VPIN模型分析：高波动市场中的应用，可视为波动率领先指标
火币研究院机构得得号23小时前 • 区块链领域的技术研究、行业分析、应用创新、模式探索等。
摘要： 火币研究院对VPIN 模型进行分析并编写代码，以1token 提供的多个交易所的实盘数据及回测平台进行回测。主要测试场景包括4 月初比特币价格的快速拉升和1 月份 EOS 价格的快速下跌等。结果显示，无论是数字资产价格的暴涨或暴跌，VPIN 时常会出现大幅度的提升，具有一定的预测效果，可视为是一种波动率领先指标，可对期权交易、做市商提供流动性、交易所风控管理等具有指导意义。
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（作者：火币研究院，内容来自链得得内容开放平台“得得号”；本文仅代表作者观点，不代表链得得官方立场）
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