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Hello everyone,I'm junior trader in a crypto fund. One of the strategies that fund is running is the cross-exchange arbitrage capturing the funding fees between the two swaps using leverage.At the moment approach is super conservative but the idea for the future is to loosen that a little bit with the proper tools. I was looking into the literature how to monitor inital margin requirements.Anyone has any ideas, tools or papers that I can use for reference? Best idea I have so far is to calculate volatility every hour or so and apply on the initial margin requirement.
Hello everyone,
I'm junior trader in a crypto fund. One of the strategies that fund is running is the cross-exchange arbitrage capturing the funding fees between the two swaps using leverage.
At the moment approach is super conservative but the idea for the future is to loosen that a little bit with the proper tools. I was looking into the literature how to monitor inital margin requirements.
Anyone has any ideas, tools or papers that I can use for reference? Best idea I have so far is to calculate volatility every hour or so and apply on the initial margin requirement.
