论文标题
永久未来的基本原理
Fundamentals of Perpetual Futures
论文作者
论文摘要
永久期货是最受欢迎的加密货币衍生产品。永久性提供杠杆率，而无需滚动或直接所有权。与固定成熟期货不同，永久性不能保证融合到现货价格。为了最大程度地减少永久价格和现货价格之间的差距，长期投资者定期支付与这种差异成正比的短裤。我们在无摩擦市场和以交易成本的市场中的摩擦市场和界限中获得了永久未来的竞争价格。从经验上讲，与这些价格的偏差相比，这些价格比传统货币市场大，跨货币comove并随着时间的流逝而减少。隐含的套利策略产生高尖锐比率。
Perpetual futures are the most popular cryptocurrency derivatives. Perpetuals offer leveraged exposure to their underlying without rollover or direct ownership. Unlike fixed-maturity futures, perpetuals are not guaranteed to converge to the spot price. To minimize the gap between perpetual and spot prices, long investors periodically pay shorts a funding rate proportional to this difference. We derive no-arbitrage prices for perpetual futures in frictionless markets and bounds in markets with trading costs. Empirically, deviations from these prices in crypto are larger than in traditional currency markets, comove across currencies, and diminish over time. An implied arbitrage strategy yields high Sharpe ratios.
