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

Abstract

This position adjustment method executed by a position adjustment device (1) includes: a position calculation step for calculating a position h at a given time and pertaining to an underlying asset, on the basis of an initial value S0 of an underlying asset price that is the price of the underlying asset, an underlying asset price at the given time, a leverage n that is applied to the underlying asset price, a risk-free rate r, and a volatility σ of the underlying asset price; and a position adjustment step for performing position adjustment processing, which is processing pertaining to a position adjustment that is the sale of the underlying asset or position, or issuance or depreciation of the underlying asset, on the basis of the position h at the given time that was calculated in the position calculation step.

Description

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

[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.

[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.

[0003] Japanese Patent Application Laid-Open No. 2002-157425

[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.

[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.

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

[0008] Fig. 1 is a diagram showing an example of the system configuration of a position adjustment system including a position adjustment device according to an embodiment. Fig. 2 is a diagram showing an example of the functional configuration of a position adjustment device according to an embodiment. Fig. 3 is a diagram showing an example of the configuration of a position adjustment program according to an embodiment. Fig. 4 is a flowchart showing an example of processing executed by the position adjustment device according to an embodiment. Fig. 5 is a flowchart showing another example of processing executed by the position adjustment device according to an embodiment. Fig. 6 is a diagram showing an example of the hardware configuration of a computer used in the position adjustment device according to an embodiment.

[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 the present invention is not limited to this.

[0013] An underlying asset is an asset that is the target of a derivative transaction. The 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 appropriately replaced with "crypt asset."

[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, rather than being sold immediately, 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 a user's operation, terminal 2 may execute a desired process 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 result 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 with 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, etc. in the position adjustment device 1, and the results of calculations, etc. 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 the 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 the initial value S of the underlying asset price, which is the price of the underlying asset. ０ (From now on, we will simply refer to it as "S ０"), the underlying asset price S (or S(t)) at time t (hereinafter simply referred to as "S" or "S(t)"), the leverage n (hereinafter simply referred to as "n") applied to the underlying asset price, the risk-free rate (the yield obtained from a financial product with almost zero risk when investing. Generally, the yield on savings or government bonds) r (hereinafter simply referred to as "r"), and the volatility (standard deviation) σ (hereinafter simply referred to as "σ") of the underlying asset price are used to calculate the position h (or h(t)) (hereinafter simply referred to as "h" or "h(t)") regarding the underlying asset at time t. S ０ , 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 calculates S ０ , n, and the initial value P of the leveraged token price (theoretical price), which is the price of the leveraged token multiplied by n. ０ (From now on, we will simply refer to it as "P ０ ") based on the initial value of the position h ０ (From now on, we will simply refer to it as "h" ０ ") is calculated, and the calculated h ０ Further based on (i.e., h ０ And, S. ０ , S, n, r, and σ), may be calculated.

[0037] The calculation unit 12 may calculate h further based on a transaction fee rate γ (hereinafter simply referred to as “γ”). ０ The calculation unit 12 may calculate h based on S, n, r, σ, and γ. ０ and n and P ０ Based on ０ Calculate the calculated h ０ And, S. ０ h may be calculated based on S, n, r, σ, and γ.

[0038] The calculation unit 12 calculates S ０ , S, n, and P ０The calculation unit 12 may further calculate the leveraged token price P (or P(t)) (hereinafter simply referred to as "P" or "P(t)") at time t based on S ０ , S, n, and P ０ Alternatively, the calculation unit 12 may calculate both h and P based on S ０ , S, n, and P ０ Alternatively, only P may be calculated based on , r, and σ.

[0039] The calculation unit 12 may calculate P further based on γ. ０ , S, n, and P ０ P and / or h may be calculated based on 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 output them 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 (mint) or write-off (burn) 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, when the exchange server 4 receives instruction information for performing a position adjustment from the adjustment unit 13, it performs a corresponding position adjustment based on the instruction information. In other words, a 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] We will now explain mint and burn. Crypto assets are issued by the issuer of the crypto asset using a mint, and are redeemed using a burn. In practice, this is done by writing a mint and burn to the blockchain that issues the crypto asset. A mint increases the amount of crypto asset in circulation, and a burn decreases the amount of crypto asset in circulation. Furthermore, 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 their held crypto assets, 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 at a time other than the fixed time (predetermined time) or even if the predetermined period has not elapsed (periodic / irregular position adjustment (described later)). In other words, 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 specified time or after a specified 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, even at a time other than the specified time or when the specified 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, a description will be given of a 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), the terminal 2 receives a leverage of n times. － (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, ＋ 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 (the acquisition unit 11 thereof) receives the P ０ , S ０ , r and σ are received (acquired) from the external DB server 3. ０ , S ０ , r, and σ may be received after receiving n from terminal 2. ０ , S ０ , r, and σ may not be received all at once in S1, but may be received at the timing when they become necessary in the processes of S2 and S3 described later. ０ , S ０ , r and a part of σ may be acquired from a source other than the external DB server 3 .

