Follow blockchain research across journals, conferences, and preprint repositories.
959 results · page 23 of 40
Yang Guo, Jiasun Li, Mei Luo, Yintian Wang
No abstract is available for this record.
Kelly-Ann Coulter
No abstract is available for this record.
Ilesh Dattani Assentian, Nuria Ituarte Aranda
Abstract Financial regulation has changed significantly in the 10 years since the global financial crisis. Tougher, more detailed and more complex standards now apply to all aspects of regulation. In more recent times that regulation has been increasingly influenced by the widespread deployment of fintech introducing new services and applications whilst transforming how consumers interact with the more traditional existing banking services. This chapter introduces the context and focus of this most recent regulatory and supervisory authorities and highlights some of the key regulatory initiatives, existing and ongoing, designed to manage the key risks posed by the disruptive nature of the rapid digital transformation occurring in the sector. Technologies designed to sup-port aspects of these regulations are highlighted as part of practical guidance to support innovators in the sector and for those in the sector considering developing or deploying the increasing plethora of new applications utilizing emerging technologies like AI or distributed ledger technologies.
Karen Nershi
No abstract is available for this record.
Ran Duchin, David H. Solomon, Jun Tu, Xi Wang
No abstract is available for this record.
Julian Van Erlach
No abstract is available for this record.
Enchuan Shao
No abstract is available for this record.
Shaen Corbet, Yang Hou, Yang Hu, Les Oxley
Abstract Changing patterns of risk aversion may follow a non-linear counter-cyclical process. However, the evidence so far has not considered developing cryptocurrency markets. Given some unique features of cryptocurrencies, it is interesting to distinguish how these assets differ from traditional products. This paper investigates the time effects of periodicity on risk aversion for a selection of major cryptocurrencies compared to major financial assets. Significant periodic time-varying patterns are identified when analysing risk aversion. Further, bilateral and bidirectional Granger causalities are identified within cryptocurrencies, as well as between cryptocurrencies and traditional financial assets. Bitcoin is identified as a leading information transmitter of the spillover of risk aversion upon other cryptocurrencies, while estimated risk aversion of traditional financial markets plays a dominant role in the spillover processes upon the cryptocurrency cluster. The latter finding presents further evidence of developing cryptocurrency market maturity. The COVID-19 pandemic is found to have significantly influenced the connectedness of risk aversion among cryptocurrency and traditional financial markets.
Hilary J. Allen
No abstract is available for this record.
Anh H. Le
In this paper, I introduce a New Keynesian - Dynamic Stochastic General Equilibrium (NK-DSGE) model to examine the implications of CBDCs and cryptocurrency in an open economy for emerging markets. In our model, cryptocurrency is implemented as a form of deposit in banks where bankers can also receive deposits from abroad. Lastly, CBDCs are introduced as a payment and saving instrument. I find that cryptocurrency has a crucial role in banking sectors and a significant effect on the dynamic of foreign debt which is highly important for emerging markets. Moreover, I uncover that CBDCs can generate welfare gains but the gain varies with their designs.
Raphael Auer
No abstract is available for this record.
Jeremy Bertomeu, Xiumin Martin, Ibrahima Sall
No abstract is available for this record.
Brad Chandler, P.G. Stiles, Jared Blinken
No abstract is available for this record.
Hisham Farag, Di Luo, Larisa Yarovaya, Damian Zięba
We examine the liquidity provision premium in cryptocurrency markets using the returns from the short reversal strategy. We show that returns from liquidity provision can be predicted using the volatility index, realized variance, risk aversion, crash risk, tail risk, and innovations of Tether liquidity. We also find that<br/>an increase in the liquidity provision premium is associated with a decline in liquidity, trading volume, and transaction count, as well as more withdrawals, higher fees, and greater impermanent loss on Uniswap.<br/>This suggests potential competition between centralized and decentralized exchanges. Further, the liquidity provision premium of stock markets in China and Japan positively predicts the premium of cryptocurrency markets (effect of a common shock), meanwhile that of stock markets in the US and Canada negatively predicts the premium of cryptocurrency markets (substitution effect).
Adam J. Levitin
Cryptocurrency exchanges play a key role in the cryptocurrency ecosystem, serving not only as central marketplaces for buyers and sellers to trade, but also as custodians for their customers’ cryptocurrency holdings. Exchanges, however, are thinly regulated for safety-and-soundness and face major insolvency risks from their own proprietary investments and hacking. This Article considers what would happen to customers’ custodial holdings if a cryptocurrency exchange in the United States were to fail. Any custodial relationships can potentially be characterized as a debtor-creditor relationship between the custodian and customer, rather than an entrustment or bailment of property. U.S. law gives substantial protection to the custodial holdings of securities, commodities, or cash deposits by securities or commodities brokers or banks. No such regime exist, however, for custodial holdings of cryptocurrencies. Instead, bankruptcy courts might well deem the custodial holdings to be property of the bankrupt exchange, rather than of its customers. If so, the customers would merely be general unsecured creditors of the exchange, entitled only to a pro rata distribution of the exchange’s residual assets after any secured or priority creditors had been repaid. And, even if the holdings were ultimately deemed property of the customers, however, the customers would still experience extended disruption to their access to their holdings. Cryptocurrencies are designed to address a problem of transactional credit risk—the possibility of “double spending.” The lesson here is the credit risk can arise not just from active transacting in cryptocurrency, but also from passive holding of cryptocurrency. Because this passive holding risk turns on technical details of bankruptcy and commercial law, it is unlikely to be understood, much less priced, by most market participants. The result is a moral hazard in which exchanges are incentivized to engage in even riskier behavior because they capture all of the rewards, while the costs are externalized on their customers.
