Position adjustment method, position adjustment device, and position adjustment program

Abstract

To provide a position adjustment method, a position adjustment device, and a position adjustment program that more appropriately perform processing related to position adjustment.SOLUTION: A position adjustment method executed by a position adjustment device 1 comprises: a position calculation step that calculates, on the basis of an initial value S0 of an underlying asset price, which is a price of the underlying asset, an underlying asset price S at a certain time, leverage n applied to the underlying asset price, a risk-free rate r, and volatility σ of the underlying asset price, a position h for an underlying asset at the certain time; and a position adjustment step that performs, on the basis of a position h at the time calculated in the position calculation step, position adjustment processing, which is processing related to position adjustment, that is, buying and selling of the underlying asset or the position, or issuance or redemption of the underlying asset.SELECTED DRAWING: Figure 4

Description

[Technical Field]

[0001] One aspect of the present disclosure relates to a position adjustment method, a position adjustment device, and a position adjustment program for performing processing related to position adjustment in derivatives trading. [Background technology]

[0002] The following Patent Document 1 discloses a derivatives trading support method for supporting trading of derivatives of financial products whose underlying assets are commodities, securities, currencies, etc. [Prior art documents] [Patent documents]

[0003] [Patent Document 1] Japanese Patent Application Laid-Open No. 2002-157425 Summary of the Invention [Problem to be solved by the invention]

[0004] In the case of conventional derivative transactions, where the position of the underlying asset is fixed, there have been problems resulting from the fixed position, such as the value of the derivative product becoming negative. Therefore, there is a need for a more appropriate process for position adjustment. [Means for solving the problem]

[0005] A position adjustment method according to one aspect of the present disclosure is a position adjustment method executed by a computer, and includes a position calculation step of calculating a position for an underlying asset at a certain time based on an initial value of the underlying asset price, which is the price of the underlying asset, the underlying asset price at that time, the leverage applied to the underlying asset price, the risk-free rate, and the volatility of the underlying asset price, and a position adjustment step of performing a position adjustment process, which is a process related to position adjustment, which is buying and selling of the underlying asset or position, or the issuance or write-off of the underlying asset, based on the position at that time calculated in the position calculation step.

[0006] In this aspect, processing related to position adjustment is performed based on the calculated position related to the underlying asset, which means that processing related to position adjustment can be performed more appropriately. [Effects of the Invention]

[0007] According to one aspect of the present disclosure, processing related to position adjustment can be performed more appropriately. [Brief explanation of the drawings]

[0008] [Figure 1] FIG. 1 is a diagram illustrating an example of a system configuration of a position adjustment system including a position adjustment device according to an embodiment. [Figure 2] FIG. 2 is a diagram illustrating an example of a functional configuration of a position adjustment device according to the embodiment. [Figure 3] FIG. 10 is a diagram illustrating an example of the configuration of a position adjustment program according to the embodiment. [Figure 4] 4 is a flowchart illustrating an example of processing executed by the position adjustment device according to the embodiment. [Figure 5] 10 is a flowchart illustrating another example of processing executed by the position adjustment device according to the embodiment. [Figure 6] FIG. 2 is a diagram illustrating an example of the hardware configuration of a computer used in the position adjustment device according to the embodiment. DETAILED DESCRIPTION OF THE INVENTION

[0009] Hereinafter, embodiments of the present disclosure will be described in detail with reference to the drawings. In the description of the drawings, the same elements are designated by the same reference numerals, and duplicate explanations will be omitted. Furthermore, the embodiments of the present disclosure in the following description are specific examples of the present invention, and the present invention is not limited to these embodiments unless otherwise specified to limit the present invention.

[0010] 1 is a diagram showing an example of the system configuration of a position adjustment system 5 including a position adjustment device 1 according to an embodiment. As shown in FIG. 1, the position adjustment system 5 includes the position adjustment device 1, a terminal 2, an external DB server 3, and an exchange server 4.

[0011] The position adjustment device 1 and the terminal 2, and the terminal 2 and the exchange server 4 are communicatively connected to each other via a network such as a mobile communication network, and are capable of transmitting and receiving information to and from each other. The position adjustment device 1 and the external DB server 3, and the position adjustment device 1 and the exchange server 4 are communicatively connected to each other via a network such as the Internet, and are capable of transmitting and receiving information to and from each other. Note that the terminal 2 and the external DB server 3, and the external DB server 3 and the exchange server 4 may also be communicatively connected to each other via a network, and be capable of transmitting and receiving information to and from each other. In other words, all of the devices included in the position adjustment system 5 may be communicatively connected to each other via a network, and be capable of transmitting and receiving information to and from each other.

[0012] The position adjustment device 1 is a computer device that performs position adjustment processing, which is processing related to position adjustment. In this embodiment, it is assumed that the position adjustment device 1 performs position adjustment processing in trading of leveraged tokens, which are a type of derivative trading, in which an underlying asset is leveraged (multiplier), but this is not limited to this.

[0013] An underlying asset is an asset that is the subject of a derivative transaction. An underlying asset is a general financial product, such as a crypto asset, a stock, a stock index, foreign exchange, a bond, a commodity, an interest rate, or credit risk. In this embodiment, the underlying asset is assumed to be a crypto asset (virtual currency), but is not limited to this. In this embodiment, the term "underlying asset" may be replaced with "crypt asset" as appropriate.

[0014] Crypto assets are assets of value that can be exchanged over the Internet, such as Bitcoin (registered trademark) or Ethereum.

[0015] Derivatives are products (financial derivatives) derived from underlying assets.

[0016] Derivative transactions are transactions derived from underlying assets, and the theoretical price is determined depending on the price of the underlying asset. Types of derivative transactions include futures transactions, swap transactions, and option transactions. In this embodiment, the derivative transactions are assumed to be futures transactions, but are not limited to this.

[0017] A futures contract is a contract to buy or sell an underlying asset at a currently agreed price on a specified date in the future.

[0018] Leverage refers to how many times the return you can make from trading the underlying asset. Generally, using leverage increases your return, but it also increases your risk.

[0019] Leveraged tokens are a type of cryptocurrency fund that allows you to leverage your investments to a certain extent, whether the market is rising or falling. While leveraged tokens allow you to make large profits with a small amount of capital, they also carry the risk of suffering large losses if the market does not move as expected. To maximize profits and minimize losses with leveraged tokens, you need to accurately predict the price movements of the underlying asset and adjust your position accordingly.

[0020] A position is an agreement that remains unsettled and has not been liquidated. A position means, for example, purchasing and holding the underlying asset. Types of positions include long positions and short positions.

[0021] A long position is a long-holding position (buying position) in which the underlying asset is purchased and held until it rises in value, without immediately selling it, in the hope that it will rise in value in the future.

[0022] A short position is a short position (selling position) that indicates a situation in which an underlying asset that is not held is sold short in anticipation of a future price drop.

[0023] It should be noted that long positions and short positions are separate products (separate contracts). There are also products that combine long positions and short positions, but in this embodiment, for the sake of simplicity, it is assumed that long positions and short positions are separate products, but this is not limiting.

[0024] Position adjustment is the buying or selling of an underlying asset or position, or the issuance or retirement of an underlying asset, for the purpose of adjusting the balance of a position. Position adjustment can also mean taking a long or short position.

[0025] The position adjustment device 1 will be described in detail later.

[0026] Terminal 2 is a computer device such as a smartphone or laptop that performs mobile communication. Terminal 2 is operated by a user of Terminal 2. In this embodiment, the user is assumed to be a trader or investor who trades leveraged tokens, but is not limited to this.

