Tarun Chitra, Theo Diamandis, Nathan Sheng, Luke Sterle · 5 authors
Decentralized perpetuals protocols have collectively reached billions of dollars of daily trading volume, yet are still not serious competitors on the basis of trading volume with centralized venues such as Binance. One of the main reasons for this is the high cost of capital for market makers and sophisticated traders in decentralized settings. Recently, numerous decentralized finance protocols have been used to improve borrowing costs for perpetual futures traders. We formalize this class of mechanisms utilized by protocols such as Jupiter, Hyperliquid, and GMX, which we term~\emph{Perpetual Demand Lending Pools} (PDLPs). We then formalize a general target weight mechanism that generalizes what GMX and Jupiter are using in practice. We explicitly describe pool arbitrage and expected payoffs for arbitrageurs and liquidity providers within these mechanisms. Using this framework, we show that under general conditions, PDLPs are easy to delta hedge, partially explaining the proliferation of live hedged PDLP strategies. Our results suggest directions to improve capital efficiency in PDLPs via dynamic parametrization.
Abstract The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship between several market volatility drivers, such as daily leverage, signed volatility and jumps. Several known autoregressive model specifications are estimated over different market regimes, and results are compared to equity data as a reference benchmark of a more mature asset class. The panel estimations show that the positive market returns at the high-frequency level increase price volatility, contrary to what is expected from the classical financial literature. We attributed this effect to the price dynamics over the last year of the dataset (2022) by repeating the estimation on different time spans. Moreover, the positive signed volatility and negative daily leverage positively impact the cryptocurrencies’ future volatility, unlike what emerges from the same study on a cross-section of stocks. This result signals a structural difference in a nascent cryptocurrency market that has to mature yet. Further individual-level analysis confirms the findings of the panel analysis and highlights that these effects are statistically significant and commonly shared among many components in the selected universe.
Alexia Anastasopoulos, Nikola Gradojević, Fred Liu, Alex Maynard · 5 authors
We assess the information content of order flow for the cross-section of cryptocurrency returns. Our analysis is based on a set of international order flows denominated in 11 major currencies that reflect world order flow. We find that world order flow has strong explanatory and predictive power for cryptocurrency returns. Order flow tends to dominate economic fundamentals for out-of-sample prediction, especially in the context of non-linear machine learning models, and its performance cannot be explained by limits to arbitrage. Overall, our findings indicate that order flow has a permanent effect on cryptocurrency returns.
In this paper, we explore the aftermath of the Silicon Valley Bank (SVB) collapse, with a particular focus on its impact on crypto markets. We conduct a multi-dimensional investigation, which includes a factual summary, analysis of user sentiment, and examination of market performance. Based on such efforts, we uncover a somewhat counterintuitive finding: \textit{the SVB collapse did not lead to the destruction of cryptocurrencies; instead, they displayed resilience.}
This dissertation discusses investment structures in startups operating in the decentralized finance sector. Currently holding second place in the decentralized finance market, Brazil has been standing out for the projects being developed on its territory and for the volume of investments received by startups operating in the DeFi market. Throughout this work, we sought to demonstrate the evolutionary process of startups, from the idea's conception to its implementation, and to present the path taken by founders and investors, culminating in the celebration of an investment instrument. In addition to the theoretical exposition, this dissertation aimed to bring the investment process into practical conception by exposing contractual clauses commonly used in instruments signed for this purpose. This work expects to stimulate the deepening of the study of the decentralized finance market, which is currently under legal and regulatory scrutiny from the Brazilian Central Bank and the Brazilian Securities and Exchange Commission
Cryptocurrency, which is known as a product of rapidly developing blockchain technology these days, is in high demand by investors, although it has not been officially accepted by central authorities as an asset or a medium of exchange. The cryptocurrency economy is growing rapidly day by day. There are different opinions about cryptocurrencies, which do not have any physical counterpart, are used in an entirely virtual environment, allow interpersonal transactions without the need for intermediaries, and have an encrypted system, as an exchange or investment tool. However, with its growing popularity over the past few years, it has become one of the tools investors are turning to in Turkey as well as worldwide. For this reason, this research is trying to explain the approaches of individual Cryptocurrency investors in Turkey to Cryptocurrency. The data that will form the basis of the study were collected by applying them to 440 individual crypto money investors in Turkey via social media platforms (Facebook, Twitter, Telegram, WhatsApp etc.). The appropriate 396 questionnaires were interpreted with the help of a package program. The outcome of multiple regression analysis applied, It was concluded that the benefit factor, as well as the economic risk factor, have a significant impact on the tendency of investors to invest in cryptocurrencies, and the confidence factor in cryptocurrency investors and concern about the economics and cryptocurrencies has not significantly affected the tendency to invest in cryptocurrencies.
Os mercados de criptomoedas vem chamando a atenção e atraindo todo tipo de investidores, desde pessoas até instituições financeiras, buscando altos retornos resultado de la significativa variação dos preços e a sua rápida valorização. No entanto, esse mercado é caracterizado pelo nível de volatilidade e incerteza, levando os preços a níveis muito altos e também a níveis baixos, estas características geram uma grande dificuldade para a toma de decisões dos gestores de investimentos. Este artigo propõe um sistema híbrido para a tomada de decisões no gerenciamento de investimentos no mercado de criptomoedas, considerando um perfil de investimento conservador, que busca reduzir o risco e maximizar o retorno do investimento. A metodologia visa, com base no preço histórico das criptomoedas, estabelecer níveis de retorno e estimar as probabilidades de transição dos retornos para cada nível, isso é feito com base na análise das cadeias de Markov, que são integradas nas múltiplas árvores de decisão para identificar a criptomoeda que projeta o maior retorno futuro, considerando que será vendida em um ou dois períodos após a aquisição. Os resultados são comparados com os dados reais e comprova-se a eficiência da metodologia.
Rubens Teixeira Rts, Kátia Eliane Santos Avelar, Maria Geralda de Miranda
O objetivo do presente trabalho é analisar a volatilidade e rentabilidade do bitcoin em comparação com três carteiras de ativos de ações que apresentaram excelente grau de avaliação ao longo do período analisado. Desde o inicio do ano de 2017, verificou-se o aumento do valor do bitcoin, obtendo o valor de USD 13.411,00 em 31 de dezembro de 2017. A supervalorização repentina e o aumento no número de usuários despertaram os analistas, Estados e investidores a observar a questão da volatilidade da moeda. Observou-se o período de 2015 a 2017 para o calculo da volatilidade dos ativos. Este estudo reuniu informações tratadas através do método quantitativo e de uma pesquisa de campo. Decidiu-se utilizar como técnica o modelo autoregressivo AR(p), buscando-se o retorno através da média incondicional AR(p), e da variância incondicional ARCH(p) ou EGARCH (p,q). Os resultados obtidos revelaram o grau de conhecimento dos participantes em relação a aplicações financeiras, a um possível perfil para investidores em bitcoin, a rentabilidade e a volatilidade dos ativos comparados, possibilitando analisar a diferença do bitcoin com outros ativos de renda variável.
Legal qualification of bitcoin, cryptocurrencies and "private money" in general raises doubts. Although, economically speaking, these goods perform some of the functions of money, they are not considered as such under the Polish civil code. This led some authors to argue that the rules on performance (and breach) of monetary obligations would not be applicable to cryptocurrencies. However, such a conclusion could cause unacceptable results, e.g. allowing for circumvention of the mandatory rules on maximum interest for late payment. The author proposes a solution to this dilemma. Firstly, it is accepted that cryptocurrencies are not "money" in the meaning of the Polish Civil Code. Therefore, the rules governing performance of monetary obligations do not automatically apply to cryptocurrencies. Secondly, cryptocurrencies cannot also be subject to all rules governing non-monetary performance, as this would lead to results inconsistent with the legislative purpose underlying various provisions of law. To ensure effectiveness of such provisions, a hybrid approach should be adopted. In particular, where justified by its ratio legis, the respective provisions governing monetary obligations should be applied to cryptocurrencies mutatis mutandi.
Artykuł otwiera dyskusję nad wykorzystaniem sieci blockchain w systemie finansowym oraz nad jego współczesną ewolucją. Systematyzuje informacje związane z tematyką rejestrów rozproszonych w finansach. Celem artykułu jest zwrócenie uwagi na możliwą zmianę kierunku w rozliczeniach między instytucjami finansowymi. Autor wykorzystał do analizy dostępną literaturę, artykuły naukowe, źródła internetowe dotyczące zastosowania technologii blockchain w finansach. Autor ma nadzieję, że dyskusja nad tym tematem rozpocznie cykl artykułów i analiz dotyczących sieci blockchain w systemie finansowym, a z czasem możliwa będzie implementacja tej technologii na skalę międzynarodową.
[pt] O presente estudo busca entender os principais determinantes da flutuação de preços do Bitcoin através de variáveis relacionadas à força de mercado, tecnologia, reconhecimento público e variáveis macroeconômicas, estimando os coeficientes do vetor de correção de erros (VECM) e do procedimento autoregressivo de defasagens distribuídas (ARDL). Os resultados apresentaram que o reconhecimento público não possui impactos significantes sobre o preço de mercado do Bitcoin, enquanto as forças de mercado, fatores tecnológicos e as variáveis macroêconomicas apresentam impacto significativo em pelo menos um dos modelos utilizados.
FinTech and blockchain: directions of development of digital economy: The paper looks at the selected issues connected with the digital economy, namely innovations such as FinTech and blockchain, as a possible direction of its development. First, the author discusses FinTech, a technology that aims to compete with traditional methods of delivery of financial services. Next, he raises the question of blockchain that records and maintains transactions made in cryptocurrency in a peer-to-peer network. The relevant definitions, key areas, regulatory framework, benefits and challenges related to both innovations are also presented.
Niniejszy artykuł ma na celu przybliżenie istoty bitcoin oraz jest próbą odpowiedzi na pytanie, jaką rolę elektroniczna moneta odegra na globalnym rynku finansowym w przyszłości. W pierwszej kolejności w artykule przedstawiono dwa sposoby definiowania bitcoin oraz mechanizm emisji tej monety i obrotu w Internecie. Na tej podstawie wyodrębniono zalety i wady elektronicznej monety w kolejności ich ważności. Następnie zaprezentowano dotychczasową genezę rynku bitcoin, co pozwoliło na zidentyfikowanie i uszeregowanie determinant jego rozwoju. Wśród nich za najistotniejsze uznano ograniczoną podaż bitcoin i rosnący nań popyt, pogłębianie się globalnego kryzysu zadłużeniowego, stopniowe wprowadzanie przejrzystych regulacji prawnych, utrzymanie wiarygodności dotyczącej emisji monet oraz rosnącą akceptację tej formy płatności przez użytkowników Internetu. Na koniec rozważań o bitcoin przedstawiono możliwe zastrzeżenia zgłaszane przez biernych obserwatorów rynku, które wciąż pozostają bez jednoznacznej odpowiedzi. W podsumowaniu przyjęto stanowisko pośrednie, nadające bitcoin status nowatorskiego wynalazku, który dzięki swojej hybrydowej naturze może być pierwszym krokiem do pieniądza przyszłości.
