Gaskiyoyin Salo a cikin Web3: Nazarin Kididdiga na Komawar Token da Tsarin Kasuwa

1. Gabatarwa

Fuskar kuɗi tana fuskantar sauyi mai zurfi tare da zuwan cryptocurrency da faɗaɗa tsarin Web3. Yayin da Bitcoin ta fara wannan fage, gabatar da Ethereum da kwangiloli masu hikima sun haifar da ci gaban Kuɗin Rarraba (DeFi), ƙirƙirar tarin "token" na dijital fiye da kuɗi kawai. Wannan takarda ta gabatar da nazarin ƙididdiga na farko, ta amfani da ingantaccen ra'ayi na "gaskiyoyin salo" daga kasuwannin kuɗi na gargajiya zuwa sabon sararin samaniya na token na Web3. Muna kwatanta token a cikin musayar rarraba (DEX), tafkunan ruwa, da musayar tsakiya (CEX) bisa tsari, muna nazarin rarraba komawarsu, haɗarin wutsiya, da dogaro na lokaci don gano ainihin kaddarorin ƙididdiga da ke tafiyar da wannan sabon nau'in kadari.

2. Blockchain da Token a cikin Tsarin Web3

Fahimtar yanayin kuɗi na Web3 yana buƙatar fahimtar tushen fasaha da nau'ikan kadari.

2.1. Fasahar Blockchain

Blockchain yana aiki azaman babban littafin lissafi mara canzawa, wanda ke ƙarƙashin Web3. Hanyoyin yarjejeniya kamar Hujjar Aiki (PoW) da Hujjar Hatsari (PoS) suna magance matsalar kashe kuɗi sau biyu, suna ba da damar ma'amaloli marasa amana. Dandamali kamar Ethereum suna faɗaɗa wannan aikin ta hanyar kwangiloli masu hikima masu cikakkiyar Turing, waɗanda suke yarjejeniyoyin kai tsaye waɗanda suka zama ginshiƙan aikace-aikacen DeFi kamar tsarin ba da bashi (Aave, Compound) da masu yin kasuwa ta atomatik (Uniswap, Curve).

2.2. Rarraba Token a cikin Web3

Kalmar "token" ta ƙunshi nau'ikan kadari na dijital daban-daban tare da amfani daban-daban:

• Token na Asali/Na Biyan Kuɗi (misali, ETH, SOL): Suna aiki azaman kuɗin tushe da "gas" don aiwatar da ciniki a kan blockchains ɗinsu.
• Token na Mulki (misali, UNI, CRV): Suna ba da haƙƙin zaɓe a cikin ƙungiyoyi masu cin gashin kansu na rarraba (DAOs) waɗanda ke gudanar da ka'idoji.
• Token na Amfani (misali, Token na LP): Suna wakiltar da'awar kadari a cikin ka'ida, kamar token na mai ba da ruwa (LP) waɗanda ke nuna rabo a cikin tafkin ciniki.
• Kuɗaɗen Kwanciyar hankali (misali, USDC, DAI): Suna nufin kiyaye ƙulla zuwa kuɗin ƙasa, suna aiki azaman hanyar musayar kuɗi da adana ƙima a cikin DeFi.

3. Hanyoyin Bincike da Bayanai

Nazarimmu yana amfani da bayanan farashi mai yawa na lokaci-lokaci da na yau da kullun don zaɓaɓɓen kwandon manyan token na Web3 daga 2020-2024. Bayanan sun haɗa da token daga manyan CEX (Binance, Coinbase) da DEX (Uniswap v2/v3, Curve). Ana ƙididdige komawa kamar $r_t = \log(P_t) - \log(P_{t-1})$. Muna amfani da ƙaƙƙarfan gwaje-gwajen tattalin arziki don al'ada (Jarque-Bera), autocorrelation (Ljung-Box), da ƙirar rashin kwanciyar hankali (GARCH-family) don gano gaskiyoyin salo.

4. Gaskiyoyin Salo na Kwarewa na Token na Web3

Duk da sabon fasaharsu, token na Web3 suna nuna kaddarorin ƙididdiga da suka yi daidai da kadarorin kuɗi na gargajiya.