[0027] Based on the user's operation, terminal 2 may execute desired processing by transmitting and receiving information to and from other devices included in position adjustment system 5 via a network. Terminal 2 may output (display) the processing results at terminal 2 or information received via the network on the display of terminal 2 (i.e., to the user).

[0028] The external DB server 3 is a computer device that stores various data such as market data in a database. Details of the market data will be described later.

[0029] The exchange server 4 is a computer device operated or managed by an exchange. Upon receiving instruction information regarding position adjustment, the exchange server 4 performs the corresponding position adjustment based on the instruction information. In addition, the exchange server 4 may provide various services provided by a general exchange.

[0030] Fig. 2 is a diagram showing an example of the functional configuration of the position adjustment device 1. As shown in Fig. 2, the position adjustment device 1 includes a storage unit 10, an acquisition unit 11, a calculation unit 12 (position calculation unit), an adjustment unit 13 (position adjustment unit), and an output unit 14.

[0031] Each functional block of the position adjustment device 1 is assumed to function within the position adjustment device 1, but this is not limited to this. For example, some of the functional blocks of the position adjustment device 1 may function within a computer device different from the position adjustment device 1 and connected to the position adjustment device 1 via a network, while appropriately transmitting and receiving information to and from the position adjustment device 1. For example, some of the functional blocks of the position adjustment device 1 may function by being incorporated into any of the terminal 2, the external DB server 3, and the exchange server 4. Furthermore, some functional blocks of the position adjustment device 1 may be omitted, multiple functional blocks may be integrated into one functional block, or one functional block may be separated into multiple functional blocks.

[0032] Hereinafter, each function of the position adjustment device 1 shown in FIG. 2 will be described.

[0033] The storage unit 10 stores any information used in calculations in the position adjustment device 1 and the results of calculations in the position adjustment device 1. The information stored by the storage unit 10 may be referenced by each function of the position adjustment device 1 as appropriate.

[0034] The acquisition unit 11 acquires various pieces of information from the terminal 2, the external DB server 3, the exchange server 4, etc. via a network. The acquisition unit 11 may store the acquired various pieces of information in the storage unit 10, or may output the acquired information to the calculation unit 12, the adjustment unit 13, and the output unit 14.

[0035] The calculation unit 12 calculates a position h (or h(t)) (hereinafter simply referred to as “h” or “h(t)”) for the underlying asset at time t based on the initial value S0 (hereinafter simply referred to as “S0”) of the underlying asset price, which is the price of the underlying asset; the underlying asset price S (or S(t)) (hereinafter simply referred to as “S” or “S(t)”) at time t; the leverage n (hereinafter simply referred to as “n”) applied to the underlying asset price; the risk-free rate r (hereinafter simply referred to as “r”) (the yield obtained from a financial product with almost zero risk when investing; generally, the yield on savings or government bonds); and the volatility (standard deviation) σ (hereinafter simply referred to as “σ”) of the underlying asset price. Any one or more of S0, S, n, r, and σ may be acquired by the acquisition unit 11 or may be stored in advance by the storage unit 10.

[0036] The calculation unit 12 may calculate the initial value h0 (hereinafter simply referred to as "h0") of the position based on S0, n, and the initial value P0 (hereinafter simply referred to as "P0") of the leveraged token price (theoretical price), which is the price of the leveraged token obtained by multiplying the underlying asset price by n, and may further calculate h based on the calculated h0 (i.e., based on h0, S0, S, n, r, and σ).

[0037] The calculation unit 12 may calculate h further based on a transaction fee rate γ (hereinafter simply referred to as "γ"). That is, the calculation unit 12 may calculate h based on S0, S, n, r, σ, and γ. Alternatively, the calculation unit 12 may calculate h0 based on S0, n, and P0, and then calculate h based on the calculated h0, S0, S, n, r, σ, and γ.

[0038] The calculation unit 12 may further calculate a leveraged token price P (or P(t)) at time t (hereinafter simply referred to as "P" or "P(t)") based on S0, S, n, P0, r, and σ. That is, the calculation unit 12 may calculate both h and P based on S0, S, n, P0, r, and σ. Alternatively, the calculation unit 12 may calculate only P based on S0, S, n, P0, r, and σ.

[0039] The calculation unit 12 may calculate P further based on γ. That is, the calculation unit 12 may calculate P and / or h based on S0, S, n, P0, r, σ, and γ.

[0040] The calculation unit 12 may store the calculation results (h, P, or both h and P) in the storage unit 10, or may output the calculation results to the adjustment unit 13 and the output unit 14.

[0041] Details of the calculation by the calculation unit 12 (specific formulas, etc.) will be described later.

[0042] Based on h calculated by the calculation unit 12 (or stored by the storage unit 10), the adjustment unit 13 performs a position adjustment process, which is a process related to position adjustment, such as buying and selling of the underlying asset or position, or issuance (minting) or write-off (burning) of the underlying asset. For example, the position adjustment process may include a position adjustment (the process of the position adjustment itself). Furthermore, for example, the position adjustment process may include a process that leads to a position adjustment (resulting in a position adjustment). More specifically, the position adjustment process may include sending instruction information for performing a position adjustment to another server, such as the exchange server 4. As described above, upon receiving instruction information for performing a position adjustment from the adjustment unit 13, the exchange server 4 performs a corresponding position adjustment based on the instruction information. In other words, the position adjustment is performed when the adjustment unit 13 sends instruction information for performing a position adjustment to the exchange server 4 (performing the position adjustment process).

[0043] Let's explain minting and burning. Crypto assets are issued by the issuer of the crypto asset through minting, and are redeemed through burning. In practice, minting and burning are carried out by writing mint and burn to the blockchain that issues the crypto asset. Minting increases the amount of crypto asset in circulation, and burning decreases the amount of crypto asset in circulation. Also, from the perspective of a trader or investor, by minting a crypto asset using legal tender (such as yen) as collateral, they can hold new crypto assets, and by burning the crypto asset they hold, they can get back the legal tender that was used as collateral.

[0044] The adjustment unit 13 may perform a position adjustment process at a predetermined time.

[0045] The adjustment unit 13 may perform the position adjustment process after a predetermined period has elapsed since the previous position adjustment process.

[0046] The adjustment unit 13 may perform the following (1) or (2). (1) means performing a position adjustment process when the underlying asset price has changed by a first threshold or more (from the underlying asset price when the calculation unit 12 previously calculated h) (semi-continuous position adjustment (described later)). (2) means performing a position adjustment process once or multiple times a day, at a fixed time (predetermined time), or after a predetermined period has elapsed since the previous position adjustment process, and also performing a position adjustment process when the underlying asset price has changed by a second threshold or more (from the underlying asset price when the calculation unit 12 previously calculated h) that is greater than the first threshold, other than at the fixed time (predetermined time), or even if the predetermined period has not elapsed (periodic / irregular position adjustment (described later)). That is, the adjustment unit 13 performs a position adjustment process when the underlying asset price fluctuates by more than a first threshold, or performs a position adjustment process at a predetermined time or after a predetermined period has elapsed since the previous position adjustment process, and may also perform a position adjustment process when the underlying asset price fluctuates by more than a second threshold that is greater than the first threshold at a time other than the predetermined time or even if the predetermined period has not elapsed.

[0047] The output unit 14 outputs the calculation result (h, P, or both h and P) calculated by the calculation unit 12 (or stored by the storage unit 10). For example, the output unit 14 may transmit the calculation result (or information based on the calculation result) to the terminal 2 via a network, and display the information based on the calculation result on a display of the terminal 2.

