Stylized facts in Web3

A. Christian Silva, Shen-Ning Tung, Wwi-Ru Chen
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Abstract

This paper presents a comprehensive statistical analysis of the Web3 ecosystem, comparing various Web3 tokens with traditional financial assets across multiple time scales. We examine probability distributions, tail behaviors, and other key stylized facts of the returns for a diverse range of tokens, including decentralized exchanges, liquidity pools, and centralized exchanges. Despite functional differences, most tokens exhibit well-established empirical facts, including unconditional probability density of returns with heavy tails gradually becoming Gaussian and volatility clustering. Furthermore, we compare assets traded on centralized (CEX) and decentralized (DEX) exchanges, finding that DEXs exhibit similar stylized facts despite different trading mechanisms and often divergent long-term performance. We propose that this similarity is attributable to arbitrageurs striving to maintain similar centralized and decentralized prices. Our study contributes to a better understanding of the dynamics of Web3 tokens and the relationship between CEX and DEX markets, with important implications for risk management, pricing models, and portfolio construction in the rapidly evolving DeFi landscape. These results add to the growing body of literature on cryptocurrency markets and provide insights that can guide the development of more accurate models for DeFi markets.
Web3 中的风格化事实
本文对 Web3 生态系统进行了全面的统计分析,将各种 Web3 代币与传统金融资产在多个时间尺度上进行了比较。我们研究了各种代币(包括分散式交易所、流动性池和集中式交易所)收益的概率分布、尾部行为和其他关键的风格化事实。尽管在功能上存在差异,但大多数代币都表现出了既定的经验事实,包括收益率的无条件概率密度(重尾逐渐变为高斯分布)和波动率集群。此外,我们还比较了在集中式交易所(CEX)和分散式交易所(DEX)交易的资产,发现尽管交易机制不同,长期表现也往往不同,但分散式交易所表现出类似的风格化事实。我们提出,这种相似性可归因于套利者努力维持类似的集中式和分散式价格。我们的研究有助于更好地理解 Web3 代币的动态以及 CEX 和 DEX 市场之间的关系,对快速发展的 DeFi 市场中的风险管理、定价模型和投资组合构建具有重要意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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