The speculative (In)efficiency of the CME bitcoin futures market

DOI10.1007/978-3-030-53356-4_6MaRDI QIDQ5147164zbMATH OpenOpenAlexFDO

Authors Toshiko Matsui, Lewis Gudgeon

Publication date 2 February 2021

Published in Mathematical Research for Blockchain Economy (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-53356-4_6

zbMATH Keywords

bitcoinChicago mercantile exchange (CME)cryptoassetsderivativesfutures marketsLondon metal exchange (LME)market efficiencyOLSspeculative efficiency hypothesis (SEH)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• An analysis of price discovery between Bitcoin futures and spot markets
• Bitcoin futures -- what use are they?
• Price clustering in bitcoin

Cited in

(6)

• Bitcoin futures -- what use are they?
• A singular value decomposition approach for testing the efficiency of bitcoin and ethereum markets
• An analysis of price discovery between Bitcoin futures and spot markets
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Generalized channels from limited blockchain scripts and adaptor signatures
• The connectedness and risk spillovers between bitcoin spot and futures markets: evidence from intraday data

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