Blockchain Papers

Jochen Kasper

No abstract is available for this record.

Jim Kyung-Soo Liew, Levar Hewlett

No abstract is available for this record.

Usman W. Chohan

The focus of economists in Bitcoin and other cryptocurrencies has been on its monetary aspects, particularly its deflationary nature, its fungibility, and its disruption of modern monetary mechanisms. This discussion paper draws the focus away from monetary discourses towards fiscal ones, drawing on the case study of Bulgaria and the confiscation of Bitcoins of a magnitude as to pay off a substantial component of its fiscal burden. The paper thereby raises questions about the role that cryptocurrencies may play, tangentially if not directly, in fiscal policy considerations.

Sailendra Prasanna Mishra

No abstract is available for this record.

Anton Kajtazi, Andrea Moro

This research explores the effects of adding bitcoin to an optimal portfolio (naïve, long-only, unconstrained and semi-constrained) by relying on mean-CVaR in the Chinese market. Then backtesting to compare the performance of portfolios with and without bitcoin for each scenario is perfomed. Results show significant but weak correlations between various asset classes and bitcoin, implying a more mature financial profile of bitcoin in China compared to that in the west. Backtesting results show that the effect of adding bitcoin to optimal portfolios is not consistent over the entire out-of-sample period. The naïve and the long-only strategy improved the risk-reward ratio up until the late 2013 price-crash with no significant advantages thereafter. Shorting strategies on the other hand, with or without leverage, fail to produce more efficient portfolios when bitcoin is added, and this is consistent over the entire out-of-sample period. The results also show that semi-annual rebalancing amplifies the advantages of adding bitcoin to most portfolios except for the semi-constrained portfolio, although the weights analysis show significant shifts in weights which might not represent a feasible strategy in realistic scenarios.

Ruiping Liu, Zhichao Shao, Guodong Wei, Wei Wang

In the era of diminishing power from US dollar and increasing competition among world currencies, Bitcoin, as a completely new concept as a medium of exchange, has received increasing attentions over the world. Nowadays, Bitcoin also becomes an investment vehicle, which carries attractive opportunities but also significant risks for the investment community. In this paper, we have compared the empirical performance of a newly-developed heavy-tailed distribution, the normal reciprocal inverse Gaussian (NRIG), with the most popular heavy-tailed distribution, the Student’s t distribution, under the GARCH framework in fitting the daily Bitcoin exchange rate returns. Our results indicate the heavy-tailed distribution has better performance in capture the daily Bitcoin exchange rate returns dynamics than the standard normal distribution. Our results also show the older fashioned Student’s t distribution still performs better than the new heavy-tailed distribution.

Usman W. Chohan

No abstract is available for this record.

Andriana Gkaniatsou, Myrto Arapinis, Aggelos Kiayias

No abstract is available for this record.

Önder Gürcan, Antonella Del Pozzo, Sara Tucci-Piergiovanni

No abstract is available for this record.

Thorsten V. Koeppl, Jeremy Kronick

Blockchain technology has the potential to transform dramatically how a modern economy deals with maintaining and updating records. This innovation has already created lots of turbulence in financial markets and beyond. It will be a challenge to let markets figure out how to best use this technology while ensuring consumer safety and efficiency. Our goal in this paper is to unveil the potential of blockchain technology and guide regulators in how to approach the challenges this technology entails. The most well-known examples of blockchains are found in the area of payments systems and, more generally, in financial markets. It is thus understandable that the financial industry is leading the charge to unearth the potential of this technology in order to find cost efficiencies, but also to recapture above normal profits. The potential application of this technology, however, reaches much further than merely being a currency like bitcoin or a record-keeping system. Early applications of this technology include smart contracts and attempts by governments to build universal online identification systems. Blockchain technology also introduces new concepts such as cryptographic communication protocols and distributed data storage that can increase the safety of electronic networks and offer potential cost efficiency. We do not expect distributed ledgers to completely supplant traditional intermediaries, especially in areas where these intermediaries are of systemic importance or provide services that require a high degree of ad hoc coordination. Still, many elements of this new technology offer a unique opportunity for such intermediaries to modernize their infrastructures and offer their clients safer and cheaper systems. It is not clear, however, how to realize such benefits in a way that makes sure they are passed on to the economy as a whole. This leads us to identify three major challenges and priorities for policymakers and regulators arising from blockchain technology: 1. Design a principle-based regulation regime that achieves high safety standards, legal certainty and a stable environment for transactions based on distributed ledger technology; 2. Ensure that this technology leads to appropriate end-user cost efficiencies rather than simply a redistribution of above-normal profits among intermediaries; and 3. Determine areas where government involvement is advisable, be it in the role of facilitator for a private or public distributed ledger, or as a direct central node that applies elements of the technology but retains the monopoly of managing the ledger entries.

