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The Future of Futures? An investigation into the structure, long-run dynamics, and conditional heteroskedasticity cases of perpetual swaps
Date of Award
Bachelor of Science
Prof. Miguel Ramirez
The market for cryptocurrencies (or cryptographic assets) has catapulted into economic literature within the past decade. However, much less work has been published regarding the principal futures instrument in the market, the perpetual swap. As a result, this paper seeks to understand the perpetual swap through the context of its original theoretical construction and the efficient markets hypothesis. While some research has been conducted on this topic, this paper breaks from the pack by testing seven of the most popular cryptographic assets. Using cointegration analysis and a series of GARCH models, this paper tests the market for perpetual swaps for market efficiency and adherence to its theorized behavior. We find that while prices adhere to predicted behavior, there is no affirmative evidence for market efficiency. This implies that perpetual swaps can operate in the market environment initially theorized and may be appropriate for further application.
Adams, Trevor N., "The Future of Futures? An investigation into the structure, long-run dynamics, and conditional heteroskedasticity cases of perpetual swaps". Senior Theses, Trinity College, Hartford, CT 2022.
Trinity College Digital Repository, https://digitalrepository.trincoll.edu/theses/1015
Senior thesis completed at Trinity College Hartford Ct for the degree of Bachelor of Science in Economics. Full text is limited to the campus.