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比特币风险溢价：收益尾部与波动率状态

文章 arXiv papers · 作者: Caio Almeida et al.
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总结

本文利用期权隐含信息和已实现收益研究比特币的一阶和二阶风险溢价，并将其与 S&P 500 进行比较。研究报告称，比特币波动率更高，方差风险溢价也更高。按收益区间分解后发现，中度负收益对比特币总收益溢价的贡献占比低于其对 US 股票溢价的贡献占比。

作者对估算出的比特币期权隐含风险中性概率密度进行聚类，识别出两种具有不同溢价模式的波动率状态。在低波动率条件下，正收益对比特币溢价的贡献相对较大，方差风险溢价也较高；在高波动率条件下，正负收益的贡献更加均衡，方差溢价较低。这些是基于所述数据和方法得出的实证发现；摘要未给出样本期或稳健性细节，因此不能证明这些模式在其他时期或设定下有多稳定。

核心观点

  • 研究发现，比特币的波动率和方差风险溢价均高于标普500。
  • 研究按收益分布区间拆分收益溢价。
  • 对期权隐含概率密度进行聚类后，研究识别出两种波动率状态。
  • 在低波动率状态下，正收益对比特币溢价的贡献更大，方差溢价也更高。
  • 在高波动率状态下，正收益和负收益的贡献更加均衡。

标签

加密资产期权波动率衍生品定价统计学
全文
# Risk Premia in the Bitcoin Market


# Risk Premia in the Bitcoin Market









We analyze the first and second moment risk premia in the Bitcoin market based on options and realized returns and contrast them to the premia embedded in the main US stock index market. First, Bitcoin is much more volatile and has a higher variance risk premium than the S&P 500. By decomposing the return premium into different regions of the return state space, we find that while most of the S&P 500 equity premium comes from mildly negative returns, the corresponding negative Bitcoin returns (between three and one standard deviations) account for only one-third of the total Bitcoin premium (BP). Further, applying a novel clustering algorithm to a collection of estimated Bitcoin option-implied risk-neutral densities, we find that risk premia vary over time as a function of two distinct market volatility regimes. The low-volatility regime implies a relatively high share of BP attributable to positive returns and a high Bitcoin Variance Risk Premium (BVRP). In high-volatility states, the BP attributable to positive and negative returns is more balanced, and the BVRP is lower. These results suggest Bitcoin investors are more concerned about variance and upside risk in a low-volatility regime.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。