Perpetual future contracts in centralized and decentralized exchanges: Mechanism and traders’ behavior

IF 7.1 3区管理学 Q1 BUSINESS

Electronic Markets Pub Date : 2024-06-19 DOI:10.1007/s12525-024-00715-1

Erdong Chen, Mengzhong Ma, Zixin Nie

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Abstract

This study presents a groundbreaking Systematization of Knowledge (SoK) initiative, focusing on an in-depth exploration of the dynamics and behavior of traders on perpetual future contracts across both centralized exchanges (CEXs) and decentralized exchanges (DEXs). We summarize the features of CEXs and DEXs and propose 4 exchange models that govern the operations of exchanges in different types, allowing for the classification of any exchange into one of these predefined models. Our research also includes an empirical analysis of traders’ behavior in exchanges of the 4 types of models. On DEX of the Virtual Automated Market Making (VAMM) Model, open interest on short and long positions exerts effect on price volatility in opposite direction, attributable to VAMM’s price formation mechanism. In the DEXs with Oracle Pricing Model, we observed a distinct asymmetry in trader behavior between buyers and sellers. Such asymmetry might stem from uninformed traders reacting more strongly to positive news than to negative, leading to a tendency to accumulate long positions. This study sheds light on the potential risks and advantages of using perpetual future contracts within the DeFi space while provides mathematical basis and empirical insights based on which future theoretical works can be configurated, offering crucial insights into the rapidly evolving world of blockchain-based financial instruments.

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集中式和分散式交易所中的永续期货合约：机制与交易者行为

本研究提出了一项开创性的知识系统化（SoK）计划，重点是深入探讨集中式交易所（CEX）和分散式交易所（DEX）中永续期货合约交易者的动态和行为。我们总结了集中式交易所和分散式交易所的特点，并提出了管理不同类型交易所运营的 4 种交易所模型，从而可以将任何交易所归入这些预定义模型中的一种。我们的研究还包括对交易者在这 4 种模式的交易所中的行为进行实证分析。在虚拟自动做市商（VAMM）模式的交易所中，空头和多头头寸的未平仓合约会对价格波动产生反向影响，这归因于 VAMM 的价格形成机制。在 Oracle 定价模型的 DEX 中，我们观察到买卖双方的交易行为明显不对称。这种不对称可能源于不明真相的交易者对利好消息的反应比对利空消息的反应更强烈，从而导致积累多头头寸的倾向。本研究揭示了在 DeFi 空间内使用永续期货合约的潜在风险和优势，同时提供了数学基础和经验见解，可在此基础上配置未来的理论著作，为快速发展的基于区块链的金融工具世界提供重要见解。

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来源期刊

Electronic Markets Multiple-

CiteScore

14.80

自引率

15.30%

发文量

期刊介绍： Electronic Markets (EM) stands as a premier academic journal providing a dynamic platform for research into various forms of networked business. Recognizing the pivotal role of information and communication technology (ICT), EM delves into how ICT transforms the interactions between organizations and customers across diverse domains such as social networks, electronic commerce, supply chain management, and customer relationship management. Electronic markets, in essence, encompass the realms of networked business where multiple suppliers and customers engage in economic transactions within single or multiple tiers of economic value chains. This broad concept encompasses various forms, including allocation platforms with dynamic price discovery mechanisms, fostering atomistic relationships. Notable examples originate from financial markets (e.g., CBOT, XETRA) and energy markets (e.g., EEX, ICE). Join us in exploring the multifaceted landscape of electronic markets and their transformative impact on business interactions and dynamics.