加密货币市场的短期均值回归：配对跨市场测量
Short-horizon mean reversion in cryptocurrency markets: a matched cross-market measurement
AI总结：
该研究对比加密货币与美股15分钟维度的均值回归，发现加密货币反转效应更强，明确其信号特征、驱动因素及收益水平，经多重检验验证结果稳健。
AI中文摘要：
在15分钟的时间维度上，加密货币市场的方向性均值回归远强于美国股票市场且更为普遍：根据一种配对的严格样本外协议，自2021年以来的每个核心币年中，183个币安交易对中有90%存在显著的方向性反转，而187只美国股票和ETF中仅有2.7%存在该现象。该信号存在于价格方向而非幅度：主要加密货币的滞后一期收益率自相关接近零，但仅通过反向押注前一根K线就能捕捉大部分效应。净资产价值挂钩加密货币或金属价格的美国上市基金，自交易最初几个月起就继承了其底层资产的反转特性（包括反转不存在的情况）；仅与相同底层资产相关的股票则无此特性：这一描述性证据表明，包装工具的交易数据反映的是其包装的标的资产的过程，而非其生成的交易场所。在原生交易数据中，反转集中于由激进吃单流量驱动的价格变动之后，且随流量强度增加而增强，而价格变动消耗的订单簿深度无调节作用：这一调节结果符合提供流动性获得补偿的逻辑，而非选择流动性提供者的检验。总边际收益峰值约为每笔交易1.3个基点，对应5个基点的往返成本：该收益足以被检测，但不足以覆盖基准现货捕捉成本。该对比结果经人工制品检验、精确置换零假设检验及六个月冻结保留样本验证，类别平均AUC差值为+0.031（符合设计预期），在最保守核算下为+0.011（95%置信区间为[+0.008, +0.014]），两种情况均显著异于零。
英文摘要：
At 15-minute horizons, directional mean reversion is far stronger and more pervasive in cryptocurrency markets than in US equities: scored under one matched, strictly out-of-sample protocol, 90% of 183 Binance pairs carry significant directional reversal against 2.7% of 187 US stocks and ETFs, in every focal coin-year since 2021. The signal lives in signs, not magnitudes: lag-one return autocorrelation is near zero on the major coins, yet simply betting against the previous candle captures most of the effect. US-listed funds whose net asset value is a crypto or metal price inherit their underlying's reversal, including its absence, from their first months of trading; stocks merely correlated with the same underlyings inherit nothing: descriptive evidence that a wrapper's tape reads like the process it wraps, not the venue it prints on. On the originating tape, the reversal concentrates after moves driven by aggressive taker flow and grows with flow intensity, while the order-book depth a move consumes conditions nothing: a conditioning consistent with compensated liquidity provision, not a test that selects it. The gross edge peaks near 1.3 bp per trade against a 5 bp round-trip cost: large enough to detect, too small to clear benchmark spot capture costs. The contrast survives an artifact battery, an exact permutation null, and a frozen six-month holdout, with a class-mean AUC gap of +0.031 as designed and +0.011 (95% CI [+0.008, +0.014]) under the most conservative accounting, clear of zero either way.
