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Quantitative Finance · Glossaire

Qu'est-ce que « Funding arbitrage » ?

Definition 17.8 Markets III: Commodities, Energy and Crypto · Chapitre 17 — Perpetual Futures

Funding arbitrage is holding a perpetual against an offsetting position in the underlying (spot, or another venue’s perpetual) so that price moves cancel and the position earns the funding difference; most often long spot and short perpetual to collect positive funding.

Mean annualised funding of the BTCUSDT perpetual on Binance by calendar year (2026 to 24 September), and the return on capital of long spot and short perpetual held a year at a constant price with 0.30% of round-trip fees and 30.65% of margin for the short leg (). Data: summary statistics computed from Binance’s public funding-rate history; the trade: the chapter’s tutorial.
Figure 17.4. Mean annualised funding of the BTCUSDT perpetual on Binance by calendar year (2026 to 24 September), and the return on capital of long spot and short perpetual held a year at a constant price with 0.30% of round-trip fees and 30.65% of margin for the short leg (Proposition 17.9). Data: summary statistics computed from Binance’s public funding-rate history; the trade: the chapter’s tutorial.
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