作为期权的公众意见：利用预测市场对冲现货加密货币波动风险
Public Opinion as an Option: Leveraging Prediction Markets to Hedge Exposure to Spot Crypto Volatility
- The University of Chicago（芝加哥大学）
机构由 AI 辅助整理，请以论文原文为准。
AI总结：
本文提出利用Kalshi加密事件合约作为期权，构建动态投资组合对冲比特币现货波动，实证表明该策略在各市场状态下优于简单组合。
AI中文摘要：
本文提出了一种通过将资源分配至Kalshi加密事件合约的投资策略，以有效对冲现货资产波动风险。以比特币作为概念验证，我们将对应的Kalshi市场关于该资产未来价格的合约视为期权合约，并通过构建不同的投资组合配置，提出了一个框架，使零售投资者能够有效利用事件合约来控制风险，同时不减少对现货波动的底层敞口。我们通过分析三个不同的Kalshi事件合约来展示这一信息，这些合约分别对应不同的市场状态（即看涨、看跌、横盘），并为每种状态提供了全面的风险概况。结果表明，动态的Kalshi/比特币对冲策略在所有市场状态下均优于更简单的投资组合，支持了我们最初的假设。我们讨论了未来可能侵蚀利润的进一步考虑因素（如费用），并为未来研究提供了方向。
英文摘要：
This paper proposes an investment strategy through resource allocation into Kalshi Crypto Event Contracts in order to effectively hedge exposure to spot asset volatility. Using Bitcoin as a proof of concept, we treat corresponding Kalshi markets on the asset's future price as option contracts, and through construction of different portfolio allocations present a framework for which event contracts can be effectively utilized by retail investors in order to control risk framework without reducing underlying exposure to spot volatility. We showcase this information through analysis of three separate Kalshi event contracts, all relating to a different underlying market regime (i.e bullish, bearish, flat), and provide a comprehensive risk profile for each regime. Results show that a dynamic Kalshi/Bitcoin hedging strategy outperforms more simplistic portfolios across all regimes, supporting our initial hypothesis. We discuss further considerations which can erode profits in the future (i.e. fees), and provide direction for future research.
