我院2018级量化金融实验班本科生万沪宁与Carol Alexander、邓军、冯建芬老师合作的论文“Net buying pressure and the information in bitcoin option trades”在国际期刊Journal of Financial Markets发表。

（https://www.sciencedirect.com/science/article/abs/pii/S1386418122000544）

论文简介：文章基于Deribit期权逐笔交易数据研究了知情交易者的供需如何影响比特币期权的市场价格问题。研究发现：波动率交易者同时驱动平值期权价格和虚值期权价格，而趋势交易者更多影响虚值期权价格，尤其2021年比特币泡沫膨胀期间，趋势交易者对虚值期权的影响更为明显。这一现象与比特币市场的剧烈变动有密切关联，它使得交易者更多会去学习波动率的信息，而不是去预测价格变动趋势，因此比特币期权价格可以为比特币市场提供更多波动率预测信息。比特币市场的这一结果与以标普指数期权为代表的股票期权市场相反。总体上，文章研究结果支持了做市商的有限套利假设，同时发现Deribit正在迅速发展成为一个更有效的信息集成渠道，并具有独特的日内交易特征。

Abstract: Bitcoin prices are driven by upward as well as downward jumps and so the bitcoin implied volatility surface behaves differently from those of established options markets. We analyse tick-level Deribit option price data, demonstrating increasing support for the limits-to-arbitrage hypothesis. Hence market makers are managing order imbalance and inventory more effectively as Deribit bitcoin options trading volumes increases. On the demand side, volatility traders drive both at-the-money and out-of-the-money option prices, the latter also being driven by directional traders. Directional effects were most pronounced during the price bubble of 2021. Further refinements of our tests assess time-to-maturity and time-of-day effects.

万沪宁个人简介：对外经济贸易大学金融学院量化金融实验班2018级本科生，前六学期平均成绩90.8，综合排名1/39，曾获国家奖学金、北京市优秀毕业生、综合一等奖学金、校优秀学业助理、大学生数学竞赛全国一等奖，现已保研至中国人民大学应用经济学院国民经济学专业硕博连读项目。

来自金融学院

编辑：吴悠子

推送：吴悠子