Wang Yintian: A Study of Liquidity in the Bitcoin Market

On December 28, the “1st Digital Finance Frontier Conference in 2021” was held online. The conference was organized by the Tsinghua SEM Digital Financial Assets Research Center and chaired by Professor Luo Mei, Director of the Center.Wang Yintian, associate professor at Tsinghua University, School of Business and Management, School of Finance and keynote speaker at the Center for Digital Financial Research, also spoke.This sentence is designed according to the content of the declaration.

First of all, I would like to point out that this is a study of the Bitcoin investment market. There are two key words in this study. One is market illiquidity, the other is the price mechanism, the pricing mechanism or the effect of option liquidity, market illiquidity or the price selection of price options.

Recent Bitcoin studies count Bitcoin as a financial asset, but it is clearly not a financial asset. Although the price mechanism of Bitcoin itself is completely different, the price mechanism of cryptocurrency derivatives differs from existing ones. Convergence, so we can start with that and do some research.

This study attempts to answer three questions about the cryptocurrency options market.

1. How do end users buy and sell information affecting the value of Bitcoin options?

2. Are there a lot of buyers or sellers in the Bitcoin options market? ~

3. How does the market affect the choice of price based on strong consumer demand?

Let's see how the market direction of end users (end users) in the stock market affects stock prices. In the case of equities, the end user (end user) must be the buyer and it is the buyer who bears the risk that the product will be traded. The poorer the liquidity, the lower the price and the higher the expected rate of return and the higher the rate of return because the price eventually returns to true value. In the case of options, all players in the trade can be offered options, unlike the products offered, which are only offered by companies, which are respect contractors.

When a customer goes to the store to buy an option, the manufacturer exchanges the option and sells it to me, and if I am the seller and the retailer chooses, I can offer and sell to the manufacturer. Therefore, in the options market there will be no shortage or oversupply in theory, and in practice both buyers and sellers will liquidate.

Many jobs are held by manufacturers and protected by some method or business strategy. So who determines the value of an option? In practice, it is not easy for manufacturers to defend their jobs at zero cost. How can you pay for wastewater or if manufacturers have to pay a royalty while defending their work? This affects the price, an idea that shows how this can affect the price of options in the options market.

When the market is not liquid, producers have to sell when they see more customers and increase the price, which will affect the cost of choice. If there are too many sellers in the market, the buyer, the Manufacturer, will reduce the price, which will reduce the cost of choice. This is the essence of the whole story.

The effect of liquidity on the price in the options market also depends on the direction of the end user. If the end user is the seller and the manufacturer is the buyer, the lowest price to pay for the association makes it profitable or must be recouped in return.

Are there multiple buyers or multiple sellers? This is the question we are going to examine. There is a wide range of cryptocurrency options, and the biggest option in the market right now is with multiple buyers. ~

In order to do the research better, several significant differences must be defined. One is illiquidity. One way to be skeptical is to question the option. We use Relative Implied Relativity (ERS) to identify the degree of variance in the value of an option, which we measure using excess implied volatility (EIV).

There are now three results.

1. How do I protect myself in the market? In general, despite the large number of buyers and sellers in the market, manufacturers increase their exposure to protect themselves, especially when there are multiple sellers in the market. .

2. Besides expansion, what other ways can they protect themselves?One assumption is that the lower the market, the higher the Relative Cost (ERS), the lower the cost. The reason is that manufacturers are facing more sellers and lower prices. A retrospective measurement of the model shows that under unfavorable circumstances, manufacturers can reduce their costs in the face of a massive sale.

3. As LedgerX allows small traders or individual owners to access the platform on August 1, 2019, a review of the standard allows traders not only to carry on their packaging business, but also to make the more profitable business and more. mature.

In other words, in the over-the-counter (OTC) market there are a lot of sellers and there is a lot of pressure from the sellers, so many traders are using the payment strategy and manufacturers are facing to difficulties on the part of the sellers. On the other hand, the expansion of buy-sell, on the other hand, option prices fall, and finally the market can develop with the introduction of small traders or traders (sell markets).