Roughness measurement, funding rates, tail risk, and distributional states in crypto perpetual futures.
This paper asks whether rolling roughness estimates that label volatility states also rank the shape of near-term tail variation. The design freezes the January 2020–July 2026 Binance BTCUSDT and ETHUSDT tape, 9,560 six-hour…
Empirical associations involving estimated volatility roughness may depend on the construction of the measured path. This study compares an increment-variance slope on log realized variance, the same slope after pre-averagin…
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 BTC…
A low Hurst estimate from realized volatility can describe latent variance, measurement error, or both. This paper asks a narrower empirical question: does the apparent roughness of realized volatility align with a directly …