[0056] Following S1, the position adjustment device 1 (calculation unit 12 thereof) calculates h based on the following formula: ０ (Step S2, position calculation step). ０ = n * (P ０ / S ０ In the above formula, n and P ０ and S ０ The one received in S1 is used.

[0057] In the case of a long position contract, after a certain period of time has elapsed since S2, the position adjustment device 1 (the calculation unit 12 thereof) 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). In the above formula, h ０ is calculated in S2, and the remaining S ０ , n ＋ , r, and σ are those received in S1. Furthermore, the position adjustment device 1 (the calculation unit 12 thereof) calculates the leveraged token price P at time t in the case of a long position contract based on the following formula: ＋ (From now on, we will simply refer to it as "P ＋ ") may be calculated. In the above formula, P０ , S ０ , n ＋ , r and σ are those received in S1.

[0058] On the other hand, in the case of a short position contract, after a certain period has elapsed 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). In the above formula, h ０ is calculated in S2, and the remaining S ０ , n － , r, and σ are those received in S1. Furthermore, the position adjustment device 1 (the calculation unit 12 thereof) calculates the leveraged token price P at time t in the case of a short position contract based on the following formula: － (From now on, we will simply refer to it as "P － ") may be calculated. In the above formula, P ０ , S ０ , n － , r and σ are those received in S1.

[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 incorporated into the position adjustment device 1 as a single device (position adjustment device 1), and in S4, the position adjustment device 1 (the adjustment unit 13 thereof) may perform position adjustment based on h calculated in S3 (position adjustment step).

[0062] Figure 5 is a flowchart showing another example of processing executed by the position adjustment device 1. In Figure 5, S1 to S3 are the same as S1 to S3 in Figure 4, and therefore descriptions thereof will be omitted. Following S3, the calculation results are 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 (the 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, the position is adjusted (manually) based on the information output in S6 (step S7). The 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 by adding it to 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-mentioned Figures 4 and 5 are explanations of calculations by the fund program. Below, an explanation will be given of calculations by the hedge program. Basically, it is the same as the explanations in Figures 4 and 5, and only the differences will be explained. First, in S1, the position adjustment device 1 (the 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: In the above formula, γ is the value further received in S1 as described above. ＋ is replaced by the following formula: In the above formula, γ is the value further received in S1 as described above. － is replaced by the following formula: In the above formula, γ is the value further received in S1 as described above. － is replaced by the following formula: In the above formula, γ is the value further received in S1 as described above.

[0068] [Specific Example of Position Adjustment] A method of position adjustment will be described using a specific example. In this specific example, a case will be described in which Bitcoin (registered trademark) (BTC) is purchased for yen (JPY) and a transaction is started.

[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: ０ = n ０ *(P ０ / S ０ ) P ０ =650,000,000S ０ =6,500,000n ０ = 3 h ０ = 300 Note that n ０ is the initial value of n (hereafter simply referred to as "n ０ ").

[0070] At time t=1, if BTC rises and BTC / JPY = 7,150,000 (1.1 times), and the exponential term e(t=1) is calculated as 0.998, the calculation is as follows: S(1) = 7,150,000 P(1) = P ０ *(1.1)^3*0.998=1.328*P ０ h(1) = h ０ *(S(1) / S ０ )^(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 position adjustment processing and adjusts the long position of BTC to h ０ Send instructions to mint crypto assets (primary market) or to buy BTC or take a long position in BTC (secondary market) so that the total amount of BTC increases from 300 to 362.

[0071] If BTC falls at time t=2, BTC / JPY = 6,435,000 (0.9 times), and the exponential term e(t=2) = 0.996, the calculation is as follows: S(2) = 6,435,000 P(2) = P ０ * (S(2) / S ０ )^3*e(t=2)=P0*0.99^3*0.996=P ０ *0.966 h(2)=h ０ * (S(2) / S ０)^(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 burning so as to reduce the BTC long position to 292 (issuance market), or sends instruction information to instruct selling BTC or selling the BTC long position (secondary market).

