13 citations · 34 across the 12 of their papers we have counts for
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q-fin.GN2021
Net Buying Pressure and the Information in Bitcoin Option Trades
Carol Alexander, Jun Deng, Jianfen Feng +1
How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about the market…
q-fin.TR2021
Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets
Zhiyong Cheng, Jun Deng, Tianyi Wang +1
Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long and short futures positions. T…
q-fin.RM2021★ 3 cited
Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading
Carol Alexander, Jun Deng, Bin Zou
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strateg…