Apparent Roughness and Funding-Rate Asymmetry: Evidence from Bitcoin and Ether Perpetuals

Abstract

Funding rates on perpetual futures are directional transfers, yet empirical work often enters them as absolute values. That convention can hide an economically relevant asymmetry. This paper returns to the frozen Binance BTCUSDT and ETHUSDT tape from 2020-2026 and separates lagged positive funding from the magnitude of negative funding, while leaving the increment-variance and pre-averaged apparent-H estimators unchanged. In the signed-basis specification, a one-standard-deviation increase in positive funding is associated with coefficients of -0.0058 and -0.0052 for Bitcoin and -0.0042 and -0.0041 for Ether; each remains significant after Holm adjustment. The corresponding negative-side 90% confidence intervals fall within approximately ±0.0013. Two one-sided tests also establish equivalence to zero at the disclosed, sensitivity-tested ±0.0015 benchmark. The asymmetry persists in raw units, under equal state weighting and conditional-state estimation, across alternative HAC bandwidths, and in a 499-replication 28-day moving-block bootstrap. Signed basis controls do not absorb it, and the 2020-2022 and 2023-2026 estimates show no formal break. By contrast, signed funding-by-settlement interactions and signed block-extreme coefficients fail to survive familywise-error correction. The evidence places the positive-funding result inside the increment-variance measurement family: it is a persistent observation-state association, rather than evidence about latent spot regularity, long-side inventory, causal leverage, transition information, or a trading rule.

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