[0072] [Funding Program: Details of the method for deriving the theoretical price of leveraged tokens] We will explain the details of how the theoretical price is derived in the funding program. The theoretical price can be derived using the following formula. In the case of n times long, n = n ＋ (positive value), in the case of n times short, n = -n － (negative value), and the theoretical prices of the cryptocurrencies are as follows: Long position ＋ , short position h － Then, the position required to obtain the theoretical price of a cryptocurrency can be calculated using the following formula:

[0073] S<S ０ In this case, the long position holding amount h ＋ becomes smaller as the asset price falls, and when the asset price S falls to 0, the holdings h ＋ becomes 0 when S=0, and at the same time, P ＋ The decrease in positions (h) during asset price declines is zero, but it never becomes negative. ＋ becomes smaller as S becomes smaller) ensures that leveraged token prices do not go negative if the asset price falls.

[0074] Conversely, if the asset price rises, the current price S > S ０ In this case, the price of a conventional leveraged product that does not undergo position adjustment will also rise due to the above derivation, but the leveraged token price calculated by the position adjustment device 1 will increase at a higher rate than the price of a conventional leveraged product.

[0075] The price increase of a conventional leveraged product without position adjustment when following the leveraged trading derivation formula is shown in the following formula.

[0076] The increment in the leveraged token price by the position adjustment device 1 is expressed by the following formula:

[0077] Here, S>S ０ So, ΔP ＋ > △P, meaning that leveraged token holders will make more profit 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 conceptual calculation process can be explained by 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, the values ​​of the underlying asset and leveraged token price at time t can be calculated. (3) From the leveraged token price, long and short positions can be calculated. (4) From the calculated values, the selling / buying of leveraged tokens and the issuance / redemption of crypto assets are carried out.

[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.

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

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

[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).

[0085] (5) Using Ito's formula below, we can solve this stochastic differential equation: The underlying asset price S at time t ｔ and cryptocurrency price P ｔ The value of is calculated as follows:

[0086] (6) S ｔ The solution of P ｔ and eliminating e^σW, the following equation is obtained:

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

[0088] (8) Derive the formula for h. Based on h=n*(P / S), calculate h from the above formula as follows: In this way, it is possible to derive leveraged token prices and positions from geometric Brownian motion, Ito's formula, and financing costs.

[0089] [Hedging Program: Details of the Theoretical Price Derivation Method] The following explains the details of the theoretical price derivation method for the hedging program. It is possible to perform a more detailed calculation 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 rate of the market price of the underlying asset triggers an adjustment at Δr, and Δr = ΔS / S, the fluctuation between positions can be expressed as follows:

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

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

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

[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.

[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:

[0095] [Timing of position adjustment processing] Depending on how the position adjustment processing 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 hedge programs. Below, semi-continuous position adjustment and periodic / irregular position adjustment are explained. In addition, a method for estimating costs in order to pass on transaction costs incurred during management to prices is also explained.

[0096] [Semi-continuous position adjustment] Semi-continuous position adjustment is a method of performing position adjustment processing when the underlying asset fluctuates by more than a predetermined value (an example will be described later). 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 change is as follows:

[0097] Assuming that position adjustment processing is performed every time the underlying asset price fluctuates by 1%, Δr is a 1% price fluctuation, and h ０ is the initial position to be adjusted. The smaller the price fluctuation Δr that triggers the position adjustment process, the closer the leveraged token price can be to the theoretical price through continuous position adjustment. The more frequently the position adjustment process is performed, the better the tracking of the theoretical price will be and the more the leverage ratio can be kept constant. However, the disadvantage is that the more frequently the position adjustment process is performed, the higher the transaction costs and consumption costs due to price fluctuations will increase.

[0098] The frequency and example of semi-continuous position adjustment will be explained. Regarding the method for deriving the number of triggers for the position adjustment process, 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 triggered position adjustment processes, A, can be expressed by the following formula:

[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, 70 position adjustment processes are triggered by the leveraged long token.