4.1. Rarraba Komawa Mai Wutsiya Mai Kauri

Komawa ba Gaussian ba ne. Ayyukan yuwuwar yuwuwar da ba a ƙayyade ba suna nuna "wutsiya mai nauyi," ma'ana matakan farashi na matsananci (dukansu faɗuwa da haɓaka) suna faruwa da yawa fiye da yadda ake hasashen ta hanyar rarraba al'ada. Ana ƙididdige wannan ta hanyar ƙimar kurtosis mai girma da fihirisar wutsiya mai kyau da aka ƙiyasta ta hanyar Ka'idar Ƙimar Matsananci (EVT). Siffar sigar $\xi$ a cikin Rarraba Gabaɗaya Pareto (GPD), $G_{\xi,\beta}(x) = 1 - (1+\xi x/\beta)^{-1/\xi}$ don $\xi \neq 0$, yawanci tabbatacce ne, yana tabbatar da halin wutsiya mai nauyi.

4.2. Al'ada ta Tattarawa

Yayin da tazarar samfurin ke ƙaruwa (misali, daga mintuna zuwa kwanaki zuwa makonni), rarraba komawa yana karkata zuwa Gaussianity. Wannan tasirin tattarawar lokaci, gaskiyar salo na gargajiya, yana riƙe da token na Web3. Ka'idar Iyaka ta Tsakiya a hankali tana tasiri, tana daidaita hayaniyar lokaci mai yawa da wutsiya mai kauri.

4.3. Tarin Rashin Kwanciyar Hankali (Volatility Clustering)

Lokutan rashin kwanciyar hankali mai yawa suna taruwa tare, sannan lokutan kwanciyar hankali suka biyo baya. Wannan yana bayyana a fili a cikin jerin lokutan komawa kuma an tabbatar da shi ta hanyar mahimmanci, jinkirin lalacewa a cikin murabba'in ko cikakkun komawa. Yana nuna cewa damuwar kasuwa tana dawwama, ba i.i.d. ba.

4.4. Tasirin Leverage da Rashin Daidaituwar Juyawa na Lokaci

Mun sami "tasirin leverage" mara ƙarfi ko mara daidaituwa (inda komawa mara kyau ya ƙara rashin kwanciyar hankali na gaba fiye da komawa mai kyau) idan aka kwatanta da hannun jari. Duk da haka, rashin daidaituwar juyawa na lokaci yana nan: yanayin rashin kwanciyar hankali na baya yana rinjayar komawa na gaba ta hanyar da ba ta layi ba, wanda za'a iya kama shi ta hanyar samfura kamar samfurin Heterogeneous Autoregressive (HAR).

5. CEX da DEX: Nazarin Kwatance

Wani muhimmin bincike shine kamancen ƙididdiga tsakanin kadarorin da ake cinikayya a kan CEX da DEX. Duk da bambance-bambancen tushe a tsarin kasuwa—littattafan oda da masu yin kasuwa ta atomatik (AMMs), samfuran tsarewa, da rarrabuwar ruwa—babban gaskiyar salo (wutsiya mai kauri, tarin rashin kwanciyar hankali) sun yi daidai sosai. Wannan haɗuwa yana faruwa ne da farko ta hanyar masu yin ciniki na arbitrage waɗanda ke amfani da bambance-bambancen farashi tsakanin wurare, yadda ya kamata suna haɗa kasuwanni tare kuma suna tilasta daidaiton ƙididdiga. Duk da haka, token na musamman na DEX (misali, token na LP) na iya nuna keɓantaccen bayanan komawa na dogon lokaci saboda hanyoyin yawan amfanin ƙasa da aka saka.

6. Muhimman Fahimta da Katunan Kididdiga

7. Tsarin Fasaha da Samfurin Lissafi

Don ƙirƙirar waɗannan gaskiyoyin, kayan aikin tattalin arziki na yau da kullun suna amfani amma suna buƙatar daidaitawa:

• Ƙirar Rashin Kwanciyar Hankali: Samfuran GARCH(1,1), $\sigma_t^2 = \omega + \alpha r_{t-1}^2 + \beta \sigma_{t-1}^2$, suna kama taro yadda ya kamata. Ƙari kamar EGARCH ko GJR-GARCH na iya gwada tasirin asymmetric.
• Haɗarin Wutsiya: Ƙimar Haɗari (VaR) da Tsammanin Gajeriyar (ES) waɗanda aka ƙididdige ta amfani da EVT ko simintin tarihi da aka tace suna ba da ma'aunin haɗari mafi daidai fiye da hanyoyin tushen Gaussian.
• Dogaro na Multivariate: Samfuran Haɗin kai na yanayin lokaci (DCC-GARCH) suna bayyana alaƙar canjin lokaci tsakanin token, mahimmanci don gina fayil.

