https://www.ledgerjournal.org/ojs/ledger <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> University Library System, University of Pittsburgh en-US Ledger 2379-5980 <p>Authors who publish with this journal agree to the following terms:</p> <ol> <li>The Author retains copyright in the Work, where the term “Work” shall include all digital objects that may result in subsequent electronic publication or distribution.</li> <li>Upon acceptance of the Work, the author shall grant to the Publisher the right of first publication of the Work.</li> <li>The Author shall grant to the Publisher and its agents the nonexclusive perpetual right and license to publish, archive, and make accessible the Work in whole or in part in all forms of media now or hereafter known under a <a title="CC-BY" href="http://creativecommons.org/licenses/by/4.0/">Creative Commons Attribution 4.0 International License</a>&nbsp;or its equivalent, which, for the avoidance of doubt, allows others to copy, distribute, and transmit the Work under the following conditions: <ol type="a"> <li>Attribution—other users must attribute the Work in the manner specified by the author as indicated on the journal Web site;</li> </ol> with the understanding that the above condition can be waived with permission from the Author and that where the Work or any of its elements is in the public domain under applicable law, that status is in no way affected by the license.</li> <li>The Author is able to enter into separate, additional contractual arrangements for the nonexclusive distribution of the journal's published version of the Work (e.g., post it to an institutional repository or publish it in a book), as long as there is provided in the document an acknowledgement of its initial publication in this journal.</li> <li>Authors are permitted and encouraged to post online a prepublication manuscript (but not the Publisher’s final formatted PDF version of the Work) in institutional repositories or on their Websites prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work. 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Revision Description: Removed outdated link.&nbsp;</span></p> https://www.ledgerjournal.org/ojs/ledger/article/view/325 <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> Ioannis Giagkiozis Emilio Said Copyright (c) 2024 Ioannis Giagkiozis, Emilio Said https://creativecommons.org/licenses/by/4.0 2024-04-03 2024-04-03 9 10.5195/ledger.2024.325