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  • Position Pool
  • Calculation

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  1. Whitepaper
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Risk Ratio

上一页Risk Exposure下一页Risk Control

最后更新于3年前

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The risk ratio marks the relative risk of the hAMM system.

Position Pool

At any moment, given the sum of total long positions XallX_{all}Xall​ and the sum of total short positions YallY_{all}Yall​ for all trading pairs, position pool PPP that stands for the all positions held can be illustrated as follows:

P=Xall−YallP=X_{all}-Y_{all}P=Xall​−Yall​
  • XXX is always positive, YYY is always negative, PPP is always positive.

The value of PPP determines the trading depth of the system.

The larger PPP is, the better liquidity and better risk capacity for that derivative.

Calculation

The formula of risk ratio VratioV_{ratio}Vratio​ is as follows:

Vratio=NcP=Xc+YcXall−YallV_{ratio}=\dfrac{N_c}{P}=\dfrac{X_c+Y_c}{X_{all}-Y_{all}}Vratio​=PNc​​=Xall​−Yall​Xc​+Yc​​
  • XXX is always positive and YYY is always negative.

  • The sign of VratioV_{ratio}Vratio​ means the direction of risk.

  • XcX_cXc​ and YcY_cYc​ are total long or short positions for current derivative, XallX_{all}Xall​ and YallY_{all}Yall​ are total long or short positions for all trading pairs.

Position mining feature is designed to increase position pool.

Position pool PPP is important to the risk control. When the value of PPP is large enough, although N≠0N\neq0N=0, the total risk ratio is still rather limited. When the value of PPP is small, a normal value of NNN will significantly increase the risk ratio.