This paper studies the forecasting ability of cryptocurrency time series. This study is about the four most capitalized cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple. Different Bayesian models are compared, including models with constant and time-varying volatility, such as stochastic volatility and GARCH. Moreover, some crypto-predictors are included in the analysis, such as S\&P 500 and Nikkei 225. In this paper the results show that stochastic volatility is significantly outperforming the benchmark of VAR in both point and density forecasting. Using a different type of distribution, for the errors of the stochastic volatility the student-t distribution came out to be outperforming the standard normal approach.
Anthony Ngunyi, Simon Mundia, Cyprian Ondieki Omari
Cryptocurrencies have become increasingly popular in recent years attracting the attention of the media, academia, investors, speculators, regulators, and governments worldwide. This paper focuses on modelling the volatility dynamics of eight most popular cryptocurrencies in terms of their market capitalization for the period starting from 7th August 2015 to 1st August 2018. In particular, we consider the following cryptocurrencies; Bitcoin, Ethereum, Litecoin, Ripple, Moreno, Dash, Stellar and NEM. The GARCH-type models assuming different distributions for the innovations term are fitted to cryptocurrencies data and their adequacy is evaluated using diagnostic tests. The selected optimal GARCH-type models are then used to simulate out-of-sample volatility forecasts which are in turn utilized to estimate the one-day-ahead VaR forecasts. The empirical results demonstrate that the optimal in-sample GARCH-type specifications vary from the selected out-of-sample VaR forecasts models for all cryptocurrencies. Whilst the empirical results do not guarantee a straightforward preference among GARCH-type models, the asymmetric GARCH models with long memory property and heavy-tailed innovations distributions overall perform better for all cryptocurrencies.
I present a model of cryptocurrency price formation that endogenizes both the financial market for coins and the fee-based market for blockchain space. A cryptocurrency has two distinctive features: a price determined by the extent of its usage as money, and a blockchain structure that restricts settlement capacity. Limited settlement space creates competition between users of the currency, so speculative activity can crowd out monetary usage. This crowding-out undermines the ability of a cryptocurrency to act as a medium of payment, lowering its value. Higher speculative demand can reduce prices, contrary to standard economic models. Crowding-out also raises the riskiness of investing in cryptocurrency, explaining high observed price volatility.
This paper considers the development of attractive strategies featuring cryptocurrency assets, considering their costs and potential risks. The object of analysis in this paper is cryptocurrency as an investment instrument. The main hypothesis of the research is that modern portfolio theory can be applied to cryptocurrency investments to design an investment portfolio with appropriate risk and profitability characteristics. The authors of the paper: (i) place cryptocurrencies in the context of modern financial market and financial technology development;
This paper is motivated by a hypothesis that the long term value of a cryptocurrency is determined by its future use as money. For a cryptocurrency to be used as a medium of payment, it has to fulfill three independent functions: medium of exchange, a unit of account, and store of value. Currently, cryptocurrencies are held for investment purposes rather than being used for transactions and thus as a medium of exchange. For cryptocurrency to become widely adopted as a means of payment, it first needs to go through a very volatile period because speculative traders see long-run future value in the cryptocurrency. In order to soften transition from speculative asset to medium of payment a trading strategy is proposed, which provides liquidity and reduces volatility. Similar to pairs trading strategy, the proposed solution is based on cointegration and performed in three steps. The main difference is that proposed solution does not include shorting, but holding cryptocurrencies, thus increasing the total available cash and adding to the equilibrium price. Results from an ongoing experiment suggest that the proposed trading strategy is appealing for about 40% of cryptocurrency investors, as the struggle against volatility problem is accompanied by significant financial gains.
This study attempts to create a cryptocurrency classification metod and tool for reliability assessment from the point of view of investors and traders. The definition of the reliability of cryptocurrency and classification criteria is formulated. The following emphasizes how, using the support vector method, based on the available open data, it is possible to determine the reliability of Ethereum-based cryptocurrencies. As a result of testing, 15 reliable cryptocurrencies were identified and software was developed that allows you to collect and classify cryptocurrencies.
