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ETH收益型稳定币的最优交易控制

文章 arXiv papers · 作者: Matthew Lorig
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总结

本文对一种去中心化稳定币的收益策略建模：该策略将质押以太坊与规模相同的 ETH 永续期货空头头寸结合起来。配对头寸旨在降低对 ETH现货价格变动的敞口，同时赚取质押奖励；当永续合约资金费率为正时，还可获得永续合约持有者支付的资金费。因此，策略收益取决于质押收入和资金费环境。

作者构建随机控制问题，由协议决定建立配对头寸的速度。交易通过两种方式影响价格：永久冲击压缩基差，减少未来资金费收入；暂时冲击则造成执行滑点。作者分别针对无限期折现目标和有限期财富目标推导了显式最优控制，后者还计入平掉剩余持仓的成本。结果基于模型；描述未提供实证验证，也未说明控制方案对资金费、市场冲击或平仓成本假设的敏感程度。

核心观点

  • 模型中的策略将质押 ETH 与规模相同的 ETH 永续期货空头头寸配对。
  • 配对敞口旨在抵消 ETH 现货价格变动，同时赚取质押奖励，并可能获得正资金费。
  • 永久价格冲击可能压缩基差并减少未来资金费收入。
  • 暂时价格冲击代表两个头寸执行时产生的滑点。
  • 本文针对无限和有限投资期限推导最优控制。

标签

加密资产去中心化金融永续合约套息交易执行风险管理
全文
# Optimal Control of the Ethena Yield-Bearing Stablecoin


# Optimal Control of the Ethena Yield-Bearing Stablecoin









We formulate and solve stochastic control problems that model the core yield-generating strategy of the Ethena protocol, a decentralized finance (DeFi) stablecoin that earns yield by combining a long position in staked Ethereum (stETH) with an equal-sized short position in ETH perpetual futures. The combined position is delta-neutral with respect to the ETH spot price, yet earns carry from two sources: staking rewards on the stETH leg, and funding-rate payments received from long perpetual holders when the perpetual trades at a premium to spot. A key feature of our model is that the control -- the rate of simultaneously buying stETH and shorting the perpetual -- exerts two distinct types of price impact. \textit{Permanent} impact shifts the mid-market prices of both legs, compressing the basis and permanently eroding future funding income. \textit{Temporary} impact reflects execution slippage on each leg. We study both an infinite-horizon discounted problem and a finite-horizon problem in which the protocol maximizes total wealth up to a fixed date $T$, subject to a terminal cost for liquidating any remaining position. In both cases the optimal control is obtained explicitly.

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。