8. Sakamakon Gwaji da Bayanin Chati

Chati 1: Rarraba Komawa & Q-Q Plot don ETH (Yau da Kullun): Tarihin komawa na yau da kullun na ETH wanda aka sanya tare da daidaitaccen rarraba al'ada yana nuna kololuwa mafi girma da wutsiya mai kauri. Abin da ke tare da shi na Quantile-Quantile (Q-Q) ya karkata sosai daga layin madaidaiciyar da ake tsammani a ƙarƙashin al'ada, musamman a cikin wutsiya.

Chati 2: Autocorrelation na Cikakkun Komawa: Chati na sandar don wakilcin token (misali, UNI) yana nuna aikin autocorrelation (ACF) na cikakkun komawa. ACF yana lalacewa a hankali kuma yana kasancewa tabbatacce don jinkiri da yawa, alamar tarin rashin kwanciyar hankali da dogon ƙwaƙwalwar ajiya.

Chati 3: Jerin Farashin CEX da DEX da Faɗaɗawa: Chati mai-axis biyu yana zana farashin matakin minti na token (misali, USDC/ETH biyu) akan babban CEX da babban DEX sama da sa'o'i 24. Panel na biyu a ƙasa yana nuna bambancin farashi (faɗaɗawa). Chatin yana nuna haɗin kai mai ƙarfi, tare da ɓarke na faɗaɗawa waɗanda ke da sauri a yi musu arbitrage.

9. Tsarin Nazari: Nazarin Shari'a mai Amfani

Shari'a: Ƙididdige Haɗarin Wutsiya a cikin Tafkin Ruwa na DeFi
Manufa: Ƙididdige VaR na 95% na kwana 1 don matsayin mai ba da ruwa a cikin nau'in token mai rashin kwanciyar hankali (misali, ETH/ALT) akan Uniswap v3.
Tsarin:

1. Bayanai: Tattara farashin tarihi na ETH da ALT, kuma ƙididdige aikin asarar da ba ta dawwama ba $IL = 2 \sqrt{price\_ratio} / (1 + price\_ratio) - 1$ don zaɓaɓɓen kewayon farashi.
2. Samfuri: Dace da samfurin DCC-GARCH na bivariate zuwa komawar ETH da ALT don kama alaƙar su mai ƙarfi da rashin kwanciyar hankali.
3. Simulation: Yi amfani da samfurin da aka dace don kwaikwayi hanyoyin komawa na kwana 1 na gaba 10,000 don duka kadarorin.
4. Lissafi: Ga kowane hanyar da aka kwaikwayi, ƙididdige canjin ƙimar tafkin da ya biyo baya (ciki har da kuɗin da aka samu da asarar da ba ta dawwama ba).
5. Sakamako: Kashi na 5 na rarraba da aka kwaikwayi na canje-canjen ƙima shine VaR da aka ƙiyasta. Wannan VaR na tushen EVT/GARCH zai fi VaR na Gaussian girma sosai, yana nuna haɗari mafi girma daidai.

10. Aikace-aikace na Gaba da Hanyoyin Bincike

• Haɗin Bayanan Kan Tsari: Samfuran gaba dole ne su haɗa ma'aunin kan tsari (misali, adiresoshin aiki, farashin gas, jimillar ƙimar da aka kulle) azaman masu canjin hasashe don komawa da rashin kwanciyar hankali, suna motsawa bayan nazarin farashi kawai.
• Nazarin Tsakanin Layer: Ana buƙatar bincike kan dogaro na ƙididdiga tsakanin token na Layer-1 (ETH, SOL), mafita na Layer-2 (Arbitrum, Optimism), da token na Layer na aikace-aikace.
• Abubuwan Rarraba: Gaskiyoyin salo za su zama mahimmanci don farashi da sarrafa haɗarin zaɓuɓɓuka da musayar dindindin akan ka'idoji kamar dYdX da GMX.
• Ƙirar Haɗarin Tsari: Ƙididdige tasirin sanarwar tsari a matsayin abubuwan "tsalle" a cikin hanyoyin komawar token.
• Haɓaka Injin Koyo: Yin amfani da samfuran transformer ko cibiyoyin jijiyoyin zane zuwa jadawalin kuɗi na Web3 don hasashen haɗarin tsarin da yaɗuwa, kama da hanyoyin da ake amfani da su a cikin wallafe-wallafen haɗarin tsarin gargajiya.

