双目标配对交易实现加密货币市场中性套利

文章 arXiv papers · 作者: Hongshen Yang et al.

总结

研究介绍了一种用于加密货币平台多变量配对交易的最优交易技术。该方法选择一组与加密货币关联的法定货币，并同时监控它们以寻找套利机会。为协调相互竞争的信号，该方法采用双目标凸优化，在盈利能力和风险偏好之间进行权衡，并可调整波动率惩罚和行动阈值。文中所述套利无需外部卖空，也无需在套利期间持有中间资产。

覆盖 2020 至 2022 年加密货币市场的实验（包括牛市阶段和熊市阶段）报告称，年化利润为 15.49%。附录中的其他实验将该方法应用于后 COVID 时期的其他主要加密货币。这些结果仅适用于该研究的实验，不能证明未来表现；作者还强调了加密货币的波动性以及可能出现重大损失。

核心观点

该方法选择一组以加密货币为锚定的法定货币，同时监测机会。
双目标凸优化根据风险承受度权衡不同交易信号的盈利能力和风险。
波动率惩罚和行动阈值都是可调整的参数。
所报告的实验涵盖牛市和熊市条件，并包括对其他加密货币的应用。
研究报告的年化利润为15.49%，同时提醒加密货币交易可能造成重大损失。

This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a "bucket" of fiat currencies anchored to cryptocurrency for monitoring and exploiting trading opportunities simultaneously. To address quantitative conflicts from multiple trading signals, a novel bi-objective convex optimization formulation is designed to balance investor preferences between profitability and risk tolerance. We understand that cryptocurrencies carry significant financial risks. Therefore this process includes tunable parameters such as volatility penalties and action thresholds. In experiments conducted in the cryptocurrency market from 2020 to 2022, which encompassed a vigorous bull run followed by a bear run, the OTT achieved an annualized profit of 15.49%. Additionally, supplementary experiments detailed in the appendix extend the applicability of OTT to other major cryptocurrencies in the post-COVID period, validating the model's robustness and effectiveness in various market conditions. The arbitrage operation offers a new perspective on trading, without requiring external shorting or holding the intermediate during the arbitrage period. As a note of caution, this study acknowledges the high-risk nature of cryptocurrency investments, which can be subject to significant volatility and potential loss.

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。

双目标配对交易实现加密货币市场中性套利

总结

核心观点

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