[0048] The position adjustment device 1 may include the adjustment unit 13 but not the output unit 14 (see FIG. 4 and its description below). Also, the position adjustment device 1 may include the output unit 14 but not the adjustment unit 13 (see FIG. 5 and its description below).

[0049] Next, we will explain the position adjustment program P1 that causes a computer to execute a series of processes by the position adjustment device 1. As shown in Fig. 3, the position adjustment program P1 is stored in a program storage area formed in a storage 1003 (described later) provided in the position adjustment device 1. The position adjustment program P1 includes, as functional modules, a storage module P10, an acquisition module P11, a calculation module P12, an adjustment module P13, and an output module P14. The functions realized by executing the storage module P10, acquisition module P11, calculation module P12, adjustment module P13, and output module P14 in the position adjustment program P1 are similar to the functions of the storage unit 10, acquisition unit 11, calculation unit 12, adjustment unit 13, and output unit 14 of the position adjustment device 1 described above, respectively.

[0050] The position adjustment program P1 may be a program that causes the position adjustment device 1 (one or more CPUs) to function as a calculation unit 12 that calculates a position for an underlying asset at a certain time based on the initial value of the underlying asset price, which is the price of the underlying asset, the underlying asset price at that time, the leverage applied to the underlying asset price, the risk-free rate, and the volatility of the underlying asset price, and an adjustment unit 13 that performs position adjustment processing, which is processing related to position adjustment, which is buying and selling of the underlying asset or position, or issuance or write-off of the underlying asset, based on the position at that time calculated by the calculation unit 12.

[0051] The position adjustment program P1 may be configured so that part or all of it is transmitted via a transmission medium such as a communication line, and is received and stored (including installed) by another device. Furthermore, each module of the position adjustment program P1 may be installed on one of multiple computers, rather than on a single computer. In this case, the series of processes of the position adjustment program P1 described above are performed by a computer system consisting of the multiple computers.

[0052] Next, an example of processing executed by the position adjustment device 1 will be described with reference to Fig. 4 and Fig. 5. Fig. 4 shows an example of processing when the position adjustment device 1 (automatically) performs position adjustment processing. Fig. 5 shows an example of processing when the user (manually) performs position adjustment processing.

[0053] 4 is a flowchart showing an example of processing executed by the position adjustment device 1. First, parameters are transmitted and received between the position adjustment device 1, the terminal 2, and the external DB server 3 (step S1).

[0054] S1 will be specifically described. In S1, the position adjustment device 1 (acquisition unit 11) receives (acquires) n from the terminal 2. Here, if the transaction of the leveraged token assumed in this embodiment is a contract for a long position with n times leverage (an open-ended contract long position), the leverage n is received from the terminal 2. + (From now on, we will simply refer to it as "n + On the other hand, if the contract is for a short position with n times leverage (a short position with no expiration date), a leverage of n times will be received from terminal 2. - (From now on, we will simply refer to it as "n - Which contract it is may be determined in advance within the position adjustment system 5. In this embodiment, n + and n - are collectively referred to as n. The timing of receiving n from the terminal 2 may be the timing when the user executes processing in the position adjustment device 1, or the timing when the user enters into a contract for trading of leveraged tokens before S1.

[0055] In S1, the position adjustment device 1 (acquisition unit 11) receives (acquires) P0, S0, r, and σ (stored in the external DB server 3) from the external DB server 3. The timing for receiving P0, S0, r, and σ from the external DB server 3 may be the timing after receiving n from the terminal 2. Note that P0, S0, r, and σ do not have to be received all at once in S1, but may be received when they become necessary for the respective processes of S2 and S3 described below. Note that some of P0, S0, r, and σ may be acquired from sources other than the external DB server 3.

[0056] Following S1, the position adjustment device 1 (the calculation unit 12 thereof) calculates h0 based on the following formula (step S2, position calculation step). h0=n*(P0 / S0) In the above formula, n, P0, and S0 are those received at S1.

[0057] In the case of a long position contract, after a certain period of time has passed since S2, the position adjustment device 1 (calculation unit 12) receives (acquires) S from the external DB server 3 and calculates the long position h at time t based on the following formula: + (From now on, we will simply refer to it as "h + ") is calculated (step S3, position calculation step).

number

number

[0058] On the other hand, in the case of a short position contract, after a certain period of time has passed since S2, the position adjustment device 1 (the calculation unit 12) calculates the short position h at time t based on the following formula: - (From now on, we will simply refer to it as "h - ") is calculated (step S3, position calculation step).

number

number

[0059] In this embodiment, h + and h - are collectively referred to as h, and P + and P - These are collectively referred to as P.

[0060] Following S3, position adjustment is performed based on h calculated in S3 (step S4).

[0061] S4 will be described in detail. In S4, the position adjustment device 1 (the adjustment unit 13 thereof) transmits instruction information for performing position adjustment to the exchange server 4 as a position adjustment process based on h calculated in S3 (position adjustment step). The instruction information may include, for example, in the case of a secondary market, the trading volume of the underlying crypto asset or position, and in the case of an issuance market, the mint amount or burn amount of the underlying crypto asset. The exchange server 4 performs position adjustment based on the received instruction information. For example, in the case of a secondary market, the exchange server 4 executes trading of the crypto asset or position based on the trading volume included in the instruction information, and in the case of an issuance market, executes mint or burn of the crypto asset based on the mint amount or burn amount included in the instruction information. Note that the exchange server 4 may be a single device (position adjustment device 1) incorporated into the position adjustment device 1, and in S4, the position adjustment device 1 (the adjustment unit 13 thereof) performs position adjustment based on h calculated in S3 (position adjustment step).

[0062] Fig. 5 is a flowchart showing another example of processing executed by the position adjustment device 1. In Fig. 5, S1 to S3 are the same as S1 to S3 in Fig. 4, and therefore descriptions thereof will be omitted. Following S3, the calculation result is transmitted and received between the position adjustment device 1 and the terminal 2 (step S5).

[0063] S5 will be described in detail. In S5, the position adjustment device 1 (output unit 14) transmits the calculation result of S3 (h, P, or both h and P) or information based on the calculation result to the terminal 2. The terminal 2 receives the calculation result or the information based on the calculation result.

[0064] Following S5, the terminal 2 outputs (displays) information based on the calculation result or information based on the calculation result received in S5 (step S6).

[0065] Following S6, position adjustment is performed (manually) based on the information output in S6 (step S7). Details of the position adjustment are the same as in S4 of Fig. 4 (processing by the position adjustment device 1 is replaced by processing by the user via the terminal 2), so a description thereof will be omitted.

[0066] Here, there are two methods (programs) for calculating P and h: fund programs and hedge programs. Fund programs are simple programs that manage token funds according to theoretical prices without considering transaction costs. Hedge programs are programs that estimate factors such as transaction costs and other costs, and incorporate the attenuation due to transaction costs into the calculation of the theoretical price. Fund programs and hedge programs differ in their use cases. Fund programs do not consider transaction costs, while hedge programs do.

[0067] The explanations in the above Figs. 4 and 5 are explanations of calculations by the fund program. Below, we will explain calculations by the hedge program. Basically, it is the same as the explanations in Figs. 4 and 5, and only the differences will be explained. First, in S1, the position adjustment device 1 (acquisition unit 11) further receives (acquires) γ (stored in the external DB server 3) from the external DB server 3. Next, in S3, h + is replaced by the following formula:

number

number

number

number

[0068] [Examples of position adjustments] The method for adjusting positions will be explained using a specific example. In this example, we will explain how to buy Bitcoin (registered trademark) (BTC) for yen (JPY) and start trading.

