我院2018級量化金融實驗班本科生萬滬寧與Carol Alexander、鄧軍、馮建芬老師合作的論文“Net buying pressure and the information in bitcoin option trades”在國際期刊Journal of Financial Markets發(fā)表。

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

論文簡介：文章基于Deribit期權(quán)逐筆交易數(shù)據(jù)研究了知情交易者的供需如何影響比特幣期權(quán)的市場價格問題。研究發(fā)現(xiàn)：波動率交易者同時驅(qū)動平值期權(quán)價格和虛值期權(quán)價格，而趨勢交易者更多影響虛值期權(quán)價格，尤其2021年比特幣泡沫膨脹期間，趨勢交易者對虛值期權(quán)的影響更為明顯。這一現(xiàn)象與比特幣市場的劇烈變動有密切關(guān)聯(lián)，它使得交易者更多會去學(xué)習(xí)波動率的信息，而不是去預(yù)測價格變動趨勢，因此比特幣期權(quán)價格可以為比特幣市場提供更多波動率預(yù)測信息。比特幣市場的這一結(jié)果與以標(biāo)普指數(shù)期權(quán)為代表的股票期權(quán)市場相反?？傮w上，文章研究結(jié)果支持了做市商的有限套利假設(shè)，同時發(fā)現(xiàn)Deribit正在迅速發(fā)展成為一個更有效的信息集成渠道，并具有獨特的日內(nèi)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.

萬滬寧個人簡介：對外經(jīng)濟(jì)貿(mào)易大學(xué)金融學(xué)院量化金融實驗班2018級本科生，前六學(xué)期平均成績90.8，綜合排名1/39，曾獲國家獎學(xué)金、北京市優(yōu)秀畢業(yè)生、綜合一等獎學(xué)金、校優(yōu)秀學(xué)業(yè)助理、大學(xué)生數(shù)學(xué)競賽全國一等獎，現(xiàn)已保研至中國人民大學(xué)應(yīng)用經(jīng)濟(jì)學(xué)院國民經(jīng)濟(jì)學(xué)專業(yè)碩博連讀項目。

來自金融學(xué)院

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