This study applies threshold regression model in a bivariate framework to explore the nonlinear and long-term relationship among daily Bitcoin and gold prices over the period April 2010 to December 2018. Our empirical results are threefold: first, we show that gold is a significant predictor of Bitcoin prices. Second, we find evidence of a non-linear relationship between Bitcoin and gold prices characterized rather by a two-regime relationship with a structural break occurring in October 2017. Third, we explain the existence at before the break, there is statistically significant, negative but weak causality indicating that Bitcoin is a speculative asset. However, after the break, the relationship becomes positive and strong revealing the diversifier and hedge properties of Bitcoin.
Vasilios A. Siris, Pekka Nikander, Spyros Voulgaris, Nikos Fotiou · 6 authors
While blockchains and more generally distributed ledger technologies (DLTs) are passing over their hype curve peak, their shortcomings are becoming more apparent. One relatively recent approach to address their performance, scalability, privacy, and other problems are to use multiple different DLTs instead of relying on just one. While there are no really established standards for combining several DLTs, a few repeating patterns can be observed. In this paper, we present a survey of interledger approaches, discussing and comparing their underlying mechanisms. A shared motivation for all of the discussed interledger solutions is to move away from the “one chain rules them all” model to one that allows the interconnection of multiple ledgers, with different features and advantages, while also supporting innovation. The interledger approaches discussed in this survey include (1) atomic cross-chain transactions, (2) transactions across a network of payment channels, (3) the W3C Interledger Protocol (ILP), (4) bridging, (5) sidechains, and (6) ledger-of-ledgers. The approaches are compared according to whether they support the transfer or the exchange of value, their interconnection trust mechanism, complexity, scalability, and transaction cost.
Distributed ledger technology (DLT) is set to transform the existing architectural models of financial institutions and government machineries. Although real estate transactions are a major source for the governments to earn revenue, these are plagued with the risk of fraudulent practices. The digital documents are vulnerable to the alteration or any other attacks or can be tampered and ownership of the documents can be changed. The centralised storage involves single point of failure as well as network traffic overhead. The proposed distributed and decentralised blockchain-based architecture provides protection against any intrusive activity which is offset by the majority voting achieved in consensus mechanism for each transaction and verification request. The proposed work provides web interface for user queries and analysis of query search time is carried out.
Blockchain has emerged as a promising technology to ensure trust between parties. By using this technology, we can establish a secure communication paradigm, where data integrity and immutability can be guaranteed. These inherited features underline blockchain as a suitable technology to optimise the adopted processing model in several domains, such as health, trade supply chain and food safety. In this paper, we present a detailed overview of the use of blockchain technology in (international) trade supply chains. Furthermore, the discussed proposals have been classified based on the target application scenarios. Our goal is to clarify the benefits of applying this technology to the trading domain and highlight the challenges that are associated with applying this technology to optimise the trading domain. Accordingly, we underline several issues that occur during the designing of the blockchain solution to optimise the (international) trade supply chain.
Abstract The use of blockchain technology has increased tremendously over the last decade. Blockchain continues to evolve and new features and capabilities are developed continuously. Although the use of the technology started in cryptocurrency (specifically, Bitcoin), it has expanded to other areas that can benefit from a shared, secure, ledger. This article investigates the potential impact of blockchain technology on the accounting profession. This article analyzes data security and privacy considerations, technology, adoption, and implementation considerations, and some considerations that relate specifically to accounting and auditing. We find that the unique needs of an accounting information system may not be a good match for blockchain as it currently exists. While we explain that blockchain may deliver many benefits, particularly in the areas of data reliability and the financial statement audit, we identify several factors, which raise significant questions about whether blockchain will ever be significantly integrated in the accounting function. Chief among those concerns is the scalability of the technology at an acceptable cost. While significant investment has and will be made for further development of blockchain business applications, it is our assessment that proponents of blockchain integration in accounting have not yet made the economic case for it. We also have significant concerns about whether blockchain technology can adequately address risks associated with data security and privacy. Addressing all these issues will be a minimum requirement for gaining widespread acceptance by firms and their accountants.
