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黄金、石油与比特币期货的交易量、持仓量和期限

文章 arXiv papers · 作者: Toshiko Matsui et al.
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总结

本文逐合约研究黄金、石油和比特币期货价格波动率与基差的驱动因素。研究分析了每日现货价格和期货价格，以及期限、交易量和未平仓量，时间范围为2017至2021。该方法建立在早期研究原油期货波动率的工作之上。

据报告，交易量越高，三种资产的波动率都越大；当未平仓合约量的影响显著时，其影响可能为负。到期时间与比特币和石油的波动率正相关。对于基差，到期时间对比特币和黄金有正向影响，这与合约临近到期时基差趋近于零一致；石油基差则会双向变化。摘录没有给出模型设定、影响幅度或稳健性检验，所述发现仅涉及研究样本期，因此无法证明这些关系在其他市场或时期持续存在。

核心观点

  • 研究在合约层面分析黄金、石油和比特币期货的波动率与基差。
  • 在三个市场中，交易量都与波动率显著正相关。
  • 当估计影响显著时，未平仓合约量可能降低波动率。
  • 到期时间与比特币和石油的波动率正相关。
  • 到期时间对比特币和黄金基差有正向影响，而据报告，石油基差的关系则有正有负。

标签

期货大宗商品加密资产波动率市场微观结构
全文
# On the Dynamics of Solid, Liquid and Digital Gold Futures


# On the Dynamics of Solid, Liquid and Digital Gold Futures









This paper examines the determinants of the volatility of futures prices and basis for three commodities: gold, oil and bitcoin -- often dubbed solid, liquid and digital gold -- by using contract-by-contract analysis which has been previously applied to crude oil futures volatility investigations. By extracting the spot and futures daily prices as well as the maturity, trading volume and open interest data for the three assets from 18th December 2017 to 30th November 2021, we find a positive and significant role for trading volume and a possible negative influence of open interest, when significant, in shaping the volatility in all three assets, supporting earlier findings in the context of oil futures. Additionally, we find maturity has a relatively positive significance for bitcoin and oil futures price volatility. Furthermore, our analysis demonstrates that maturity affects the basis of bitcoin and gold positively -- confirming the general theory that the basis converges to zero as maturity nears for bitcoin and gold -- while oil is affected in both directions.

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。