Follow blockchain research across journals, conferences, and preprint repositories.
9,726 results · page 317 of 406
Zuha Samsudeen, Dhanushka Perera, M. Fernando
No abstract is available for this record.
John Taskinsoy
No abstract is available for this record.
Michael L. Mark, Jan Šíla, Thomas A. Weber
We construct a ‘reflexivity’ index to measure the activity generated endogenously within a market for cryptocurrencies. For this purpose, we fit a univariate self-exciting Hawkes process with two classes of parametric kernels to high-frequency trading data. A parsimonious model of both endogenous and exogenous dynamics enables a direct comparison with exchanges for traditional asset classes, in terms of identified branching ratios. We also formulate a ‘Hawkes disorder problem,’ as generalization of the established Poisson disorder problem, and provide a simulation-based approach to determining an optimal observation horizon. Our analysis suggests that Bitcoin mid-price dynamics feature long-memory properties, well explained by the power-law kernel, at a level of criticality similar to fiat-currency markets.
Darko Blazevic, Fredrik Marcusson
This study examines and compares the volatility in sample fit and out of sample forecast of four different heteroscedasticity models, namely ARCH, GARCH, EGARCH and GJR-GARCH applied to Bitcoin, Ethereum and Ripple. The models are fitted over the period from 2016-01-01 to 2019-01-01 and then used to obtain one day rolling forecasts during the period from 2018-01-01 to 2019-01-01. The study investigates three different themes consisting of the modelling framework structure, complexity of models and the relation between a good in sample fit and good out of sample forecast. AIC and BIC are used to evaluate the in sample fit while MSE, MAE and R2LOG are used as loss functions when evaluating the out of sample forecast against the chosen Parkinson volatility proxy. The results show that a heavier tailed reference distribution than the normal distribution generally improves the in sample fit, while this generality is not found for the out of sample forecast. Furthermore, it is shown that GARCH type models clearly outperform ARCH models in both in sample fit and out of sample forecast. For Ethereum, it is shown that the best fitted models also result in the best out of sample forecast for all loss functions, while for Bitcoin non of the best fitted models result in the best out of sample forecast. Finally, for Ripple, no generality between in sample fit and out of sample forecast is found.
Timothy Peterson
No abstract is available for this record.
Georgia Avarikioti, Lukas Käppeli, Yuyi Wang, Roger Wattenhofer
We prove Bitcoin is secure under temporary dishonest majority. We assume the adversary can corrupt a specific fraction of parties and also introduce crash failures, i.e., some honest participants are offline during the execution of the protocol. We demand a majority of honest online participants on expectation. We explore three different models and present the requirements for proving Bitcoin's security in all of them: we first examine a synchronous model, then extend to a bounded delay model and last we consider a synchronous model that allows message losses.
John Taskinsoy
Blockchain and distributed ledger technology (DLT) are used interchangeably. In the aftermath of the 2008 global financial crisis, Bitcoin gave birth to blockchain, or vice versa. A decade has passed since the launch of the first successful cryptocurrency in January 2009 by a mysterious creator under the alias Satoshi Nakamoto. Now along with Bitcoin, 2,915 altcoins are trading with a combined market cap of $222 billion, Bitcoin’s market cap alone is $150 billion (67.6% of the market). Blockchain’s potential is much bigger than Bitcoin; if regulatory uncertainty alleviates, the blockchain’s value can easily increase by hundred-fold to $3 to $4 trillion dollars by 2030. Although financial sector leads blockchain adoption, blockchain’s opportunities in non-financial sectors are immense. In the simplest terms, blockchain is a distributed ledger made up of two parts, blocks containing of data and a chain that holds them together. Blocks are like storage units that store anything of value related to minting coins (i.e. Bitcoin) via a mining process and keeps a chronology of transactions (e-commerce); chain can be metaphorically viewed as a string that holds all the blocks together, created using a consensus algorithm based on proof-of-work (PoW) or proof-of-stake (PoS). Blockchains are often organized into three most common forms; as such, public blockchain (purely peer-to-peer, decentralized and permissionless; any miner (i.e. node) at any time can access the network to add, verify or validate data without restrictions), private blockchain (permissioned, it is controlled by a central authority which grants permission to pre-selected people who can add and verify records), and consortium blockchain (also formed as permissioned, a group of nodes governs all transactions). It is true that blockchain provides anonymity making identities of its users pseudonymous; but contrary to popular belief, blockchain will not possibly solve all our problems and a permissionless blockchain will not guarantee complete privacy since all transactions become visible to all nodes of the network.