[0100] (Example) In a 3x leveraged long position, the underlying asset price is rising and position adjustments are made every time the price changes by 1%, and in the case of a 3x long leveraged token, if 70 position adjustments are made, then according to the above formula, P ＋ =P ０ *(1+3*0.01)^70=7.91P ０ In the case of a 3x short leveraged token, if 70 position adjustment transactions occur, then according to the above formula, P － =P ０ *(1-3*0.01)^70=0.118P ０ This becomes:

[0101] (Example) In a 3x leveraged short position, where the underlying asset price is falling 16.7% every day and position adjustments are made 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 made every time x falls by 1%, the number of position adjustments made per day can be calculated using the following formula: At this point, for a 3x Leveraged Token with a short position, the Leveraged Token price will be adjusted as follows: P － =1.03^18.35=1.719*P ０ If there is a 16.7% decrease for two consecutive days, P － =1.03^(18.35*2)=1.719^2*P ０ = 2.95 * P ０ This is 2.95 times the original price.

[0102] [Periodic / Irregular Position Adjustment] Periodic / irregular position adjustment is performed less frequently and the actual leverage fluctuations are larger. Periodic / irregular position adjustment is 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, if Δr fluctuates extremely, a temporary position adjustment process is initiated. 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, and Δr is limited to 20% each time the position adjustment process is triggered. Thus, in the irregular position adjustment, upper and lower limits are set on the token leverage.

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

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

[0108] For example, if you are 3x leveraged long and the price fluctuations due to irregular position adjustments are 20% up or down, the actual leverage range will be [2.25, 6], and if you are 3x leveraged short and the price fluctuations due to irregular position adjustments are 20% up or down, the actual leverage range will be [1.5, 9].

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

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

[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: dS ｔ : Increment. Example: Change in the price of a financial instrument. dW ｔ : Increment of Brownian motion (Wiener process). μ: Underlying asset price S ｔ σ: Constant for expected return on assets. σ: Constant for volatility (in financial engineering, this indicates the intensity of fluctuations in asset prices).

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

[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.

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

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

[0116] (8) Now, returning 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:

[0117] (9) From this equation, we obtain the following:

[0118] (10) The value (initial value) at t = 0 is P ０ This gives us the following:

[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).

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

[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:

[0122] [Background Art] Conventional techniques include derivatives trading of futures products. In conventional derivatives trading, the initial position is ０ , the initial derivative product price is P ０ , the initial underlying price is S ０ , the initial leverage factor of the derivative product is n ０ Then, the first position h ０ teeth, This becomes:

[0123] [Issues] In conventional derivative transactions, subsequent positions are always held ０ As it is, h = h ０ So, if you have such a derivative product and the price of the underlying asset is S, the price P of the derivative product will be as follows.

[0124] Here, if the right-hand side of the equation is negative, that is, In this case, the price of the derivative product will be P<0. In other words, the value of the derivative product will become negative. Normally, with derivative products, margin must be prepared in preparation for such an event, but if the loss exceeds the amount of margin, the derivative product will go bankrupt. In other words, the derivative product will be forced to liquidate, in which case the entire margin will be lost.

[0125] For example, 2x leverage (n０ = 2), the underlying asset price S is S ０ A derivative product will go bankrupt if the underlying asset price falls by more than 50% from its original value, 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 the Position Adjustment Device 1] In contrast, the leveraged token using the position adjustment device 1 can accurately predict the price movements of the underlying cryptocurrency and adjust the position (long, short) through 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 charged each time a transaction is transferred to another account, or when a transaction is 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 vary 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] According to the position adjustment device 1, S ０and 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, according to the position adjustment device 1, the underlying asset may be a crypto asset. This configuration makes it possible to more appropriately perform processing related to position adjustment of crypto assets.

[0131] Furthermore, according to the position adjustment device 1, the calculation unit 12 calculates S ０ and n and P ０ Based on ０ Calculate the calculated h ０ With this configuration, h may be calculated based on ０ It is possible to perform processing related to position adjustment taking into account (initial value of position).

[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 calculates S ０ , S, n, and P ０ P may be further calculated based on , r, and σ. This configuration allows, for example, a user to 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 (the 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] A position adjustment method executed by a computer, comprising: a position calculation step of calculating a position for an underlying asset at a certain time based on an initial value of an 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, a 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, such as buying and selling of the underlying asset or the position, or the issuance or write-off of the underlying asset, based on the position at that time calculated in the position calculation step.

[0140] [2] The position adjustment method according to [1], wherein the underlying asset is a crypto asset.

[0141] [3] The position adjustment method according to [1] or [2], wherein the position calculation step calculates 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; and calculates the position further based on the calculated initial value of the position.

