On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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6 results for “BitMEX”

BitMEX Funding Correlation with Bitcoin Exchange Rateq-fin.ST

Paper finds funding rates on BitMEX predict Bitcoin inverse swap contracts.

problem Understanding the relationship between BitMEX funding rates and Bitcoin derivatives.

method Examined Heteroskedasticity of funding rates, established Granger causality, developed GARCH models for prediction.

result Funding rates on BitMEX predict Bitcoin inverse swap contracts.

BitMEX funding rates Granger causality GARCH models Bitcoin derivatives

2019-11-26abs ↗pdf ↗

Liquidation, Leverage and Optimal Margin in Bitcoin Futures Marketsq-fin.TR

Study examines liquidation, leverage, and optimal margin requirements in Bitcoin futures markets.

problem Understanding and optimizing margin requirements in Bitcoin futures markets.

method Empirical analysis using generalized extreme value theory and BitMEX data.

result Margin requirements need to be significantly higher to reduce daily margin calls.

Bitcoin futures Margin requirements Leverage Extreme value theory BitMEX

2021-02-09abs ↗pdf ↗

Autocorrelation of returns in major cryptocurrency marketsq-fin.ST

This paper examines autocorrelation in major crypto markets, finding persistent correlations on short time frames.

problem Assessing the efficiency of major cryptocurrency markets through autocorrelation analysis.

method Pearson's autocorrelation coefficient, Ljung-Box test, rolling window analysis.

result Persistent autocorrelation on 5m and 1H time frames, disagreement on 1D and 1W time frames.

cryptocurrency markets autocorrelation efficiency Bitfinex Bitmex

2020-03-30abs ↗pdf ↗

The Recurrent Reinforcement Learning Crypto Agentcs.LG

Reinforcement learning crypto agent achieves high returns on Bitcoin derivatives.

problem Maximizing returns on volatile cryptocurrency markets.

method Online transfer learning with an echo state network and recurrent reinforcement learning.

result Achieves a total return of 350%, net of transaction costs, over five years.

reinforcement learning crypto trading echo state network recurring over-trading funding profit

2022-01-12abs ↗pdf ↗

Extending Deep Reinforcement Learning Frameworks in Cryptocurrency Market Makingq-fin.TR

Paper proposes a new reinforcement learning framework for cryptocurrency market making.

problem Improving profit and stability in cryptocurrency market making.

method Event-based reinforcement learning environment, training two policy-based agents with neural networks and various reward functions.

result Improved profit and stability demonstrated over time-based approach.

Reinforcement Learning Cryptocurrency Market Making Artificial Intelligence Neural Networks

2020-04-15abs ↗pdf ↗

Evaluation of Dynamic Cointegration-Based Pairs Trading Strategy in the Cryptocurrency Marketq-fin.TR

This study evaluates a dynamic pairs trading strategy in cryptocurrencies using cointegration tests.

problem Improving profitability and risk management in cryptocurrency trading.

method Engle-Granger, KSS, Johansen tests; optimal look-back window; mean-reversion speed calibration; microstructure limitations consideration.

result The strategy outperforms naive buy-and-hold in Bitmex exchange with low maximum drawdown.

cryptocurrency trading pairs trading cointegration dynamic strategy look-back window

2021-09-22abs ↗pdf ↗