比特币期货市场的清算、杠杆和最优保证金
Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets
摘要：
使用广义极值理论来表征尾部分布，我们解决了比特币多头和空头期货头寸的清算，杠杆和最佳保证金问题。对BitMEX永续比特币期货的实证分析表明：（1）每日强制平仓对优秀期货的影响很大，为3.51%，多空均为1.89%;（2）被强制平仓的投资者交易积极，平均杠杆为60倍;（3）交易所应将目前1%的保证金要求提高到多头33%（3倍杠杆）和空头20%（5倍杠杆），以将每日保证金追缴概率降低到1%。我们的研究结果进一步表明，收益率的正态假设显着低估了最优利润率。政策影响也进行了讨论。
英文摘要：
Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long and short futures positions. The empirical analysis of perpetual bitcoin futures on BitMEX shows that (1) daily forced liquidations to out- standing futures are substantial at 3.51%, and 1.89% for long and short; (2) investors got forced liquidation do trade aggressively with average leverage of 60X; and (3) exchanges should elevate current 1% margin requirement to 33% (3X leverage) for long and 20% (5X leverage) for short to reduce the daily margin call probability to 1%. Our results further suggest normality assumption on return significantly underestimates optimal margins. Policy implications are also discussed.
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