Xiaoliang Wang, Pengjie Zeng, Nick Patterson, Frank Jiang · 5 authors
Thanks to the rapid development in mobile vehicles and wireless technologies, the Internet of Vehicles (IoV) has become an attractive application that can provide a large number of mobile services for drivers. Vehicles can be informed of the mobile position, direction, speed, and other real-time information of nearby vehicles to avoid traffic jams and accidents. However, the environments of IoV could be dangerous in the absence of security protections. Due to the openness and self-organization of IoV, there are enormous malicious attackers. To guarantee the safety of mobile services, we propose an effective decentralized authentication mechanism for IoV on the basis of the consensus algorithm of blockchain technology. The simulation under the veins framework is carried out to verify the feasibility of the scheme in reducing the selfish behavior and malicious attacks in IoV.
Open access
Blockchain Technology Applications and Security
Vehicular Ad Hoc Networks (VANETs)
Advanced Steganography and Watermarking Techniques
Accurate and complete educational records are a valuable asset for people. In recent years, educational records have been digitized. However, there are still two key challenges that have not been resolved. One is to achieve secure and privacy-preserving storage of educational records, while another concern how to realize the sharing of educational records and ensure the security of the sharing process. In this paper, we propose EduRSS, a blockchain-based storage and sharing scheme for educational records is proposed, which combines blockchain, storage servers, and cryptography techniques to create a reliable and safe environment. In our proposal, the blockchain technology is used to ensure the security and reliability of data storage, while the smart contracts on the blockchain are used to regulate the process of storage and sharing. More precisely, the off-chain storage servers store the original educational records in encrypted form, while the hash information of the records is stored on the blockchain. The off-chain records are anchored periodically with the hash information on the blockchain to ensure the security of data storage. Cryptography techniques are utilized to handle records encryption and messages digital signature. To assess the effectiveness of EduRSS, we designed and tested a proof of concept of this scheme. The relative security analysis shows that EduRSS is safe and has a lower computational cost than that of the CP-ABE and the MA-CPABE schemes.
Blockchain has been emerged as a promising technology for a traceability system in industry. It can also be applied to many functions of a Supply Chain Management (SCM) system, such as logistics, quality assurance, inventory management, and forecasting. One of the most important functions of the SCM is to improve the transparency, traceability and auditability of materials flow throughout the supply chain from suppliers, manufacturing facilities, warehouses/distribution centers, to customers. This research especially focuses on the impact of blockchain on supply chain traceability through the current industry applications, and its future direction.
Stephan Zöllner, Kim‐Kwang Raymond Choo, Nhien‐An Le‐Khac
Bitcoin is popular not only with consumers, but also with cybercriminals (e.g., in ransomware and online extortion, and commercial online child exploitation). Given the potential of Bitcoin to be involved in a criminal investigation, the need to have an up-to-date and in-depth understanding on the forensic acquisition and analysis of Bitcoins is crucial. However, there has been limited forensic research of Bitcoin in the literature. The general focus of existing research is on postmortem analysis of specific locations (e.g. wallets on mobile devices), rather than a forensic approach that combines live data forensics and postmortem analysis to facilitate the identification, acquisition, and analysis of forensic traces relating to the use of Bitcoins on a system. Hence, the latter is the focus of this paper where we present an open source tool for live forensic and postmortem analysing automatically. Using this open source tool, we describe a list of target artifacts that can be obtained from a forensic investigation of popular Bitcoin clients and Web Wallets on different web browsers installed on Windows 7 and Windows 10 platforms.
Blockchain is one of the emerging technology in global. Blockchain is fundamentally an accounting and finance technology. In this paper, we discuss Blockchain technology in accounting and Distributed ledger technology (DLT), Triple-Entry Accounting and the Benefits of Blockchain-based accounting, a negative impact on Blockchain-based accounting. The focus on this paper is to explain an overview of the current Blockchain market size, leading countries in Blockchain technology, major companies using Blockchain Technology, Blockchain formation, types of Blockchain, and core components of Blockchain.