[0069] At time t=0, if the underlying asset price is BTC / JPY=6,500,000, and you hold a 100 BTC long position with 3x leverage, the result will be as follows. h0=n0*(P0 / S0) P0=650,000,000 S0=6,500,000 n0=3 h0=300 Note that n0 is the initial value of n (hereafter simply referred to as "n0").

[0070] If, at time t=1, BTC rises and BTC / JPY = 7,150,000 (1.1x), and the exponential term e(t=1) is calculated as 0.998, the calculation is as follows: S(1)=7,150,000 P(1)=P0*(1.1)^3*0.998=1.328*P0 h(1)=h0*(S(1) / S0)^(n-1)*e(t=1)=300*1.1^2*0.998=362 At this point, the adjustment unit 13 of the position adjustment device 1 performs a position adjustment process and sends instruction information to instruct minting of crypto assets so as to increase the BTC long position from 300 at h0 to 362 (issuance market), or sends instruction information to instruct purchasing of BTC or purchasing of a long position of BTC (secondary market).

[0071] If BTC falls at time t=2, BTC / JPY = 6,435,000 (0.9x), and the exponential term e(t=2) = 0.996 is calculated as follows: S(2)=6,435,000 P(2)=P0*(S(2) / S0)^3*e(t=2)=P0*0.99^3*0.996=P0*0.966 h(2)=h0*(S(2) / S0)^(n-1)*e2=300*0.99^2*0.996=292 (The adjustment unit 13 of the position adjustment device 1) sends instruction information to instruct the BTC long position to be burned to reduce it to 292 (issuance market), or sends instruction information to instruct the BTC to be sold or the BTC long position to be sold (secondary market).

[0072] [Fund Program: Details on how the theoretical price of leveraged tokens is derived] We will explain in detail how to derive the theoretical price in the fund program. The theoretical price can be derived using the following formula.

number

number

number

Number

Number

[0073] When S < S0, the long position holding quantity h + decreases as the asset price drops. When the asset price S drops to 0, the holding quantity h + becomes 0 at S = 0, and at the same time, P + also becomes 0, but it does not become negative. The decrease in the position when the asset price drops (h + decreases as S decreases) ensures that the leverage token price does not become negative when the asset price drops.

[0074] Conversely, when the asset price rises, when the current price S > S0, the price of the conventional leverage product without position adjustment also rises according to the previous derivation, but the price increase rate of the leverage token by the position adjustment device 1 is higher than that of the conventional leverage product.

[0075] The price increment of the conventional leverage product without position adjustment according to the derivation formula of the leverage transaction is shown by the following formula.

Number

[0076] The price increment of the leverage token by the position adjustment device 1 is shown by the following formula.

Number

[0077] Here, S>S0, so ΔP + >△P, i.e., leveraged token holders will gain more when prices rise than they would by investing in traditional leveraged products that do not adjust their positions.

[0078] The theoretical price calculation process in the fund program will now be described in detail.

[0079] The calculation process as a concept is shown in the following four points. (1) The initial value of the leveraged token price and the initial value of the underlying asset. (2) Assuming that the value of the underlying asset fluctuates according to the theory of geometric Brownian motion, we can calculate the value of the underlying asset and the leveraged token price at time t. (3) Long and short positions can be calculated from the leveraged token price. (4) Based on the calculated value, leveraged tokens are sold / purchased and crypto assets are issued / redeemed.

[0080] The calculation process as a mathematical formula will be explained below.

[0081] (1) If the underlying asset fluctuates by ΔS over a period of Δt, the return ΔP / P obtained from the fluctuation in the cryptocurrency price will be n times the underlying asset minus the financing cost ΔCo when leveraged by n.

number

[0082] (2) The financing cost ΔCo for the period Δt is as follows: ΔCo=(n-1)×r×Δt

[0083] (3) Substituting (2) above into (1) above gives the following.

number

[0084] (4) The fluctuations in the price of cryptocurrencies can be expressed as the following random variables using the theory of Brownian motion (μ: mean value, σ: standard deviation).

number

[0085] (5) Using Ito's formula below, we can solve this stochastic differential equation:

number

number

number

[0086] (6)S t The solution of P t Substituting into and eliminating e^σW, we get the following equation:

number

[0087] (7) In the case of n times long position (long), n=n + , for n times short position (short), n=-n - and respectively become as follows:

number

number

[0088] (8) Derive the equation for h. h=n*(P / S) Based on this, h is calculated from the above formula as follows:

number

number

[0089] [Hedging Program: Details of the theoretical price derivation method] We will explain in detail how to derive the theoretical price in a hedging program. A more detailed calculation can be performed by estimating factors such as transaction costs and other costs and adding the attenuation due to transaction costs to the leveraged token price. Assuming that the volatility of the market price of the underlying asset triggers an adjustment at Δr, and Δr = △S / S, the fluctuation between positions can be expressed as follows:

number

number

[0090] Assuming μ=0 and the transaction fee rate is γ, the transaction cost ΔC is as follows:

number

number

[0091] Since W is Brownian motion, the trajectory formed by W is a function of unbounded variance, and the limit where ΔW goes to 0 gives a divergent result. For simplicity, we can truncate as ΔW goes to 0 so that ΔC equals Δt. The truncation factor is absorbed by γ, so we get:

number

[0092] Combining the previous price fluctuation formulas, the approximate price fluctuation formula after accounting for transaction costs is as follows:

number

[0093] Using this formula, we can derive the leveraged token price and position as follows: By setting an appropriate parameter γ, we can derive the leveraged token price and position that incorporates hedging costs.

number

number

[0094] The theoretical price formula requires knowing the volatility σ of the underlying asset price, which can be estimated based on actual price fluctuations. For example, if the time interval between two adjacent updates of a token price is Δt and there are a total of K blocks, σ can be estimated as follows:

number

[0095] [Timing of position adjustment processing] Depending on how the position adjustment process is performed, it can be divided into semi-continuous position adjustment and periodic / irregular position adjustment. The difference between semi-continuous position adjustment and periodic / irregular position adjustment is the timing. Semi-continuous position adjustment and periodic / irregular position adjustment can be applied to both fund programs and hedging programs. Below we will explain semi-continuous position adjustment and periodic / irregular position adjustment. We will also explain how to estimate costs in order to pass on the transaction costs incurred during management to the price.

[0096] [Semi-continuous position adjustment] Semi-continuous position adjustment is a method of adjusting positions when the underlying asset fluctuates by more than a predetermined amount (see below for an example). The token leverage is set to n (n for a leveraged long token is a positive n + , and for leveraged short tokens, n is negative n - ), the formula that triggers the position adjustment process for each price movement is as follows:

number

[0097] Assuming that position adjustment processing is performed every time the underlying asset price fluctuates by 1%, Δr is a 1% price fluctuation, and h0 is the initial position to be adjusted. The smaller the price fluctuation Δr that triggers the position adjustment processing, the closer the leveraged token price can be to the theoretical price for continuous position adjustment. The more frequently the position adjustment processing is performed, the better the tracking of the theoretical price will be, and the leverage ratio can be kept constant. However, the disadvantage is that more frequently the position adjustment processing is performed, the higher the transaction costs and consumption costs due to price fluctuations will increase.

