{"id":"https://openalex.org/W3164072276","doi":"https://doi.org/10.1007/s10479-021-04125-w","title":"Optimal Bitcoin trading with inverse futures","display_name":"Optimal Bitcoin trading with inverse futures","publication_year":2021,"publication_date":"2021-05-22","ids":{"openalex":"https://openalex.org/W3164072276","doi":"https://doi.org/10.1007/s10479-021-04125-w","mag":"3164072276"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-021-04125-w","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-021-04125-w","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101938417","display_name":"Jun Deng","orcid":null},"institutions":[{"id":"https://openalex.org/I146563203","display_name":"University of International Business and Economics","ror":"https://ror.org/05khqpb71","country_code":"CN","type":"education","lineage":["https://openalex.org/I146563203"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Jun Deng","raw_affiliation_strings":["School of Banking and Finance, University of International Business and Economics, Beijing, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Banking and Finance, University of International Business and Economics, Beijing, China","institution_ids":["https://openalex.org/I146563203"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5102019822","display_name":"Huifeng Pan","orcid":"https://orcid.org/0000-0002-1588-9442"},"institutions":[{"id":"https://openalex.org/I146563203","display_name":"University of International Business and Economics","ror":"https://ror.org/05khqpb71","country_code":"CN","type":"education","lineage":["https://openalex.org/I146563203"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Huifeng Pan","raw_affiliation_strings":["School of Banking and Finance, University of International Business and Economics, Beijing, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Banking and Finance, University of International Business and Economics, Beijing, China","institution_ids":["https://openalex.org/I146563203"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100634780","display_name":"Shuyu Zhang","orcid":"https://orcid.org/0000-0002-2432-817X"},"institutions":[{"id":"https://openalex.org/I179026463","display_name":"Beijing Technology and Business University","ror":"https://ror.org/013e0zm98","country_code":"CN","type":"education","lineage":["https://openalex.org/I179026463"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Shuyu Zhang","raw_affiliation_strings":["School of International Economics and Management, Beijing Technology and Business University, Beijing, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of International Economics and Management, Beijing Technology and Business University, Beijing, China","institution_ids":["https://openalex.org/I179026463"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5015029242","display_name":"Bin Zou","orcid":"https://orcid.org/0000-0002-7390-7979"},"institutions":[{"id":"https://openalex.org/I140172145","display_name":"University of Connecticut","ror":"https://ror.org/02der9h97","country_code":"US","type":"education","lineage":["https://openalex.org/I140172145"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Bin Zou","raw_affiliation_strings":["Department of Mathematics, University of Connecticut, 341 Mansfield Road U1009, Storrs, CT, 06269-1009, USA"],"raw_orcid":"https://orcid.org/0000-0002-7390-7979","affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of Connecticut, 341 Mansfield Road U1009, Storrs, CT, 06269-1009, USA","institution_ids":["https://openalex.org/I140172145"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5015029242"],"corresponding_institution_ids":["https://openalex.org/I140172145"],"apc_list":{"value":2390,"currency":"EUR","value_usd":2990},"apc_paid":null,"fwci":2.2849,"has_fulltext":false,"cited_by_count":13,"citation_normalized_percentile":{"value":0.89012883,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"304","issue":"1-2","first_page":"139","last_page":"163"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9973999857902527,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9973999857902527,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9973999857902527,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9973000288009644,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.8303660154342651},{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.7684707641601562},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.6054781079292297},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.5549649000167847},{"id":"https://openalex.org/keywords/exponential-utility","display_name":"Exponential utility","score":0.5422542691230774},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4887056350708008},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4670146107673645},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.4102781116962433},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.37992575764656067},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3768065273761749},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3709229826927185},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.21644192934036255},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.16883739829063416}],"concepts":[{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.8303660154342651},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.7684707641601562},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.6054781079292297},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.5549649000167847},{"id":"https://openalex.org/C2778475510","wikidata":"https://www.wikidata.org/wiki/Q5421533","display_name":"Exponential utility","level":2,"score":0.5422542691230774},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4887056350708008},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4670146107673645},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.4102781116962433},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.37992575764656067},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3768065273761749},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3709229826927185},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.21644192934036255},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.16883739829063416},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10479-021-04125-w","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-021-04125-w","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:annopr:v:304:y:2021:i:1:d:10.1007_s10479-021-04125-w","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-021-04125-w","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G3159474428","display_name":null,"funder_award_id":"11501105","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G6932209014","display_name":null,"funder_award_id":"302/871703","funder_id":"https://openalex.org/F4320312338","funder_display_name":"University of International Business and Economics"}],"funders":[{"id":"https://openalex.org/F4320310017","display_name":"University of Connecticut","ror":"https://ror.org/02der9h97"},{"id":"https://openalex.org/F4320312338","display_name":"University of International Business and Economics","ror":"https://ror.org/05khqpb71"},{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":34,"referenced_works":["https://openalex.org/W1525883337","https://openalex.org/W1598117570","https://openalex.org/W1963901383","https://openalex.org/W1984697146","https://openalex.org/W2005158847","https://openalex.org/W2010799156","https://openalex.org/W2014282155","https://openalex.org/W2042775870","https://openalex.org/W2080097136","https://openalex.org/W2114102890","https://openalex.org/W2137946916","https://openalex.org/W2148654185","https://openalex.org/W2184205323","https://openalex.org/W2345430797","https://openalex.org/W2614305404","https://openalex.org/W2887817809","https://openalex.org/W2889900257","https://openalex.org/W2897657416","https://openalex.org/W2899406349","https://openalex.org/W2901508407","https://openalex.org/W2902076661","https://openalex.org/W2947716705","https://openalex.org/W2953851850","https://openalex.org/W2955584962","https://openalex.org/W2970972678","https://openalex.org/W2971308021","https://openalex.org/W3041040920","https://openalex.org/W3121479438","https://openalex.org/W3122502120","https://openalex.org/W3122817125","https://openalex.org/W3125675349","https://openalex.org/W3150402146","https://openalex.org/W4211068006","https://openalex.org/W6756630575"],"related_works":["https://openalex.org/W4312782506","https://openalex.org/W2018042870","https://openalex.org/W3095472613","https://openalex.org/W4283691037","https://openalex.org/W1844669668","https://openalex.org/W3122299108","https://openalex.org/W3125950290","https://openalex.org/W3122593455","https://openalex.org/W1559580367","https://openalex.org/W4308531526"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}