Joe Blankenship

Cryptocurrencies and blockchains are increasingly used, implemented and adapted for numerous purposes; people and businesses are integrating these technologies into their practices and strategies, creating new political economies and spaces in and of everyday life. This thesis seeks to develop a foundation of geographic theory for the study of spatial production within and surrounding blockchain technologies focusing on acute studies of Bitcoin as cryptocurrency, Ethereum as digital marketplace, and their conditions of possibility as decentralized autonomous organizations. Utilizing concepts from Henri Lefebvre's Production of Space, this thesis situates blockchain technologies within the wider discussion about the political economy of modes of spatial production, dialectical material methods, code/space, and network society through an examination of human and machine relations within their unique and emergent spaces. Combining phenomenological and dialectical material methods with the methodological practice of discourse analysis and systems theory, this thesis explores an understanding of how systemic mechanisms and actant actions driving blockchain technologies are indications of new evolutions in our conceptions of space and place in everyday life of later informational capitalism.

D. O. Kondyrev, V. S. Bobrov, I. E. Efremov, V. N Vlasov

1. Свон М. Блокчейн: Схема новой экономики. М.: Олимп-Бизнес, 2017. 240 с.: ил. 2. Wattenhofer R. The Science of the Blockchain. 1st ed. Inverted Forest Publishing, 2016. 115 p. 3. Равал С. Децентрализованные приложения. Технология Blockchain в действии. СПб.: Питер, 2017. 240 с. : ил. 4. Antonopoulos A. M. Mastering Bitcoin. 1st ed. O’Reilly Media, 2014. 296 p. 5. Дейт К. Дж. Введение в системы баз данных. 8-е изд. М.: ИД «Вильямс», 2005. 1328 с.: ил. 6. Гарсия-Молина Г., Ульман Д., Уидом Д. Системы баз данных. Полный курс. М.: ИД «Вильямс», 2003. 1089 с.: ил. 7. Таненбаум Э., Стеен М. ван. Распределенные системы. Принципы и парадигмы. СПб.: Питер, 2003. 877 с.: ил.

Eric Pichet

Created in 2009, bitcoin reaches record heights every week, having hit $17,000 on 11 December 2017 - the first day a bitcoin futures contract traded at the CBOE - versus $1,000 in early 2017 and $1 in 2001. Yet there is still no consensus among economists whether bitcoin comprises a new decentralised currency free of central bank influence, or is a purely speculative instrument.

Darcy W E Allen

No abstract is available for this record.

Iris H‐Y Chiu

This article analyses the existing institutions and infrastructure for payments. Authoritative settlement based on central bank support is seen as being essential for both large value and retail payment systems; and, in the EU, UK, and US, the importance of regulating for the protection of consumers who use retail payment systems is recognised. In this institutional context, payment innovations (including Bitcoin and distributed ledger or autonomous organisation technologies) are assessed. It is suggested that, while competition at certain levels is likely to bring social benefits through commercial developments, the maintenance of public interest objectives necessarily delineates the scope of competition. While this might limit the disruptive impact of payment innovations, it is argued that, in the light of the public policy needs for a stable and efficient public infrastructure and the social needs of confidence and trust in a predictable and regulated payment system that meets commercial and social expectations such as in consumer protection, this is not necessarily undesirable.

Philipp Hacker

No abstract is available for this record.