[0098] We will explain the frequency and example of semi-continuous position adjustment. Regarding the method for deriving the number of times the position adjustment process is triggered, if the position adjustment process is performed every time the underlying asset fluctuates by 1% to flatten the leverage to 3x, the price will be adjusted every time it fluctuates by a certain amount. If the cryptocurrency price changes significantly in a short period of time, price adjustments will be performed frequently in a short period of time. The number of times A the position adjustment process is triggered can be expressed by the following formula.

number

[0099] (Example) If you adjust your position every time the underlying asset fluctuates by 1%, you can set x=0.01. If the underlying asset price doubles, A=log 1.01 Since 2=70, a leveraged long token will trigger 70 position adjustment processes.

[0100] (Example) If you have a 3x leveraged long position, and the underlying asset price is rising and you adjust your position every time it changes by 1%, then for a 3x long leveraged token, if 70 position adjustments occur, then according to the above formula: P + =P0*(1+3*0.01)^70=7.91P0 For a 3x short leveraged token, if 70 position adjustment transactions occur, then according to the above formula: P - =P0*(1-3*0.01)^70=0.118P0 This becomes:

[0101] (Example) In a 3x leveraged short position, where the underlying asset price is falling by 16.7% every day and position adjustments are performed every time there is a 1% change (taking the Ethereum (ETH) market from November 8th to 9th, 2022 as an example, ETH fell by approximately 16.7% every day), if position adjustments are performed every time x falls by 1%, the number of position adjustments per day can be calculated using the following formula:

number

[0102] [Regular / irregular position adjustments] Periodic / irregular position adjustment involves lower adjustment frequency and larger fluctuations in actual leverage. Periodic / irregular position adjustment can be divided into periodic position adjustment and irregular position adjustment. Periodic position adjustment can be performed once or multiple times a day, at a fixed time, or after a specified period has passed since the previous position adjustment process. The position adjustment formula is the same as that for semi-continuous position adjustment.

[0103] In this case, Δr is not a fixed value, and the actual underlying asset price fluctuates between the two position adjustment processes.

[0104] In non-periodic position adjustment, in addition to regular positions, temporary position adjustment processing is triggered when Δr fluctuates extremely. For example, if a non-periodic position is set to be triggered by a 20% price fluctuation, a non-periodic position will be added if there is a price fluctuation of 20% or more between the implementation of a regular position adjustment and the implementation of the next regular position.

[0105] In this case, upper and lower limits are added to the price change Δr of the position adjustment based on each position adjustment process, limiting Δr to 20% each time the position adjustment process is triggered. Thus, in irregular position adjustments, upper and lower limits are set on the token leverage.

[0106] Rise Δr + , descending Δr - , assuming that non-regular positions are triggered, n + For a long token leveraged by 1x, the actual upper and lower leverage limits are:

number

number

[0107] n - For a 2x leveraged short token:

number

number

[0108] For example, if you are 3x leveraged long and the price fluctuates by 20% due to irregular position adjustments, the effective leverage range will be [2.25,6]; if you are 3x leveraged short and the price fluctuates by 20% due to irregular position adjustments, the effective leverage range will be [1.5,9].

[0109] [Additional information on calculation process as a mathematical formula] (1) r: risk-free rate, financial cost: (n-1) × rγ × Δt, and the rate of return is expressed by the following formula.

number

[0110] (2) Based on Δt, we can formulate the differential equation for the cryptocurrency price P as follows:

number

[0111] (3) The underlying asset price S fluctuates irregularly depending on the market price. The general model of geometric Brownian motion is used to describe this change. Geometric Brownian motion refers to a stochastic process that follows the following stochastic differential equation:

number

[0112] (4) Substituting the above equation (3) into the above equation (2) gives the following:

number

[0113] (5) P on both sides of the equation t After multiplying by , we combine terms of the same type to get the differential equation for the leveraged token price.

number

[0114] (6) Here, we use Ito's formula to solve the equation. According to Ito's formula, the derivative of a variable f is given by the following formula when f is a function with Brownian motion W and time t as arguments.

number

[0115] (7) Applying the formula (6) above to the formula (5) above gives the following:

number

[0116] (8) Now, going back to the above equation (5), both sides P t Divide by. Assuming that W in the equation is a continuous function, the formula for integrating both sides is as follows:

number

[0117] (9) From this formula, we get the following:

number

[0118] (10) If the value (initial value) at t=0 is P0, then the following is obtained.

number

[0119] (11) From the above equation (7), we can see that the value of C in the above equation (10) is as follows, so we substitute it into the above equation (10).

number

[0120] (12) By substituting the above values ​​for C, we obtain the following equation:

number

[0121] (13) Similarly, solve the equation for S. When n=1, S t =P t Therefore, P t If you substitute 1 for n in the formula, S t The formula is:

number

[0122] [Background technology] An example of conventional technology is derivative trading of futures products. In conventional derivative trading, if the initial position is h0, the initial derivative product price is P0, the initial underlying asset price is S0, and the initial leverage ratio of the derivative product is n0, then the initial position h0 is:

number

[0123] [assignment] In the case of traditional derivatives trading, the position thereafter remains h0, that is, h=h0. If you hold such a derivative product and the price of the underlying asset is S, the price P of the derivative product will be as follows:

number

[0124] Here, if the right-hand side of the equation is negative, that is,

number

[0125] For example, in the case of 2x leverage (n0=2), the derivative product will go bankrupt if the underlying asset price S falls by more than 50% from S0, and in the case of 3x leverage, the value of the derivative product will become negative if the underlying asset price falls by more than 33.33%.

[0126] [Effects of Position Adjustment Device 1] In contrast, the leveraged token by the position adjustment device 1 can correctly predict the price movements of the underlying cryptocurrency and adjust the position (long, short) by position adjustment processing, thereby increasing the leverage to increase returns when the price of the underlying asset rises and decreasing the leverage to prevent losses when the price of the underlying asset falls. This makes it possible to prevent bankruptcy when the price of the underlying asset falls.

[0127] Furthermore, the hedging program of the Position Adjustment Device 1 incorporates an appropriate trading algorithm that takes into account costs such as fees incurred each time a position is adjusted. With cryptocurrencies, fees are incurred each time a transaction is transferred to another account, minted, or burned. The more frequently you buy and sell according to the algorithm, the more accurate you are at making profits and avoiding losses. However, increasing trading frequency also increases fees and reduces assets. Because trading frequency and fees fluctuate depending on the leverage, it is very difficult to predict the overall loss of assets due to these fees. Based on market analysis, the hedging program of the Position Adjustment Device 1 created an appropriate trading algorithm that takes into account transaction fees that are effective when leverage is within 3x.

[0128] Next, the effects of the position adjustment device 1 according to the embodiment will be described.

[0129] The position adjustment device 1 includes a calculation unit 12 that calculates h based on S0, S, n, r, and σ, and an adjustment unit 13 that performs position adjustment processing, which is processing related to position adjustment, such as buying and selling of an underlying asset or position, or issuance or write-off of an underlying asset, based on the h calculated by the calculation unit 12. With this configuration, processing related to position adjustment is performed based on the calculated h. In other words, processing related to position adjustment can be performed more appropriately.

[0130] Furthermore, the underlying asset may be a crypto asset according to the position adjustment device 1. This configuration makes it possible to more appropriately carry out processing related to position adjustment of crypto assets.

[0131] Furthermore, according to the position adjustment device 1, the calculation unit 12 may calculate h0 based on S0, n, and P0, and then calculate h based on the calculated h0. With this configuration, it is possible to perform processing related to position adjustment taking h0 (initial value of the position) into consideration.

[0132] Furthermore, according to the position adjustment device 1, the calculation unit 12 may calculate h further based on γ. With this configuration, it is possible to perform processing related to position adjustment taking γ (transaction fee) into consideration.

[0133] Furthermore, according to the position adjustment device 1, the calculation unit 12 may further calculate P based on S0, S, n, P0, r, and σ. With this configuration, for example, a user can use P (a function of the leveraged token price over time) as a basis for making decisions.

[0134] Furthermore, according to the position adjustment device 1, the calculation unit 12 may calculate P further based on γ. With this configuration, for example, a user can use P (a function of the leveraged token price over time) that takes γ (transaction fee) into consideration as a basis for making a decision.

[0135] Furthermore, according to the position adjustment device 1, the adjustment unit 13 may perform the position adjustment process at a predetermined time. This configuration makes it possible to more appropriately perform the process related to the position adjustment.

[0136] Furthermore, according to the position adjustment device 1, the adjustment unit 13 may perform the position adjustment process after a predetermined period has elapsed since the previous position adjustment. This configuration makes it possible to more appropriately perform the process related to the position adjustment.

[0137] Furthermore, according to the position adjustment device 1, the adjustment unit 13 performs position adjustment processing when the underlying asset price fluctuates by a first threshold or more, or performs position adjustment processing at a predetermined time or after a predetermined period has elapsed since the previous position adjustment processing, and may also perform position adjustment processing when the underlying asset price fluctuates by a second threshold or more that is greater than the first threshold at a time other than the predetermined time or even if the predetermined period has not elapsed. This configuration makes it possible to more appropriately perform processing related to position adjustment.

[0138] The position adjustment method of the present disclosure may have the following configuration.

[0139] [1] 1. A computer-implemented position adjustment method, comprising: a position calculation step of calculating a position for the underlying asset at a certain time based on an initial value of the underlying asset price, which is the price of the underlying asset, the underlying asset price at that time, the leverage applied to the underlying asset price, the risk-free rate, and the volatility of the underlying asset price; a position adjustment step of performing a position adjustment process, which is a process related to position adjustment, such as buying and selling of the underlying asset or the position, or issuance or amortization of the underlying asset, based on the position at the time calculated in the position calculation step; Position adjustment methods including.

[0140] [2] The underlying asset is a crypto asset. [1] The position adjustment method described above.

[0141] [3] The position calculation step includes: Calculating an initial value of the position based on an initial value of the underlying asset price, the leverage, and an initial value of a leveraged token price, which is the price of a leveraged token obtained by multiplying the underlying asset price by the leverage; calculating the position further based on the calculated initial value of the position; The position adjustment method according to [1] or [2].

[0142] [4] the position calculation step calculates the position further based on a transaction fee rate. The position adjustment method according to any one of [1] to [3].

[0143] [5] The position calculation step further calculates the leveraged token price at a certain time based on the initial value of the underlying asset price, the underlying asset price at the certain time, the leverage, an initial value of a leveraged token price which is the price of the leveraged token obtained by multiplying the underlying asset price by the leverage, the risk-free rate, and the volatility. The position adjustment method according to any one of [1] to [4].

[0144] [6] The position calculation step calculates the leveraged token price further based on a transaction fee rate. [5] The position adjustment method described in [5].

[0145] [7] The position adjustment step performs the position adjustment process at a predetermined time. The position adjustment method according to any one of [1] to [6].

[0146] [8] the position adjustment step performs the position adjustment process after a predetermined period has elapsed since the previous position adjustment process; The position adjustment method according to any one of [1] to [7].

[0147] [9] The position adjustment step includes: performing the position adjustment process when the price of the underlying asset fluctuates by a first threshold or more; Or, The position adjustment process is performed at a predetermined time or after a predetermined period has elapsed since the previous position adjustment process, and the position adjustment process is also performed when the underlying asset price fluctuates by more than a second threshold value that is greater than the first threshold value at a time other than the predetermined time or even if the predetermined period has not elapsed. The position adjustment method according to any one of [1] to [8].

[0148] The block diagrams used to explain the above embodiments show functional blocks. These functional blocks (components) are realized by any combination of at least one of hardware and software. Furthermore, the method for realizing each functional block is not particularly limited. That is, each functional block may be realized using a single device that is physically or logically coupled, or may be realized using two or more physically or logically separated devices that are directly or indirectly connected (for example, using wires, wirelessly, etc.) and these multiple devices. The functional block may also be realized by combining the single device or multiple devices with software.

[0149] Functions include, but are not limited to, judgment, determination, judgment, calculation, computation, processing, derivation, investigation, search, confirmation, reception, transmission, output, access, resolution, selection, election, establishment, comparison, assumption, expectation, consideration, broadcasting, notifying, communicating, forwarding, configuring, reconfiguring, allocation, mapping, and assignment. For example, a functional block (component) that performs transmission is called a transmitting unit or transmitter. As mentioned above, there are no particular limitations on how these functions are implemented.

[0150] For example, the position adjustment device 1 according to an embodiment of the present disclosure may function as a computer that performs processing of the position adjustment method of the present disclosure. Fig. 6 is a diagram showing an example of the hardware configuration of the position adjustment device 1 according to an embodiment of the present disclosure. The position adjustment device 1 described above may be physically configured as a computer device including a processor 1001, a memory 1002, a storage 1003, a communication device 1004, an input device 1005, an output device 1006, a bus 1007, etc.

[0151] In the following description, the term "apparatus" can be interpreted as a circuit, a device, a unit, etc. The hardware configuration of the position adjustment apparatus 1 may be configured to include one or more of the devices shown in the drawings, or may be configured to exclude some of the devices.

[0152] Each function in the position adjustment device 1 is realized by loading predetermined software (programs) onto hardware such as the processor 1001 and memory 1002, causing the processor 1001 to perform calculations, control communication via the communication device 1004, and control at least one of reading and writing data in the memory 1002 and storage 1003.

[0153] The processor 1001 controls the entire computer by running, for example, an operating system. The processor 1001 may be configured by a central processing unit (CPU) including an interface with peripheral devices, a control device, an arithmetic unit, a register, etc. For example, the above-mentioned acquisition unit 11, calculation unit 12, adjustment unit 13, output unit 14, etc. may be realized by the processor 1001.

[0154] The processor 1001 also reads programs (program codes), software modules, data, etc. from at least one of the storage 1003 and the communication device 1004 into the memory 1002 and executes various processes in accordance with the programs. The programs used are those that cause a computer to execute at least some of the operations described in the above-described embodiments. For example, the acquisition unit 11, calculation unit 12, adjustment unit 13, and output unit 14 may be implemented by a control program stored in the memory 1002 and running on the processor 1001, and similar implementations may be made for other functional blocks. While the above-described various processes have been described as being executed by one processor 1001, they may also be executed simultaneously or sequentially by two or more processors 1001. The processor 1001 may be implemented by one or more chips. The programs may also be transmitted from a network via a telecommunications line.

[0155] The memory 1002 is a computer-readable recording medium and may be configured, for example, by at least one of a read-only memory (ROM), an erasable programmable ROM (EPROM), an electrically erasable programmable ROM (EEPROM), a random access memory (RAM), etc. The memory 1002 may also be called a register, a cache, a main memory (primary storage device), etc. The memory 1002 can store executable programs (program codes), software modules, etc. for implementing a wireless communication method according to an embodiment of the present disclosure.

