基于融资利率机制的BTC现货和期货市场套利机会探索

Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022) Pub Date : 1900-01-01 DOI:10.2991/aebmr.k.220307.316

Jiahua Zou

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引用次数: 1

摘要

加密货币，在当今全球金融市场中占有非常重要的地位。由于加密货币的重要性，对其进行研究对于金融目的具有积极而重要的意义。本研究考察了投资者如何基于融资利率机制(币安交易所)在比特币现货和期货市场之间套利。次要数据的收集和证明，以检查是否存在套利机会之间的BTC现货和未来市场。数据分析检验了套利机会的存在，在BTC市场崩盘期间套利利润远高于正常时期。另一方面，这种投资的风险相对较小。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Exploring Arbitrage Opportunities between the BTC Spot and Futures Market based on Funding Rates Mechanism

Crypto-currency, in nowadays occupies a very important position in the global financial market. Due to the importance of Crypto-currency, research on it has positive and significant meanings for financial purpose. This research examined how investors arbitrage between the BTC spot and futures market based on funding rates mechanism (Binance exchange). Secondary data was collected and testified in order to examine if there is an arbitrage opportunity between BTC spot and future markets. The data analysis tested the existences of arbitrage opportunities, and arbitrage profits were much larger during BTC market crashes than normal period. On the other hand, the risk of this investing is relatively smaller.

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Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

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