiv