论文标题
而稳定性持续：非固定稳定的随机模型
While Stability Lasts: A Stochastic Model of Non-Custodial Stablecoins
论文作者
论文摘要
加密货币市场上的“黑色星期四”危机表明，过度合并的非监测stabablecoins具有去杠杆化风险。我们开发了一个随机模型，有助于解释这些过度的系统中的危机。在我们的模型中，稳定的供应是由投机者决定的，他们优化了杠杆位置的盈利能力，同时纳入了抵押品清算的前瞻性成本，这涉及Stablecoin的内源性价格。我们正式表征了被解释为稳定的稳定且不稳定的制度。我们证明了二次变化的界限和稳定域中大偏差的概率，并且我们证明了不稳定域中的价格差异明显更大。我们通过Susterningale确定螺旋螺旋的螺旋。这些超级挤压的螺旋形导致了更快的抵押下降（以及潜在的缺口），并伴有更高的价格差异，这是黑色星期四所经历的。最后，我们讨论了可以缓解本文中提出的问题的非习惯方式。
The `Black Thursday' crisis in cryptocurrency markets demonstrated deleveraging risks in over-collateralized non-custodial stablecoins. We develop a stochastic model that helps explain deleveraging crises in these over-collateralized systems. In our model, the stablecoin supply is decided by speculators who optimize the profitability of a leveraged position while incorporating the forward-looking cost of collateral liquidations, which involves the endogenous price of the stablecoin. We formally characterize regimes that are interpreted as stable and unstable for the stablecoin. We prove bounds on quadratic variation and the probability of large deviations in the stable domain and we demonstrate distinctly greater price variance in the unstable domain. We identify a deflationary deleveraging spiral by means of a submartingale. These deleveraging spirals, which resemble short squeezes, lead to faster collateral drawdown (and potential shortfalls) and are accompanied by higher price variance, as experienced on Black Thursday. We conclude by discussing non-custodial ways in which the issues raised in this paper can be mitigated.
