2019/11/26 by Sai Srikar Nimmagadda, Pawan Sasanka Ammanamanchi, Nimmagadda, Sai Srikar +1
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Markets and Investment Strategies #Market Dynamics and Volatility #Statistical Finance (q-fin.ST) #q-fin.ST
paper · pdf · doi:10.48550/arxiv.1912.03270
9 pages,5 figures
arxiv created 2019/11/26 · openalex publication_date 2019/11/26 · arxiv updated 2019/12/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.