https://www.ledgerjournal.org/ojs/ledger/issue/feed 2024-04-03T09:33:39-04:00 Richard Ford Burley ledger.editors@pitt.edu Open Journal Systems <p><em>Ledger</em> is a peer-reviewed scholarly journal that publishes full-length original research articles on the subjects of cryptocurrency and blockchain technology, as well as any relevant intersections with mathematics, computer science, engineering, law, and economics.<em>&nbsp;&nbsp;</em>It is published online by the University Library System, University of Pittsburgh.</p> <p>The journal<em> Ledger</em>:</p> <ul> <li class="show">is open access to all readers,</li> <li class="show">does not charge fees to independent authors or authors with no institutional support,</li> <li class="show">employs a transparent peer-review process,</li> <li class="show">encourages authors to <a href="/ojs/public/journals/1/simplesign.html">digitally sign their manuscripts</a></li> </ul> <p>Authors planning to submit their work to the journal are strongly advised to examine <a href="/ojs/index.php/ledger/about/submissions#authorGuidelines">the Author Guidelines section of the website.</a></p> https://www.ledgerjournal.org/ojs/ledger/article/view/325 2024-02-01T07:12:01-05:00 Ioannis Giagkiozis ioannis@chrysor-trading.com Emilio Said said.emilio01@gmail.com

<div class="page" title="Page 1"> <div class="layoutArea"> <div class="column"> <p>Perpetual swaps are derivative contracts that allow traders to speculate on, or hedge, the price movements of cryptocurrencies. Unlike futures contracts, perpetual swaps have no settlement or expiration in the traditional sense. The funding rate acts as the mechanism that tethers the perpetual swap to its underlying with the help of arbitrageurs. Open interest, in the context of perpetual swaps and derivative contracts in general, refers to the total number of outstanding contracts at a given point in time. It is a critical metric in derivatives markets as it can provide insight into market activity, sentiment and overall liquidity. It also provides a way to estimate a lower bound on the collateral required for every cryptocurrency market on an exchange. This number, cumulated across all markets on the exchange in combination with proof of reserves, can be used to gauge whether the exchange in question operates with unsustainable levels of leverage, which could have solvency implications. We find that open interest in Bitcoin perpetual swaps is systematically misquoted by some of the largest derivatives exchanges; however, the degree varies, with some exchanges reporting open interest that is wholly implausible to others that seem to be delaying messages of forced trades, i.e., liquidations. We identify these incongruities by analyzing tick-by-tick data for two time periods in 2023 by connecting directly to seven of the most liquid cryptocurrency derivatives exchanges.</p> </div> </div> </div>

2024-04-03T00:00:00-04:00 Copyright (c) 2024 Ioannis Giagkiozis, Emilio Said