币安在比特币波动传输中的作用

Q3 Mathematics

Applied Mathematical Finance Pub Date : 2021-07-01 DOI:10.1080/1350486X.2022.2125885

C. Alexander, Daniel F. Heck, Andreas Kaeck

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引用次数: 13

摘要

我们分析了集中式加密交易所之间的高频实现波动动态和溢出效应，这些交易所提供比特币兑美元或稳定币的现货和衍生品合约。币安的拴链保证金永久合约显然是波动性的主要来源，它不断向所有其他工具传输强劲的资金流，而从其他来源接收的波动性很小。我们还发现，当传统的西方股票市场开放时，加密交易所表现出更高的互联性。特别是在美国时区，币安的波动性流出比其他时间要高得多，比特币交易员对当前的市场状况更加关注和反应。我们的研究结果强调，市场监管机构应该更多地关注大多数自我监管交易所(尤其是币安)提供的系绳保证金衍生品。

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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The Role of Binance in Bitcoin Volatility Transmission

ABSTRACT We analyse high-frequency realized volatility dynamics and spillovers between centralized crypto exchanges that offer spot and derivative contracts for bitcoin against the US dollar or the stable coin tether. The tether-margined perpetual contract on Binance is clearly the main source of volatility, continuously transmitting strong flows to all other instruments and receiving very little volatility from other sources. We also find that crypto exchanges exhibit much higher interconnectedness when traditional Western stock markets are open. Especially during the US time zone, volatility outflows from Binance are much higher than at other times, and Bitcoin traders are more attentive and reactive to prevailing market conditions. Our results highlight that market regulators should pay more attention to the tether-margined derivatives products available on most self-regulated exchanges, most importantly on Binance.

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来源期刊

Applied Mathematical Finance Economics, Econometrics and Finance-Finance

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.