11. Ra'ayin Manazarcin: Cikakken Fahimta, Tsarin Ma'ana, Ƙarfi da Rauni, Fahimta mai Aiki

Cikakken Fahimta: Takardar ta ba da gaskiya mai ƙarfi, mai cin karo da juna: a ƙarƙashin radadin saman DeFi da Web3 akwai zuciyar kuɗi wacce ke bugun bugun ƙididdiga ɗaya da Wall Street. Hargitsi yana da tsari; ƙirƙira ta saba. Wannan ba kuskure ba ne—yana da fasalin da ke tabbatar da balaga da haɗa kayan crypto cikin tsarin kuɗi na duniya.

Tsarin Ma'ana: Hujja tana da sauƙi mai kyau. 1) Kafa cewa kasuwannin gargajiya suna da sanannun yatsun ƙididdiga (gaskiyoyin salo). 2) Aiwatar da ƙaƙƙarfan ma'auni ɗaya zuwa sabon sararin samaniya na Web3. 3) Nemo kamanceceniya mai ban mamaki, tabbatar da cewa waɗannan kasuwannin kuɗi ne na "gaskiya", ba abubuwan sha'awa kawai ba. 4) Yi amfani da babban bambancin tsari ɗaya (CEX da DEX) azaman gwajin sarrafawa, gano cewa arbitrage yana shafe bambancin ƙididdiga, yana nuna ingancin kasuwa a matakin tushe.

Ƙarfi da Rauni: Ƙarfinsa shine empiricism na tushe. Yana ba da littafin ƙa'idodin ƙididdiga na farko na Web3, yana motsa tattaunawa daga ƙima zuwa ƙaƙƙarfan bayanai. Wannan yana kama da aikin farko na econophysics wanda ya yi amfani da injiniyoyin ƙididdiga ga kasuwannin hannun jari. Raunin, gama gari ga binciken matakin farko, shine mayar da hankali kan "abin da" akan "dalilin". Yana gano wutsiya mai kauri amma bai yi zurfin ƙirar injiniyoyin kan tsari ba (misali, cascades na rarrabawa, hare-haren mulki) waɗanda ke haifar da su. Hakanan yana ɗaukar "token na Web3" a matsayin guda ɗaya, mai yuwuwa ya ɓata bambance-bambancen tushe tsakanin kuɗin kwanciyar hankali kamar DAI da token na mulki na hasashe.

Fahimta mai Aiki: Ga masu saka hannun jari da masu gini, wannan binciken kira ne mai tsauri don barin keɓancewa. Manajojin Fayil: Kayan aikin ku na quant na yanzu (GARCH, VaR) suna aiki a nan—yi amfani da su, amma daidaita don wutsiya mai kauri. Dakatar da ɗaukar crypto a matsayin nau'in kadari na sihiri daban. Masu Zane na Ka'ida: Idan komawar token ɗinku ba ta nuna waɗannan gaskiyoyin salo ba a ƙarshe, yana iya zama alamar rashin ruwa ko fasalin tattalin arziki da ya lalace. Lafiyar kasuwa tana da sa hannun ƙididdiga. Masu Tsari: Haɗuwar CEX-DEX ta tabbatar da cewa tsara gefe ɗaya yana shafar ɗayan ba makawa. Ba za ku iya raba su ba. Abin da aka ɗauka yana da zurfi: Kuɗin Web3 ya wuce ƙuruciyarsa ta ƙididdiga. Lokaci ya yi da za a bincika shi tare da ingantattun kayan aikin gargajiya na kuɗi, ba labaran bishara na ƙuruciyarsa ba.

12. Nassoshi

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