Trading under the Proof-of-Stake Protocol -- a Continuous-Time Control Approach

 0 Người đánh giá. Xếp hạng trung bình 0

Tác giả: Wenpin Tang, David D Yao

Ngôn ngữ: eng

Ký hiệu phân loại: 511.36 Proof theory and constructive mathematics

Thông tin xuất bản: 2022

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 195580

 Comment: 24 pages, 4 figures. This paper is published by https://onlinelibrary.wiley.com/doi/full/10.1111/mafi.12403We develop a continuous-time control approach to optimal trading in a Proof-of-Stake (PoS) blockchain, formulated as a consumption-investment problem that aims to strike the optimal balance between a participant's (or agent's) utility from holding/trading stakes and utility from consumption. We present solutions via dynamic programming and the Hamilton-Jacobi-Bellman (HJB) equations. When the utility functions are linear or convex, we derive close-form solutions and show that the bang-bang strategy is optimal (i.e., always buy or sell at full capacity). Furthermore, we bring out the explicit connection between the rate of return in trading/holding stakes and the participant's risk-adjusted valuation of the stakes. In particular, we show when a participant is risk-neutral or risk-seeking, corresponding to the risk-adjusted valuation being a martingale or a sub-martingale, the optimal strategy must be to either buy all the time, sell all the time, or first buy then sell, and with both buying and selling executed at full capacity. We also propose a risk-control version of the consumption-investment problem
  and for a special case, the ''stake-parity'' problem, we show a mean-reverting strategy is optimal.
Tạo bộ sưu tập với mã QR

THƯ VIỆN - TRƯỜNG ĐẠI HỌC CÔNG NGHỆ TP.HCM

ĐT: (028) 36225755 | Email: tt.thuvien@hutech.edu.vn

Copyright @2024 THƯ VIỆN HUTECH