BitMEX Funding Correlation with Bitcoin Exchange Rate
Statistical Finance
2019-12-09 v1
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.
Keywords
Cite
@article{arxiv.1912.03270,
title = {BitMEX Funding Correlation with Bitcoin Exchange Rate},
author = {Sai Srikar Nimmagadda and Pawan Sasanka Ammanamanchi},
journal= {arXiv preprint arXiv:1912.03270},
year = {2019}
}
Comments
9 pages,5 figures