Hedging with automatic liquidation and leverage selection on bitcoin futures

DOI10.1016/J.EJOR.2022.07.037MaRDI QIDQ2106762zbMATH OpenOpenAlexFDO

Authors Carol Alexander, Jun Deng, Bin Zou

Publication date 19 December 2022

Published in European Journal of Operational Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.ejor.2022.07.037

zbMATH Keywords

financeleverageliquidationcryptocurrencyperpetual swap

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

• A parsimonious parametric model for generating margin requirements for futures
• Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
• Electricity swing options: behavioral models and pricing
• Hedging effectiveness of stock index futures
• Optimal bitcoin trading with inverse futures
• Supply chain network equilibrium with strategic financial hedging using futures

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