Kris Joseph
The 2008 debut of Bitcoin marked the first large-scale implementation of blockchain technology, and its decentralized approach to monetary systems has since been abstracted to more generalized purposes like distributed computing. Platforms like Ethereum, which function as a global, decentralized computing and data storage system, promise to bring the cost of decentralized knowledge production in line with the efficiencies afforded by the centralized, integrated computing systems that currently dominate the knowledge economy. Blockchain technologies have been investigated for a wide range of information management purposes, but their exploration within the realm of library and information studies has largely been nascent. Though many applications within the field have been envisioned, few have been explored in depth. Among the many functions performed in the field of librarianship, the work of cataloguers—which has always been performed in a decentralized manner—represents an intriguing use case. A review of current shared-cataloguing practices reveals that catalogues have become largely-centralized, divorced from public participation, dominated by an ethos of efficiency at the cost of quality, and essentially unaltered since the shift from physical to electronic catalogue storage more than 40 years ago. The evolution of blockchain technologies, paired with an intentional approach to shared catalogues that is open for use, transparency, and public participation, is explored in a conceptual framework and design based on the Ethereum platform. A theoretical design scheme grounded in the affordances of Ethereum, shaped by the principles of open source software development, and guided by the best practices of existing social information production systems results in a proposal for Catagora: an open source, open-for-use, transparent and participatory shared-cataloguing platform that reverses the trend towards architectural and political centralization and promises novel catalogue features such as complete revision history and distributed collaboration on the content and quality of catalogue entries. Blockchain technology, alone, cannot disrupt shared cataloguing practices; such a shift involves the voluntary and eager participation of cataloguers and members of the public in order to sustain and grow the system. The Catagora design concept presented in this thesis incorporates accessibility, collaboration and reputational systems that are intended to foster open participation, but these alone cannot guarantee a thriving, shared-cataloguing alternative to existing systems. Further exploration, in the form of a live implementation, is warranted; and lessons from existing large-scale library technology projects suggest that a centrally-coordinated implementation, targeting key cataloguing partners and driven by a passionate project champion, may provide a more complete picture of the blockchain’s potential to support open, shared cataloguing for the benefit of information seekers.
A.K.M. Najmul Islam, Matti Mäntymäki, Marja Turunen
This paper investigates the focal actors and their heterogeneity in blockchain splits. Disagreements in blockchain communities often lead to splits in the blockchain and the community. For example, disagreements within the Bitcoin community on increasing the block size led to the blockchain split and creation of Bitcoin Cash. We build on actor-network theory to investigate blockchain split as a translation process, and employ case study methodology to examine Bitcoin splits. We identify several human actors, such as miners, developers, merchants, and investors, as well as non-human actors including ideologies, exchanges and computer programs involved in Bitcoin splits. Our results show that actor heterogeneity, that is, the complex constellation of diverse actors, plays a key role in blockchain splits. We further describe how the human and non-human actors’ fluid moves into micro and macro positions in the network affect the development of the split. We also discuss the role of these actors and their engagement in forming micro and macro agencies in blockchain splits. Our study adds to the understanding of actor behavior and network dynamics in decentralized information systems such as blockchain and open source software.
Argimiro Arratia, Albert X. López-Barrantes
In early 2018 prices peaked at USD 20,000 and, almost two years later, we still continue debating if cryptocurrencies can actually become a currency for the everyday life or not. From the economic point of view, and playing in the field of behavioral finance, this paper analyses the relation between prices and the search interest on Bitcoin since 2014. We questioned the forecasting ability of Google Trends for the behavior of price by performing linear and nonlinear dependency tests, and exploring performance of ARIMA and Neural Network models enhanced with this social sentiment indicator. Our analyses and models are founded upon a set of statistical properties common to financial returns that we establish for Bitcoin, Ethereum, Ripple and Litecoin.
Carlos Conesa
In October 2008 a mysterious article was published under the pseudonym Satoshi Nakamoto: “Bitcoin: a peer-to-peer electronic cash system”. Bitcoin’s entry into operation some months later in early 2009 barely caused a ripple. Since then, the scheme has accumulated more than half a million blocks in its blockchain and they include more than 300 million transactions. In view of the media impact of Bitcoin, it is worth explaining in some detail how Bitcoin works and what its limitations are. This article reviews the aims and basic functioning of Bitcoin, analyses its strengths and weaknesses, and discusses its usefulness as an exchange mechanism.