[0156] Storage 1003 is a computer-readable recording medium, and may be composed of at least one of, for example, an optical disk such as a CD-ROM (Compact Disc ROM), a hard disk drive, a flexible disk, a magneto-optical disk (e.g., a compact disk, a digital versatile disk, a Blu-ray disc), a smart card, a flash memory (e.g., a card, a stick, a key drive), a floppy disk, a magnetic strip, etc. Storage 1003 may also be referred to as an auxiliary storage device. The above-mentioned storage medium may be, for example, a database, a server, or other appropriate medium including at least one of memory 1002 and storage 1003.

[0157] The communication device 1004 is hardware (transmission / reception device) for communicating between computers via at least one of a wired network and a wireless network, and is also referred to as, for example, a network device, a network controller, a network card, or a communication module. The communication device 1004 may be configured to include a high-frequency switch, a duplexer, a filter, a frequency synthesizer, etc. to realize at least one of frequency division duplex (FDD) and time division duplex (TDD). For example, the above-mentioned acquisition unit 11, calculation unit 12, adjustment unit 13, output unit 14, etc. may be realized by the communication device 1004.

[0158] The input device 1005 is an input device (for example, a keyboard, a mouse, a microphone, a switch, a button, a sensor, etc.) that receives input from the outside. The output device 1006 is an output device (for example, a display, a speaker, an LED lamp, etc.) that outputs to the outside. The input device 1005 and the output device 1006 may be integrated into one device (for example, a touch panel).

[0159] Furthermore, each device, such as the processor 1001 and the memory 1002, is connected by a bus 1007 for communicating information. The bus 1007 may be configured using a single bus, or may be configured using different buses between each device.

[0160] Furthermore, position adjustment device 1 may be configured to include hardware such as a microprocessor, a digital signal processor (DSP), an application specific integrated circuit (ASIC), a programmable logic device (PLD), or a field programmable gate array (FPGA), and some or all of the functional blocks may be realized by the hardware. For example, processor 1001 may be implemented using at least one of these pieces of hardware.

[0161] Notification of information is not limited to the aspects / embodiments described in this disclosure, and may be performed using other methods.

[0162] Each aspect / embodiment described in the present disclosure may be applied to at least one of systems using LTE (Long Term Evolution), LTE-Advanced (LTE-A), SUPER 3G, IMT-Advanced, 4G (4th generation mobile communication system), 5G (5th generation mobile communication system), FRA (Future Radio Access), NR (New Radio), W-CDMA (registered trademark), GSM (registered trademark), CDMA2000, UMB (Ultra Mobile Broadband), IEEE 802.11 (Wi-Fi (registered trademark)), IEEE 802.16 (WiMAX (registered trademark), IEEE 802.20, UWB (Ultra-Wideband), Bluetooth (registered trademark), or other appropriate systems, and next-generation systems extended based on these. Furthermore, a combination of multiple systems (e.g., a combination of at least one of LTE and LTE-A with 5G, etc.) may also be applied.

[0163] The order of the procedures, sequences, flowcharts, etc. of each aspect / embodiment described in this disclosure may be changed unless it is consistent. For example, the methods described in this disclosure present elements of various steps using an example order, and are not limited to the particular order presented.

[0164] Input and output information may be stored in a specific location (for example, memory) or may be managed using a management table. Input and output information may be overwritten, updated, or added to. Output information may be deleted. Input information may be sent to another device.

[0165] The determination may be made based on a value represented by one bit (0 or 1), a Boolean value (true or false), or a numerical comparison (e.g., comparison with a predetermined value).

[0166] Each aspect / embodiment described in this disclosure may be used alone, in combination, or switched depending on the implementation. Furthermore, notification of predetermined information (e.g., notification that "X is true") is not limited to being done explicitly, but may be done implicitly (e.g., by not notifying the predetermined information).

[0167] Although the present disclosure has been described in detail above, it is clear to those skilled in the art that the present disclosure is not limited to the embodiments described herein. The present disclosure can be implemented in modified and altered forms without departing from the spirit and scope of the present disclosure as defined by the claims. Therefore, the description of the present disclosure is intended to be illustrative and does not have any limiting meaning on the present disclosure.

[0168] Software shall be construed broadly to mean instructions, instruction sets, code, code segments, program code, programs, subprograms, software modules, applications, software applications, software packages, routines, subroutines, objects, executable files, threads of execution, procedures, functions, etc., whether referred to as software, firmware, middleware, microcode, hardware description language, or otherwise.

[0169] Software, instructions, information, etc. may also be transmitted or received over a transmission medium. For example, if software is transmitted from a website, server, or other remote source using wired technologies (such as coaxial cable, fiber optic cable, twisted pair, Digital Subscriber Line (DSL)), and / or wireless technologies (such as infrared, microwave), then these wired and / or wireless technologies are included within the definition of transmission media.

[0170] The information, signals, etc. described in this disclosure may be represented using any of a variety of different technologies. For example, data, instructions, commands, information, signals, bits, symbols, chips, etc. that may be referred to throughout the above description may be represented by voltages, currents, electromagnetic waves, magnetic fields or magnetic particles, optical fields or photons, or any combination thereof.

[0171] In addition, terms explained in this disclosure and terms necessary for understanding this disclosure may be replaced with terms having the same or similar meanings.

[0172] As used in this disclosure, the terms "system" and "network" are used interchangeably.

[0173] Furthermore, the information, parameters, etc. described in this disclosure may be expressed using absolute values, may be expressed using relative values ​​from a predetermined value, or may be expressed using other corresponding information.

[0174] The names used for the above parameters are not limiting in any way, and furthermore, the mathematical formulas etc. using these parameters may differ from those explicitly disclosed in this disclosure.

[0175] As used in this disclosure, the terms "determining" and "determining" may encompass a wide variety of actions. "Determining" and "determining" may include, for example, judging, calculating, computing, processing, deriving, investigating, looking up, searching, inquiring (e.g., searching in a table, database, or other data structure), ascertaining, and the like. "Determining" and "determining" may also include receiving (e.g., receiving information), transmitting (e.g., sending information), input, output, accessing (e.g., accessing data in memory), and the like. Furthermore, "judgment" and "decision" can include regarding resolving, selecting, choosing, establishing, comparing, etc. as having been "judged" or "decided." In other words, "judgment" and "decision" can include regarding some action as having been "judged" or "decided." Furthermore, "judgment (decision)" can be interpreted as "assuming," "expecting," "considering," etc.

[0176] The terms "connected," "coupled," or any variation thereof, refer to any direct or indirect connection or coupling between two or more elements, and may include the presence of one or more intermediate elements between two elements that are "connected" or "coupled" to each other. The coupling or connection between elements may be physical, logical, or a combination thereof. For example, "connected" may be read as "access." As used in this disclosure, two elements may be considered to be "connected" or "coupled" to each other using one or more wires, cables, and / or printed electrical connections, as well as electromagnetic energy having wavelengths in the radio frequency range, microwave range, and optical (both visible and invisible) range, as some non-limiting and non-exhaustive examples.

[0177] As used in this disclosure, the phrase "based on" does not mean "based only on," unless expressly stated otherwise. In other words, the phrase "based on" means both "based only on" and "based at least on."

[0178] As used in this disclosure, any reference to an element using a designation such as "first," "second," etc. does not generally limit the quantity or order of those elements. These designations may be used in this disclosure as a convenient method of distinguishing between two or more elements. Thus, a reference to a first and a second element does not imply that only two elements may be employed or that the first element must in some way precede the second element.

[0179] The "means" in the configuration of each of the above devices may be replaced with "part," "circuit," "device," etc.

