Corpus ID: 208857706

BitMEX Funding Correlation with Bitcoin Exchange Rate

@inproceedings{Nimmagadda2019BitMEXFC,
  title={BitMEX Funding Correlation with Bitcoin Exchange Rate},
  author={Sai Srikar Nimmagadda and Pawan Sasanka Ammanamanchi},
  year={2019}
}
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

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