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

[0143] [5] The position adjustment method according to any one of [1] to [4], wherein the position calculation step further calculates the leveraged token price at a certain time based on an 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.

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

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

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

[0147] [9] The position adjustment method according to any one of [1] to [8], wherein the position adjustment step performs the position adjustment process when the underlying asset price fluctuates by a first threshold or more, or performs the position adjustment process at a predetermined time or after a predetermined period has elapsed since the previous position adjustment process, and also performs the position adjustment process 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.

[0148] The block diagrams used to explain the above embodiments show functional blocks. These functional blocks (components) are realized by any combination of hardware and / or 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 (e.g., wired, wireless, etc.) and these multiple devices. The functional block may also be realized by combining software with the single device or multiple devices.

[0149] Functions include, but are not limited to, judgment, determination, assessment, calculation, computation, processing, derivation, investigation, search, confirmation, reception, transmission, output, access, resolution, selection, selection, establishment, comparison, assumption, expectation, consideration, broadcasting, notifying, communicating, forwarding, configuring, reconfiguring, allocating, 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 above-described position adjustment device 1 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 apparatuses shown in the drawings, or may be configured to exclude some of the apparatuses.

[0152] Each function in the position adjustment device 1 is realized by loading specified software (programs) onto hardware such as a processor 1001 and a memory 1002, causing the processor 1001 to perform calculations, control communication via a communication device 1004, and control at least one of reading and writing data in the memory 1002 and the 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 programs 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 used 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 by, for example, at least one of a read-only memory (ROM), an erasable programmable read-only memory (EPROM), an electrically erasable programmable read-only memory (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 (registered trademark) disk), a smart card, a flash memory (e.g., a card, a stick, a key drive), a floppy (registered trademark) 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, a communication module, etc. 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 (e.g., 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 (e.g., a display, a speaker, an LED lamp, etc.) that outputs to the outside. Note that the input device 1005 and the output device 1006 may be integrated into one device (e.g., 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, the 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, the 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-Wide Band), Bluetooth (registered trademark), or other suitable systems, and next-generation systems enhanced 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 transmitted 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] The aspects / embodiments described in this disclosure may be used alone, in combination, or switched depending on the implementation. Notification of predetermined information (e.g., notification that "X is true") is not limited to explicit notification, but may be implicit (e.g., 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 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, all of which are considered to be "determining." "Determining" and "determining" may also include resolving, selecting, choosing, establishing, comparing, and the like, all of which are considered to be "determining." In other words, "judgment" and "decision" can include regarding some action as having been "judged" or "decided." Also, "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 the terms "include," "including," and variations thereof are used in this disclosure, these terms are intended to be inclusive, similar to the term "comprising." Furthermore, when the term "or" is used in this disclosure, it 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."

[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. A position adjustment method executed by a computer, comprising: a position calculation step of calculating a position for an underlying asset at a certain time based on an initial value of an 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, a 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 for position adjustment that is buying and selling of the underlying asset or the position, or the issuance or write-off of the underlying asset, based on the position at that time calculated in the position calculation step.

2. The position adjustment method according to claim 1, wherein the position calculation step calculates 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; and calculates the position further based on the calculated initial value of the position.

3. The position adjustment method according to claim 1, wherein the position calculation step calculates the position further based on a transaction fee rate.

4. The position adjustment method according to claim 1, wherein 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.

5. The position adjustment method according to claim 4, wherein the position calculation step calculates the leveraged token price further based on a transaction fee rate.

6. The position adjustment method according to claim 1, wherein the position adjustment step performs the position adjustment process when the underlying asset price fluctuates by a first threshold or more, or performs the position adjustment process at a predetermined time or after a predetermined period has elapsed since the previous position adjustment process, and also performs the position adjustment process 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.

7. A position adjustment device comprising: a position calculation unit that calculates a position for an underlying asset at a certain time based on an initial value of an 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, a risk-free rate, and the volatility of the underlying asset price; and a position adjustment unit that performs position adjustment processing, which is processing related to 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 at that time calculated by the position calculation unit.

8. A position adjustment program that causes a computer to function as: a position calculation unit 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 a position adjustment unit that performs position adjustment processing, which is processing related to position adjustment, such as buying and selling of the underlying asset or the position, or the issuance or write-off of the underlying asset, based on the position at that time calculated by the position calculation unit.

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