覆盖与流动性约束下的加密货币交易对优化

文章 arXiv papers · 作者: Di Zhang et al.

总结

本文将交易所报价货币对的选择视为优化问题：交易所需要覆盖所有货币，同时优先选择流动性强的交易对并限制运营复杂度。由于大多数可能交易对的交易量无法观测，所提方法首先通过正则化截断特征值分解估算缺失值。随后，在确保每种货币都可交易的连通性约束下，采用带启发式引导和剪枝的分支定界搜索选择交易对。

报告的实验表明，允许更多计价货币可能形成一个以大型货币直接连接为中心、中心化程度较低的网络。实验还显示，交易所的交易对列表仍有改进空间，尤其是在选择小币种作为报价货币，或未能及时纳入增长中的币种时。文章提醒，列表过于稀疏会牺牲覆盖范围，而列表过大则需要频繁调整市场。此处未提供数据集、参数选择或收益提升幅度的量化细节，因此应将这些结果视为一种框架和定性发现，而非通用的交易对列表方案。

核心观点

交易对选择需要权衡交易量、货币覆盖范围和市场维护成本。
大多数潜在交易对的交易量无法直接获得，因此该方法在优化前先估算缺失值。
估算阶段采用正则化截断特征值分解。
连通性约束确保每种货币都能通过选定交易对进行交易。
采用带启发式方法和剪枝的分支定界搜索来识别候选交易对集合。
交易对过少会降低覆盖范围，过多则会增加市场维护负担。

The goal of cryptocurrencies is decentralization. In principle, all currencies have equal status. Unlike traditional stock markets, there is no default currency of denomination (fiat), thus the trading pairs can be set freely. However, it is impractical to set up a trading market between every two currencies. In order to control management costs and ensure sufficient liquidity, we must give priority to covering those large-volume trading pairs and ensure that all coins are reachable. We note that this is an optimization problem. Its particularity lies in: 1) the trading volume between most (>99.5%) possible trading pairs cannot be directly observed. 2) It satisfies the connectivity constraint, that is, all currencies are guaranteed to be tradable. To solve this problem, we use a two-stage process: 1) Fill in missing values based on a regularized, truncated eigenvalue decomposition, where the regularization term is used to control what extent missing values should be limited to zero. 2) Search for the optimal trading pairs, based on a branch and bound process, with heuristic search and pruning strategies. The experimental results show that: 1) If the number of denominated coins is not limited, we will get a more decentralized trading pair settings, which advocates the establishment of trading pairs directly between large currency pairs. 2) There is a certain room for optimization in all exchanges. The setting of inappropriate trading pairs is mainly caused by subjectively setting small coins to quote, or failing to track emerging big coins in time. 3) Too few trading pairs will lead to low coverage; too many trading pairs will need to be adjusted with markets frequently. Exchanges should consider striking an appropriate balance between them.

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。

覆盖与流动性约束下的加密货币交易对优化

总结

核心观点

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