Blockchain, the distributed ledger technology underlying cryptocurrencies like Bitcoin, is poised to revolutionize industries and processes across disciplines. In particular, government agencies and companies are looking for ways to leverage blockchain’s efficiencies to facilitate safe record-keeping. Municipalities are employing blockchain-issued deeds to accurately record property ownership. Progressive legal professionals are employing blockchainissued “smart-contracts” to more accurately record contract terms. Intellectual property attorneys and related government agencies are researching blockchain-issued copyrights and patents. This Note examines how utilizing blockchain technology in securities trading to maintain accurate stockholder ledgers will allow for current market forces to be reflected in stockholder voting. Further, this Note seeks to address how blockchain-issued shares of stock could affect stockholder approved mergers and the exercise of appraisal rights. This Note posits that accurate stockholder ledgers will lead to an increase in stockholder approved mergers, but will not have an effect on the exercise of appraisal rights.
Cryptocurrencies, blockchain technology and smart contracts could fundamentally change the way how financial products and financial services are implemented and operated. While many frameworks for implementing such blockchain applications already exist, these are usually implemented using languages either considered “fancy” today, like e.g. Go, or are traditionally used for system software, such as C++. On the other hand, the core business applications e.g. in financial services are typically implemented using enterprise platforms such as Java Enterprise Edition (EE) and/or COBOL. Therefore, to improve the integration of blockchain technology in such applications, in this paper we argue in favor of a legacy-friendly distributed ledger solution by introducing QWICSchain, an implementation build on web services using established open-source enterprise technologies such as Java EE and PostgreSQL. It supports the parallel execution of transactions on the blockchain and in existing legacy applications, thus enabling the blockchain-based modernization of existing IT infrastructures.
This research project focuses on the impacts exerted by the tech schemes behind virtual currencies on the EU framework to prevent the misuse of the financial system and it aims to explore legal challenges posed in the IoM landscape by the double-edged nature of DLTs as both transparency and privacy-oriented. On the one hand, it plans to identify effective legislative and regulatory measures to ensure crypto accountability from an AML/CFT standpoint, as well as to assess the relevant role of pseudonymity. On the other hand, it pursues to discover innovative legal approaches to secure AML/CFT active cooperation in the crypto ecosystem(s), to the end of mitigating anonymity and traceability concerns while respecting both the value of publicity and transparency in the law and the conceptual origin of the crypto economy.
The vehicular ad-hoc networks (VANETs) is one of the most promising application in the communications of smart vehicles and the smart transportation systems. However, authentication and privacy of users are still two vital issues in VANETs. It is crucial to prevent internal vehicles from broadcasting the forged messages while preserving the privacy of vehicles against the tracking attack. Moreover, in the traditional mode, the transactional data storage provides no distributed and decentralized security, so that the third party initiates the dishonest behaviors possibly. In this paper, based on blockchain technique, we propose a traceable and decentralized the Internet of Vehicle system framework for communication among smart vehicles by employing of a secure access authentication scheme between vehicles and RoadSide Units (RSUs). On the one hand, this scheme allows that vehicles employ pseudonyms for Vehicle to Vehicle (V2V) and Vehicle to Infrastructure (V2I) communications anonymously in the non-fully trusted environment. On the other hand, the transparency of vehicles in authentication and announcement is preformed efficiently by the blockchain technology. In addition, the transaction information is tamper-resistant that provides the distributed and decentralized property for the different cloud servers. With the help of Certificate Authority (CA) and the RoadSide Units (RSUs), our proposal achieves the conditional privacy to trace the real identity of the malicious vehicle in the anonymous announcements as well. Finally, through the theoretical analysis and simulations, our scheme is able to construct a secure and decentralized system framework of VANETs with accountability and privacy preservation.