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Applied Economics Volume 52, 2020 - Issue 58
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Research Article

Minimum-variance hedging of Bitcoin inverse futures

Jun Denga School of Banking and Finance, University of International Business and Economics, Beijing, ChinaView further author information
,
Huifeng Pana School of Banking and Finance, University of International Business and Economics, Beijing, ChinaView further author information
,
Shuyu Zhangb Wenlan School of Business, Zhongnan University of Economics and Law, Wuhan, ChinaCorrespondence[email protected]
View further author information
&
Bin Zouc Department of Mathematics, University of Connecticut, Storrs, CT, USAView further author information
Pages 6320-6337 | Published online: 12 Jul 2020

Citations (12)

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Read on this site (2)

Francis Liu, Natalie Packham, Meng-Jou Lu & Wolfgang Karl Härdle. (2023) Hedging cryptos with Bitcoin futures. Quantitative Finance 23:5, pages 819-841.
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Zhiyong Cheng, Jun Deng, Tianyi Wang & Mei Yu. (2021) Liquidation, leverage and optimal margin in bitcoin futures markets. Applied Economics 53:47, pages 5415-5428.
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Articles from other publishers (10)

Toshiko Matsui & William J. Knottenbelt. (2023) Optimal Hedge Ratio Estimation for Bitcoin Futures using Kalman Filter. Optimal Hedge Ratio Estimation for Bitcoin Futures using Kalman Filter.
Carol Alexander, Jun Deng & Bin Zou. (2023) Hedging with automatic liquidation and leverage selection on bitcoin futures. European Journal of Operational Research 306:1, pages 478-493.
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Carol Alexander, Jun Deng, Jianfen Feng & Huning Wan. (2023) Net buying pressure and the information in bitcoin option trades. Journal of Financial Markets 63, pages 100764.
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Carol Alexander, Xi Chen, Jun Deng & Tianyi Wang. (2023) Arbitrage Opportunities and Efficiency Tests in Crypto Options. SSRN Electronic Journal.
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Weige Huang & Xiang Gao. (2023) Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies. SAGE Open 13:1, pages 215824402311516.
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Jun Deng, Huifeng Pan, Shuyu Zhang & Bin Zou. (2021) Optimal Bitcoin trading with inverse futures. Annals of Operations Research 304:1-2, pages 139-163.
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TIM LEUNG, RAPHAEL YAN & YANG ZHOU. (2021) OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK. International Journal of Theoretical and Applied Finance 24:05, pages 2150028.
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Carol Alexander, Jun Deng, Jianfen Feng & Huning Wan. (2021) Net Buying Pressure and the Information in Bitcoin Option Trades. SSRN Electronic Journal.
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Tim Leung & Yang Zhou. (2021) Optimal Dynamic Futures Portfolio Under a Multifactor Gaussian Framework. SSRN Electronic Journal.
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Carol Alexander, Jun Deng & Bin Zou. (2021) Optimal Hedging with Margin Constraints and Default Aversion and its Application to Bitcoin Perpetual Futures. SSRN Electronic Journal.
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