[0180] When used in this disclosure, the terms "include," "including," and variations thereof are intended to be inclusive, similar to the term "comprising." Furthermore, when used in this disclosure, the term "or" is not intended to be an exclusive or.

[0181] In this disclosure, where articles are added by translation, such as a, an, and the in English, the disclosure may include that the nouns following these articles are in the plural form.

[0182] In the present disclosure, the term "A and B are different" may mean "A and B are different from each other." The term may also mean "A and B are each different from C." Terms such as "separate" and "coupled" may also be interpreted in the same way as "different." [Explanation of symbols]

[0183] 1...position adjustment device, 2...terminal, 3...external DB server, 4...exchange server, 5...position adjustment system, 10...storage unit, 11...acquisition unit, 12...calculation unit, 13...adjustment unit, 14...output unit, 1001...processor, 1002...memory, 1003...storage, 1004...communication device, 1005...input device, 1006...output device, 1007...bus, P1...position adjustment program, P10...storage module, P11...acquisition module, P12...calculation module, P13...adjustment module, P14...output module.

Claims

1. 1. A computer-implemented position adjustment method, comprising: The position h at a certain time t for the underlying asset is expressed as the initial value h of the position h. ０ and the initial value S of the underlying asset price, which is the price of the underlying asset. ０ a position calculation step of calculating a position using the following formula (1) or formula (2) based on the underlying asset price S at the time t, the leverage n applied to the underlying asset price, the risk-free rate r, and the volatility σ of the underlying asset price: a position adjustment step of performing a position adjustment process, which is a process of position adjustment, such as buying and selling of the underlying asset or the position, or issuance or write-off of the underlying asset, based on the position h at the time t calculated in the position calculation step; Including, The position adjustment step includes: When the underlying asset price S fluctuates by a first threshold or more, the position adjustment process is performed. Or, the position adjustment process is performed at a predetermined time or after a predetermined period has elapsed since the previous position adjustment process, and when the underlying asset price S fluctuates by a second threshold value or more that is greater than the first threshold value even at a time other than the predetermined time or before the predetermined period has elapsed, the position adjustment process is performed by determining the trading volume of the underlying asset or the position, or the issuance volume or redemption volume of the underlying asset, based on the difference between the current position and the position h calculated in the position calculation step, and performing the trading, issuance, or redemption with the determined volume; How to adjust the position. [Equation 1] [Equation 2]

2. The position calculation step includes: The initial value S of the underlying asset price ０ The leverage n and the initial value P of the leveraged token price, which is the price of the leveraged token obtained by multiplying the underlying asset price by the leverage n. ０ The initial value h of the position is calculated by the following formula (3) based on ０ Calculate The position adjustment method according to claim 1 . h ０ =n*(P ０ / S ０ ) …(3)

3. 1. A computer-implemented position adjustment method, comprising: The position h at a certain time t for the underlying asset is expressed as the initial value h of the position h. ０ and the initial value S of the underlying asset price, which is the price of the underlying asset. ０ a position calculation step of calculating a position using the following formula (4) or formula (5) based on the underlying asset price S at the time t, the leverage n applied to the underlying asset price, the risk-free rate r, the volatility σ of the underlying asset price, and the transaction fee rate γ: a position adjustment step of performing a position adjustment process, which is a process of position adjustment, such as buying and selling of the underlying asset or the position, or issuance or write-off of the underlying asset, based on the position h at the time t calculated in the position calculation step; Including, The position adjustment step includes: When the underlying asset price S fluctuates by a first threshold or more, the position adjustment process is performed. Or, the position adjustment process is performed at a predetermined time or after a predetermined period has elapsed since the previous position adjustment process, and when the underlying asset price S fluctuates by a second threshold value or more that is greater than the first threshold value even at a time other than the predetermined time or before the predetermined period has elapsed, the position adjustment process is performed by determining the trading volume of the underlying asset or the position, or the issuance volume or redemption volume of the underlying asset, based on the difference between the current position and the position h calculated in the position calculation step, and performing the trading, issuance, or redemption with the determined volume; How to adjust the position. [Equation 3] [Equation 4]

4. The position calculation step calculates the initial value S of the underlying asset price. ０ The underlying asset price S at a certain time t, the leverage n, and the initial value P of the leveraged token price, which is the price of the leveraged token obtained by multiplying the underlying asset price by the leverage n. ０ and further calculate the leveraged token price P at the time t using the following formula (6) or formula (7) based on the risk-free rate r and the volatility σ. The position adjustment method according to claim 1 . [Equation 5] [Equation 6]

5. The position calculation step calculates the initial value S of the underlying asset price. ０ The underlying asset price S at a certain time t, the leverage n, and the initial value P of the leveraged token price, which is the price of the leveraged token obtained by multiplying the underlying asset price by the leverage n. ０ and further calculate the leveraged token price P at the time t using the following formula (8) or formula (9) based on the risk-free rate r, the volatility σ, and the transaction fee rate γ: The position adjustment method according to claim 1 . [Equation 7] [Equation 8]

6. The position h at a certain time t for the underlying asset is expressed as the initial value h of the position h. ０ and the initial value S of the underlying asset price, which is the price of the underlying asset. ０ a position calculation unit that calculates a position using the following formula (10) or formula (11) based on the underlying asset price S at the time t, the leverage n applied to the underlying asset price, the risk-free rate r, and the volatility σ of the underlying asset price: a position adjustment unit that performs a position adjustment process, which is a process of position adjustment that is buying or selling of the underlying asset or the position, or issuance or write-off of the underlying asset, based on the position h at the time t calculated by the position calculation unit; Equipped with The position adjustment unit When the underlying asset price S fluctuates by a first threshold or more, the position adjustment process is performed. Or, the position adjustment process is performed at a predetermined time or after a predetermined period has elapsed since the previous position adjustment process, and when the underlying asset price S fluctuates by a second threshold value or more that is greater than the first threshold value at a time other than the predetermined time or even if the predetermined period has not elapsed, the position adjustment process is performed by determining the trading volume of the underlying asset or the position, or the issuance volume or redemption volume of the underlying asset, based on the difference between the current position and the position h calculated by the position calculation unit, and performing the trading, issuance, or redemption with the determined volume; Position adjustment device. [Equation 9] [Equation 10]

7. Computer, The position h at a certain time t for the underlying asset is expressed as the initial value h of the position h. ０ and the initial value S of the underlying asset price, which is the price of the underlying asset. ０ and a position calculation unit that calculates a position using the following formula (12) or formula (13) based on the underlying asset price S at the time t, the leverage n applied to the underlying asset price, the risk-free rate r, and the volatility σ of the underlying asset price: a position adjustment unit that performs a position adjustment process, which is a process of position adjustment that is buying or selling of the underlying asset or the position, or issuance or write-off of the underlying asset, based on the position h at the time t calculated by the position calculation unit; It functions as The position adjustment unit When the underlying asset price S fluctuates by a first threshold or more, the position adjustment process is performed. Or, the position adjustment process is performed at a predetermined time or after a predetermined period has elapsed since the previous position adjustment process, and when the underlying asset price S fluctuates by a second threshold value or more that is greater than the first threshold value at a time other than the predetermined time or even if the predetermined period has not elapsed, the position adjustment process is performed by determining the trading volume of the underlying asset or the position, or the issuance volume or redemption volume of the underlying asset, based on the difference between the current position and the position h calculated by the position calculation unit, and performing the trading, issuance, or redemption with the determined volume; Position adjustment program. [0011] [0012]

Images