[论文解读] Pricing ASICs for Cryptocurrency Mining

Aviv Yaish, Aviv Zohar|arXiv (Cornell University)|Feb 18, 2020

Blockchain Technology Applications and Security参考文献 21被引用 5

一句话总结

本文提出了一种基于金融期权的模型，以正确估算加密货币ASIC挖矿硬件的价格，表明矿工因忽视汇率波动而支付过高。通过将ASIC视为一组可在未来不同时间将电力转换为代币的期权组合，作者推导出无套利的公平价格，并证明历史上模仿债券与代币组合的表现优于实际挖矿硬件。

ABSTRACT

Cryptocurrencies that are based on Proof-of-Work (PoW) often rely on special purpose hardware to perform so-called mining operations that secure the system, with miners receiving freshly minted tokens as a reward for their work. A notable example of such a cryptocurrency is Bitcoin, which is primarily mined using application specific integrated circuit (ASIC) based machines. Due to the supposed profitability of cryptocurrency mining, such hardware has been in great demand in recent years, in-spite of high associated costs like electricity. In this work, we show that because mining rewards are given in the mined cryptocurrency, while expenses are usually paid in some fiat currency such as the United States Dollar (USD), cryptocurrency mining is in fact a bundle of financial options. When exercised, each option converts electricity to tokens. We provide a method of pricing mining hardware based on this insight, and prove that any other price creates arbitrage. Our method shows that contrary to the popular belief that mining hardware is worth less if the cryptocurrency is highly volatile, the opposite effect is true: volatility increases value. Thus, if a coin's volatility decreases, some miners may leave, affecting security. We compare the prices produced by our method to prices obtained from popular tools currently used by miners and show that the latter only consider the expected returns from mining, while neglecting to account for the inherent risk in mining, which is due to the high exchange-rate volatility of cryptocurrencies. Finally, we show that the returns made from mining can be imitated by trading in bonds and coins, and create such imitating investment portfolios. Historically, realized revenues of these portfolios have outperformed mining, showing that indeed hardware is mispriced.

研究动机与目标

• 解决当前基于简化预期回报模型（如'hashprice'）对加密货币挖矿ASIC定价不当的问题，这些模型忽视了汇率波动。
• 开发一个严谨的经济模型，考虑加密货币价格波动带来的风险，以评估挖矿硬件的价值。
• 证明任何不同于通过期权定价推导出的价格都会导致套利机会，从而确立正确的市场价格。
• 构建由债券和代币组成的投资组合，复制ASIC的现金流回报，但成本更低，从而证明物理硬件存在定价错误。

提出的方法

• 将挖矿硬件建模为一组金融期权，允许在不同未来时间将电力转换为挖出的加密货币。
• 运用金融理论中的风险中性定价方法，基于市场利率、电力成本和代币价格波动率，推导ASIC的公平价值。
• 将加密货币汇率波动纳入定价模型，表明更高的波动性会提升挖矿硬件的价值。
• 构建一个由无风险债券和所挖加密货币组成的复制投资组合，其现金流与ASIC完全一致，通过无套利条件证明公平价格。
• 使用历史数据对这些复制投资组合的表现与实际挖矿硬件回报进行回测。
• 应用算法计算任意给定挖矿设备的正确ASIC价格及其对应的复制投资组合。

实验结果

研究问题

• RQ1 在考虑加密货币汇率波动的情况下，ASIC挖矿硬件的正确经济价格是什么？
• RQ2 为何现有的挖矿计算器系统性地高估ASIC价格，其背后的金融机制是什么？
• RQ3 由债券和加密货币代币组成的投资组合能否复制挖矿硬件的回报？如果可以，其在实践中是否优于实际挖矿？
• RQ4 与普遍认知相反，加密货币价格波动如何影响挖矿硬件的内在价值？
• RQ5 这种定价错误对工作量证明区块链的长期安全性和去中心化有何影响？

主要发现

• 通过期权定价理论推导出ASIC挖矿硬件的正确价格，表明任何其他价格都会导致套利机会。
• 与普遍看法相反，加密货币价格波动越高，挖矿硬件的价值反而越大，而非越小。
• 模仿投资组合（由债券和加密货币代币构成）在历史上表现优于实际挖矿硬件，证明ASIC被高估。
• 广泛使用的'hashprice'指标未能考虑风险，因忽略汇率波动而系统性地错误定价挖矿硬件。
• 加密货币波动性的下降会降低挖矿硬件的价值，并使复制投资组合的维持成本更低，从而削弱矿工参与的激励，可能危害区块链安全。
• 该模型表明挖矿硬件在经济上等同于一组金融期权，且这种等价性可用于构建成本更低、效率更高的投资工具。