Arbitrage, contract design, and market structure in Bitcoin futures markets

【Author】 De Blasis, Riccardo; Webb, Alexander

【Source】JOURNAL OF FUTURES MARKETS

【影响因子】2.350

【Abstract】Perpetual futures, first proposed by Shiller (1993), have only seen wide use in cryptocurrency markets. We examine the contract design and market microstructure differences for the behavior of Bitcoin quarterly and perpetual futures prices and assess the implications for market participants and policymakers. We find perpetual futures exhibit multiple u-shaped curves, seasonal effects, and opening effects despite lacking opening and closing hours. There is suggestive evidence of spillover effects between perpetual and quarterly futures contracts. We find quarterly futures offer cash-and-carry arbitrage opportunities, but similar to Hattori and Ishida (2021) these opportunities primarily exist during market dislocations.

【Keywords】arbitrage; Binance; Bitcoin; cash-and-carry; perpetual futures

【发表时间】

【收录时间】2022-01-29

【文献类型】期刊

【主题类别】

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