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识别永续掉期未平仓合约与成交量数据异常

文章 arXiv papers · 作者: Ioannis Giagkiozis et al.
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总结

本文说明加密货币永续掉期的未平仓合约与市场活动、流动性及交易所潜在杠杆之间的关系。由于未平仓合约可反映最低抵押品要求，汇总交易所的未平仓合约并与储备证明对比，或有助于评估偿付能力风险。

研究将七家流动性较高的加密衍生品交易所报告的未平仓合约，与2023两个时期的逐笔交易数据进行比较。研究发现，一些大型交易所对未平仓合约的报告存在程度不一的偏差：有些数字看起来不合常理，而另一些差异似乎与清算信息延迟报告相符。说明中未提供具体验证流程或各交易所的详细结果，因此这些发现不能证明每项差异都源于故意虚报。

核心观点

  • 未平仓合约统计尚未了结的衍生品合约，可用于评估市场活动和流动性。
  • 结合储备证明，汇总未平仓合约有助于估算最低抵押品需求。
  • 逐笔数据对比揭示，一些交易所报告的比特币永续掉期未平仓合约存在不一致。
  • 差异程度不一，可能包括不合常理的数字或清算信息更新延迟。
  • 分析采用七家流动性较高的衍生品交易所的数据，覆盖2023两个时期。

标签

加密资产永续合约市场微观结构风险管理
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# Reconciling Open Interest with Traded Volume in Perpetual Swaps


# Reconciling Open Interest with Traded Volume in Perpetual Swaps









Perpetual swaps are derivative contracts that allow traders to speculate on, or hedge, the price movements of cryptocurrencies. Unlike futures contracts, perpetual swaps have no settlement or expiration in the traditional sense. The funding rate acts as the mechanism that tethers the perpetual swap to its underlying with the help of arbitrageurs. Open interest, in the context of perpetual swaps and derivative contracts in general, refers to the total number of outstanding contracts at a given point in time. It is a critical metric in derivatives markets as it can provide insight into market activity, sentiment and overall liquidity. It also provides a way to estimate a lower bound on the collateral required for every cryptocurrency market on an exchange. This number, cumulated across all markets on the exchange in combination with proof of reserves, can be used to gauge whether the exchange in question operates with unsustainable levels of leverage, which could have solvency implications. We find that open interest in Bitcoin perpetual swaps is systematically misquoted by some of the largest derivatives exchanges; however, the degree varies, with some exchanges reporting open interest that is wholly implausible to others that seem to be delaying messages of forced trades, i.e., liquidations. We identify these incongruities by analyzing tick-by-tick data for two time periods in $2023$ by connecting directly to seven of the most liquid cryptocurrency derivatives exchanges.

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。