Dirk G. Baur, Josua Oll
No abstract is available for this record.
Theodore Panagiotidis, Thanasis Stengos, Orestis Vravosinos
We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010–2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy uncertainty and stock market volatility are among the most important variables for bitcoin. We also trace strong evidence of bubbly bitcoin behavior in the 2017–2018 period.
Bruno Bogaz Zarpel�ão, Rodrigo Sanches Miani, Muttukrishnan Rajarajan
No abstract is available for this record.
Ming Jin, Xiaojiao Chen, Sian-Jheng Lin
With the popularity of Bitcoin, there is a greater demand for the scalability of the Bitcoin blockchain, which is susceptible to the efficiency of block propagation. In the Bitcoin blockchain, efficient block propagation approach can reduce the computing power and the risk of forks. Meanwhile, larger blocks help to improve the throughput of transactions. Thus, the block propagation is a major issue of the scalability of the Bitcoin network. This paper introduces a method to reduce the required bandwidth of block propagation with erasure coding. To begin with, the network nodes are classified into several clusters. When a node wants to propagate a block, the node does not need to propagate the whole information of the block. Instead, the node can only transmit the transaction IDs and the coded information to each cluster. The simulation shows that the proposed method can significantly ease the network traffic among these clusters.
Jun Deng, Huifeng Pan, Shuyu Zhang, Bin Zou
No abstract is available for this record.
Roberto Frota Décourt, Usman W. Chohan, Maria Letizia Perugini
No abstract is available for this record.
Afzalur Rahman, Ayub Khan Dawood
There are diverse variables that impact the future usage of bitcoin, from issues related to security to concerns pertaining to garnering acceptance from the market and customers. In this article, few predictive statements have been analysed regarding the future of bitcoin, such as (1) the growth of share of digital purchases, (2) customer acceptance for blockchain innovation in electronic settlements, payment and banking system, (3) the emergence of bitcoin and also various other cryptocurrencies as niche cash, and (4) the implications of bitcoin or some other cryptocurrency as a specific niche cash in nations with specifically weak currency, and (5) the possibilities of regulative dangers of bitcoin usage in these nations.
Matthias Lehmann
Blockchain, or “distributed ledger” technology, has been devised as an alternative to the law of finance. While it has become clear by now that regulation in the public interest is necessary, for example to avoid money laundering, drug dealing or tax evasion, the particularly thorny issues of private law have been less discussed. These include, for instance, the right to reverse an erroneous transfer, the ownership of stolen coins and the effects of succession or bankruptcy of a bitcoin holder. All of these questions require answers from a legal perspective because the technology ignores them. Particular difficulties arise when one tries to apply a property analysis to the blockchain. Surprisingly, it is far from clear how virtual currencies and other crypto assets are transferred and acquired. The traditional requirements posed by private law, such as an agreement between the parties and the transfer of possession, are incompatible with the technology. Moreover, the idea of a "void" or "null" transfer is hard to reconcile with the immutability that characterizes the blockchain. Before any such questions can be answered, it is necessary to determine the law governing blockchain transfers and assets. This is the point where conflict of laws, or “private international law”, comes into play. Conflicts lawyers are used to submitting legal relations to the law of the country with the most significant connection. But seemingly insurmountable problems occur because decentralized ledgers with no physical connecting factors do not lend themselves to this type of “localization” exercise. The issue of this paper therefore is: How can blockchain be squared with traditional categories of private law, including private international law? The proposal made herein avoids the recourse to a newly fashioned "lex digitalis" or "lex cryptographica". Rather, it is suggested that the problems can be solved by using existing national laws, supplemented by an international text. At the same time, the results produced by DLT should also be accepted as legally protected and corrected only where necessary under the applicable national rules. In this way, a symbiosis between private law and innovative technology can be created.
