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Title: BitMex funding rate, direct cause of BTC exchange rate changes Post by: Edgerio on November 13, 2019, 07:03:09 PM Hi all,
I've done some research on BitMex funding rate. My motivation was to ask, whether traders who are long and the funding rate (a rate which is paid/charged every 8 hour period) is negative, will rather close their position to avoid the additional payments. This should raise the contract supply and the price is assumed to drop from here. With the following research question: Does an 8 hour effect (anomaly) exists on XBTUSD and ETHUSD contracts? Initial research question was confirmed and there was an anomaly found. However, this anomaly does not happen before the funding rate is paid/charged. More oppositely, it happens right after the new funding rate is announced. I also made a more "research paper" like post on medium if you were the type of guy who likes to see what's behind. It's here: https://medium.com/edger-io/bitmex-funding-rate-moving-the-bitcoin-exchange-rate-f89fe1d3eb77?sk=79455a4a1b21384baf10ecd93d3d16bf (https://medium.com/edger-io/bitmex-funding-rate-moving-the-bitcoin-exchange-rate-f89fe1d3eb77?sk=79455a4a1b21384baf10ecd93d3d16bf). I also have Jupyter notebook in which this analysis was conducted (in Python), if you wanted to replicate the research yourself, let me know here on in pm, I can send it. |