Christina Parajon Skinner
No abstract is available for this record.
Hossein Jahanshahloo, Felix Irresberger, Andrew Urquhart
This paper explores and describes historical on-chain transaction data recorded on the Bitcoin blockchain, constructs a panel of all individual Bitcoin users, and computes their balances in the cross-section and over time. We run clustering algorithms to combine addresses that belong to the same user into wallets and we find that using wallets over addresses as the unit of analysis allows for economically meaningful interpretations of user behavior. We identify and divide wallets into user categories - miners, exchanges, services, retail wallets and receiving-only addresses - and observe varying activity levels and balances in the cross-section and over time, corresponding to their intended role in the Bitcoin network. By matching historical transactions with minute-level price data, we estimate wallets' realized financial return and find that these user-types not only exhibit different transaction patterns and balances, but also different levels of financial performance. Our paper highlights opportunities for novel empirical research that exploits Bitcoin wallet-level data on individual user characteristics.
Valerie Laturnus
This paper studies when entrepreneurs disclose qualitative or soft firm information to raise external capital through token offerings. By using transaction-level blockchain data and real-time disclosure for a sample of 3,009 token offerings, this study demonstrates three main results. First, successful entrepreneurs report more soft information in the pre-announcement period when information asymmetry is high. Second, among all information items disseminated to investors, corporate strategy is the most value-relevant type of content. Third, during fundraising campaigns, soft information disclosure becomes costly because it increases the risk of creating investor disagreement. Consistent with theory, this study shows that a low-disclosure practice induces more investments when information asymmetry decreases.
Masaaki Fukasawa, Basile Maire, Marcus Wunsch
Impermanent Loss in Decentralized Finance can be hedged with weighted variance swaps
Ahto Buldas, Dirk Draheim, Mike Gault, Risto Laanoja · 11 authors
<p>Since its introduction with Bitcoin in 2009, blockchain technology has received tremendous attention by academia, industry, politics and media alike, in particular, through extended blockchain-based visions such as smart contracts, decentralized finance, and, most recently, Web3. The critical prerequisite for any such blockchain-based vision to be turned into reality is uncapped scalability. Furthermore, and equally important, blockchain technology needs to transcend the stage of specialized tokens into an adaptive, heterogeneous tokenization platform. In this paper, we explain the Alphabill family of technologies that addresses both unlimited scalability and unrestricted adaptivity. We deliver a sharded blockchain technology with unlimited scalability and performance, called KSI Cash, which is based on a new form of electronic money scheme, the bill scheme. We present performance tests of KSI Cash that we have conducted with the European Central Bank and a group of eight national central banks from the Eurosystem in order to assess the technological feasibility of a digital euro, showing the system operating with 100 million wallets and 15 thousand transactions per second (under simulation of realistic usage), having an estimated carbon footprint of 0.0001g CO2 per transaction (Bitcoin = 100 kg and more); furthermore, showing the system operating with up to 2 million payment orders per second, an equivalent of more than 300.000 transactions per second (in a laboratory setting with the central components of KSI Cash), scaling linearly in terms of the number of deployed shards. We explain, in detail, the key concepts that unlock this performance (i.e., the concepts of the bill money scheme). The results provide evidence that the scalability of our technology is unlimited in both permissioned and permissionless scenarios, resulting into the Alphabill Money technology. Next, we contribute the architecture of a universal tokenization platform that allows for universal asset tokenization, transfer and exchange as a global medium of exchange, called Alphabill platform. We reveal the crucial conceptual and technical contributions of the platform's architecture and their interplay, including the data structures of KSI Cash and Alphabill Money, the dust collection solution of Alphabill Money, and the atomic swap solution of the Alphabill platform.</p>
Stefan Scharnowski, Hossein Jahanshahloo
No abstract is available for this record.
Kanis Saengchote, Tālis J. Putniņš, Krislert Samphantharak
Decentralized Finance (DeFi) is built on a fundamentally different paradigm: rather than having to trust individuals and institutions, participants in DeFi potentially only have to trust computer code that is enforced by a decentralized network of computers. We examine a natural experiment that exogenously stress tests this alternative paradigm by revealing the identities of individuals associated with a DeFi protocol, including a convicted criminal. We find that, in practice, DeFi does not (yet) fully remove the need for trust in individuals. Our findings suggest that that because smart contracts are incomplete, they are subject to run risk (Allen and Gale, 2004) and personal character and trust of individuals are still relevant in this alternative financial system.
Hugo Inzirillo, Stanislas De Quenetain
Decentralized Finance (DeFi) is a new financial industry built on blockchain technologies. Decentralized financial services have consequently increased the ability to lend, borrow, and invest in decentralized investment vehicles, allowing investors to bypass third party intermediaries. DeFi's promise is to reduce the cost of transaction and management fees whilst increasing trust between agents of the Financial Industry 3.0. This paper provides an overview of the different components of DeFi, as well as the risks involved in investing through these new vehicles. We will also propose an allocation methodology which will integrate and quantify these risks.
Sean Wilkoff, Serhat Yildiz
No abstract is available for this record.