Emanuel Palm
In the wake of the financial crisis of 2008, Bitcoin emerged as a radical new alternative to the fiat currencies of the traditional banking sector. Through the use of a novel kind of probabilistic consensus algorithm, Bitcoin proved it possible to guarantee the integrity of a digital currency by relying on network majority votes instead of trusted institutions. By showing that it was technically feasible to, at least to some extent, replace the entire banking sector with computers, many significant actors started asking what else this new technology could help automate. A subsequent, seemingly inevitable, wave of efforts produced a multitude of new distributed ledger systems, architectures and applications, all somehow attempting to leverage distributed consensus algorithms to replace trusted intermediaries, facilitating value ownership, transfer and regulation. In this thesis, we scrutinize distributed ledger technologies in terms of how they could help facilitate the digitization of contractual cooperation, especially in the context of the supply chain and manufacturing industries. Concretely, we consider them from three distinct technical perspectives, (1) performance, (2) interoperability and (3) integration. Voting systems, with or without probabilistic mechanisms, require significant time and resources to operate, for which reason it becomes relevant to investigate how the costs of running those systems can be mitigated. In particular, we consider how a blockchain, a form of distributed ledger, can be pruned to in order to reduce disk space requirements. Furthermore, no technical system part of a larger business is an island, but will have to be able to interoperate with other systems to maximize the opportunity for automation. For this reason, we also consider how transparent message translation between systems could be facilitated, as well as presenting a formalism for expressing the syntactic structure of message payloads. Finally, we propose a concrete architecture, the Exchange Network, that models contractual interactions as negotiations about token exchanges rather than as function invocations and state machine transitions, which we argue lowers the barrier to compatibility with conventional legal and business practices. Even if no more trusted institutions could be replaced by any forthcoming distributed ledger technologies, we believe contractual interactions becoming more digital would lead to an increased opportunity for using computers to monitor, assist or even directly participate in the negotiation, management and tracking of business agreements, which we see as more than enough to warrant the cost of further developing of the technology. Such computer involvement may not just save time and reduce costs, but could also enable new kinds of computer-driven economies. In the long run, this may enable new levels of resource optimization, and not just within large organizations, but also smaller companies, or even the homes of families and individuals.
Zura Kakushadze, Willie Yu
We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in https://ssrn.com/abstract=3245641. Using empirical data, we identify the cross-section of cryptoassets for which this altcoin-Bitcoin arbitrage alpha is significant and discuss it in the context of liquidity considerations as well as its implications for cryptoasset trading.
Soumya Basu, David Easley, Maureen O’Hara, Emin Gün Sirer
Blockchain-based cryptocurrencies prioritize transactions based on their fees, creating a unique kind of fee market. Empirically, this market has failed to yield stable equilibria with predictable prices for desired levels of service. We argue that this is due to the absence of a dominant strategy equilibrium in the current fee mechanism. We propose an alternative fee setting mechanism that is inspired by generalized second price auctions. The design of such a mechanism is challenging because miners can use any criteria for including transactions and can manipulate the results of the auction after seeing the proposed fees. Nonetheless, we show that our proposed protocol is free from manipulation as the number of users increases. We further show that, for a large number of users and miners, the gain from manipulation is small for all parties. This results in users proposing fees that represent their true utility and lower variance of revenue for miners. Historical analysis shows that Bitcoin users could have saved $272,528,000 USD in transaction fees while miners could have reduced the variance of fee income by an average factor of 7.4 times.
Nikolai Zaitsev
Report presents analysis of empirical distribution of future returns of bitcoin (BTC) from BTUSD inverse option prices. Logistic pdf is chosen as underlying distribution to fit option prices. The result is satisfactory and suggests that these prices can be described with just three or even one parameter. Fitted Logistic pdf matches forward price movements upto a scaling factor. Nevertheless, this observation stands alone and does not allow stochastic description of underlying prices with logistic pdf in similar fashion as it is done within Black-Scholes modelling framework. Put-call parity relationship is derived connecting prices of vanilla inverse options and futures.
Mansoor Ahmed, Ilia Shumailov, Ross Anderson
The first six months of 2018 saw cryptocurrency thefts of $761 million, and the technology is also the latest and greatest tool for money laundering. This increase in crime has caused both researchers and law enforcement to look for ways to trace criminal proceeds. Although tracing algorithms have improved recently, they still yield an enormous amount of data of which very few datapoints are relevant or interesting to investigators, let alone ordinary bitcoin owners interested in provenance. In this work we describe efforts to visualize relevant data on a blockchain. To accomplish this we come up with a graphical model to represent the stolen coins and then implement this using a variety of visualization techniques.