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The construction of a conditional hedge for Bitcoin (BTC) against systemic risks from Commodity Trading Advisors (CTAs)

CTAs, large systematic trend-following funds, can trigger massive redemptions and forced selling during correlated drawdowns in tech indices like the Nasdaq-100. This poses a liquidity risk for crypto portfolios exposed to tech beta. The study models BTC's exposure to the Nasdaq-100 using a time-varying beta derived from DCC-GARCH, empirically calibrated at 0.45. This indicates that…

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Deep Microstructure Audit, CTA Liquidity Hunting & « Left-Side » Accumulation Detection @ 66,752 USD

The current BTC price is part of a deep liquidity hunt orchestrated by |...| algorithms to trigger…

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