Christoph Kinkeldey, Jean‐Daniel Fekete, Petra Isenberg

BitConduite is a system we are developing for the visual exploration of financial activity on the Bitcoin network. Bitcoin is the largest digital pseudo-currency worldwide and its study is of increasing interest and importance to economists, bankers, policymakers, and law enforcement authorities. All financial transactions in Bitcoin are available in an openly accessible online ledger-the (Bitcoin) blockchain. Yet, the open data does not lend itself easily to an analysis of how different individuals and institutions-or entities on the network-actually use Bitcoin. Our system BitConduite offers a data transformation back end that gives us an entity-based access to the blockchain data and a visualization front end that supports a novel high-level view on transactions over time. In particular, it facilitates the exploration of activity through filtering and clustering interactions. We are developing our system with experts in economics and will conduct a formal user study to assess our approach of Bitcoin activity analysis.

Charlie Shier, Muhammad Mehar, Alana Giambattista, Elgar Gong · 8 authors

No abstract is available for this record.

Ben Fisch, Rafael Pass, Abhi Shelat

Mining for Bitcoins is a high-risk high-reward activity. Miners, seeking to reduce their variance and earn steadier rewards, collaborate in pooling strategies where they jointly mine for Bitcoins. Whenever some pool participant is successful, the earned rewards are appropriately split among all pool participants. Currently a dozen of different pooling strategies (i.e., methods for distributing the rewards) are in use for Bitcoin mining. We here propose a formal model of utility and social welfare for Bitcoin mining (and analogous mining systems) based on the theory of discounted expected utility, and next study pooling strategies that maximize the social welfare of miners. Our main result shows that one of the pooling strategies actually employed in practice--the so-called geometric pay pool--achieves the optimal steady-state utility for miners when its parameters are set appropriately. Our results apply not only to Bitcoin mining pools, but any other form of pooled mining or crowdsourcing computations where the participants engage in repeated random trials towards a common goal, and where "partial" solutions can be efficiently verified.

Marco Bianchetti, Camilla Ricci, Marco Scaringi

The growth of peer-to-peer exchanges and the blockchain technology has led to a proliferation of cryptocurrencies and to a massive increase in the number of investors who actually negotiate digital money. Cryptocurrencies trade at prices mainly driven by investor sentiment, becoming a potential source of financial bubbles and instabilities. In this work, we apply quantitative models to the study of Bitcoin and Ether, two of the most famous cryptocurrencies. Our bubble detection methodology combines the Log Periodic Power Law (LPPL) model, originally created by Johansen, Ledoit and Sornette (JLS), and the statistical model developed by Phillips, Shi, and Yu (PSY). In particular, we employ three different versions of JLS model, i.e. Ordinary Least Square (OLS), Generalised Least Squares (GLS) and Maximum Likelihood Estimation (MLE), and two PSY statistical tests (BSADF and BSADF*). We find that, during the sample period 1st December 2016 - 16th January 2018, Bitcoin shows typical hallmarks of a bubble phase in mid December 2017 and in the first half of January 2018, anticipating the large crashes observed thereafter. Also the Ether price dynamics reveals bubble evidence in mid June 2017, anticipating the crash observed on 12th June, and a weaker signal around 12th January 2018, anticipating the crash observed in the same days. This paper confirms the high risk of speculative bubbles associated with cryptocurrencies, related to investor exuberance pumping market prices far away from their fundamental values, thus creating critical situations subject to possible crashes. Our methodology is general and can be applied to virtually any financial time series, and may support investing and risk management strategies.

Nancy Nakamoto

No abstract is available for this record.

Jonathan Chiu, Thorsten V. Koeppl, Chiu, Jonathan, Koeppl, Thorsten

How well can a cryptocurrency serve as a means of payment? We study the optimal design of cryptocurrencies and assess quantitatively how well such currencies can support bilateral trade. The challenge for cryptocurrencies is to overcome double-spending by relying on competition to update the blockchain (costly mining) and by delaying settlement. We estimate that the current Bitcoin scheme generates a large welfare loss of 1.4% of consumption. This welfare loss can be lowered substantially to 0.08% by adopting an optimal design that reduces mining and relies exclusively on money growth rather than transaction fees to finance mining rewards. We also point out that cryptocurrencies can potentially challenge retail payment systems provided scaling limitations can be addressed.

Dietmar Peetz, Gregory Mall

No abstract is available for this record.

Siamak Solat, Maria Potop-Butucaru

No abstract is available for this record.