Macquarie University
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An analysis of bitcoin spot and futures markets

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posted on 2022-03-28, 12:08 authored by Stephen Ozvatic
Bitcoin is a decentralised virtual currency that uses cryptography to remove the need for trust between agents and intermediaries. Though it is deemed a currency, the cryptographic nature of bitcoin gives it characteristics similar to commodities, for example, gold. This thesis examines the relationship between spot and futures prices in the bitcoin market. It also applies the well known Gibson-Schwartz model to the pricing of bitcoin futures contracts. A sample from March 2013 to February 2015 is considered, including two separate periods of substantial increase in the bitcoin spot market. Findings suggest that the futures market was significantly in contango, with convenience yields often below -100% p.a. and significant arbitrage profits readily available. The convenience yield is found to be mean-reverting and decreasing in magnitude since 2013, with the market inefficiently pricing convenience yield risk. A negative relationship between the convenience yield and spot price volatility is observed, drawing comparisons with the electricity market. Overall, the Gibson-Schwartz model is found to provide a good fit to nearest-term futures contracts, while it fails to appropriately price bitcoin futures with longer maturities.



Bibliography: pages 64-71 Empirical thesis.

Awarding Institution

Macquarie University

Degree Type

Thesis MRes


MRes, Macquarie University, Faculty of Business and Economics, Department of Applied Finance and Actuarial Studies

Department, Centre or School

Department of Applied Finance and Actuarial Studies

Year of Award


Principal Supervisor

Stefan Trueck


Copyright Stephen Ozvatic 2015. Copyright disclaimer:




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