Research on the Blockchain Derivatives: Based on Time Series of Token Price Risk and Yield

Aiming at the new lending derivatives in the cryptocurrency market, this paper studies the value fluctuations and risk characteristics of Bitcoin as a basic product through Time Series Analysis and establishment of GARCH models. Based on the linkage between the value of financial derivatives and basic products, this paper analyzes the characteristics of cryptocurrency lending derivatives. The results show that Bitcoin yield has peak fat-tail characteristic and volatility clustering characteristic. Bitcoin has higher risk and leverage than traditional financial products. Investors have a higher response to the falling yields that have a greater impact on the market. As a cryptocurrency, Bitcoin has risk-compensating characteristics, and its price fluctuations last a long time. The results of this paper provide an important reference for the establishment of risk management mechanism and related policy regulations in the cryptocurrency market, and also provide risk warnings to market participants.