Cryptocurrency and blockchain has conjointly become trending buzzwords in the business\nworld today. As the blockchain technology has become older and more researched, its areas\nof usage have broadened far beyond payment solutions like Bitcoin. In venture financing,\nblockchain has been used to establish a prominent fundraising tool, called initial coin offerings\n(ICO). An ICO is a crowdfunding method resembling initial public offerings, where ventures\nissue a blockchain based token, subject to public sale. ICO has become a lucrative financing\nmethod for blockchain affiliated ventures.\nThe hype around cryptocurrency has led to increased ICO attention. Everyone can invest in an\nICO, and thus, it has become a popular investment opportunity. This thesis looks at ICOs as\ninvestment objects, with the aim to find out what an investor should consider before investing.\nAdditionally, we assess whether ICOs are profitable financial instruments relative to its close\nsubstitutes, and evaluate measures to avoid scams.\nThe study is based on 104 companies that have had ICOs, and analyzes what factors influence\nboth ICO success rate, and post-ICO capital gains. Our results indicate that hype and pricing\nis influential on the outcome of an ICO, which in turn is important for subsequent price\nmovements. We have also observed that venture capital seed funded companies performed\nbetter in the ICO aftermath. By further using the results, we have also found that investors\nmay use these parameters when investing in an ICO to outperform both our benchmark\ncryptocurrency Ethereum, and other ICOs.
W spoÅeczeÅstwie informacyjnym dochodzi do przesuwania znaczeÅ takich pojÄÄ jak informacja oraz mienie, które sÄ dobrami chronionymi przez prawo. Już sam zapis danych może mieÄ kluczowe znaczenie z perspektywy naszej sytuacji majÄ tkowej. Elektroniczny system pieniÄżny, w którym to podmioty dokonujÄ zapÅat miÄdzy sobÄ â bez udziaÅu banków ani żadnego poÅrednika, ani nawet bez paÅstwowych pieniÄdzy […]
Cel – Celem opracowania było przedstawienie w aspekcie poznawczym różnych opinii odnośnie do istoty kryptowalut, jako nowego elektronicznego instrumentu płatniczego i jego wpływu na bezpieczeństwo ekonomiczne gospodarki zarówno światowej, jak i lokalnych. Metodologia badania – Analiza opinii finansowych i gospodarczych, analiza źródeł prawa, prezentacja danych statystycznych dotycząca wartości kryptowalut, szacowanie wpływu kryptowalut na poziom gospodarki wybranych państw na podstawie statystycznych danych gospodarczych. Wynik – Opinie na temat istoty kryptowalut i ich oddziaływania są skrajnie zróżnicowane. Kategoria ta, ze względu na jeszcze krótki okres funkcjonowania i odmienność w stosunku do tradycyjnych instrumentów finansowych, nie doczekała się jeszcze pełnej definicji prawnej. W obszarze funkcjonowania banków centralnych zauważa się skrajne stanowiska – od zakazu wprowadzania kryptowalut na rynki finansowe, aż do chęci ich emisji. Także w ocenach ich wpływu na poziom gospodarczy krajów zauważa się odmienne stanowiska: od negacji ich wpływu, a nawet zagrożeń, aż do nadawania kryptowalutom rangi czynnika wzrostu gospodarczego. Oryginalność/wartość – Opracowanie wybiegające poza klasyczne ukazanie mechanizmu funkcjonowania kryptowalut, a w szczególności jako czynnik spekulacyjny przy decyzjach finansowych indywidualnych inwestorów. Wyniki sugerują brak jednolitego stanowiska i opinii zarówno badaczy problemu, jak i państw i instytucji gospodarczych, finansowych i nadzorujących. Brak także wypracowanych mechanizmów ochronnych przed negatywnym wpływem kryptowalut na bezpieczeństwo ekonomiczne gospodarek.
Bitcoin is a system created to service micro-payments in e-commerce, as well as the digital unit of value functioning in the system's environment. When analysed, the behaviour of market participants indicates that the introduction of investment applications of the cryptocurrency, in parallel with its original payment application, had a tremendous impact on the larger-scale functioning of the system. This was aided by the functioning of many trading platforms allowing for exchange into traditional currencies and a high volatility of quotations. Without doubt, bitcoin may be branded a ground-breaking financial innovation or a work of genius. However, the growing, and even global use of bitcoin has brought some of the system's imperfections to light. As the system developed, bitcoin users started to have a better view of the threats to the correct functioning of the system arising from its construction. The paper aims to indicate the main barriers limiting the functioning of the bitcoin system, and its use in payments in particular. The work has adopted the following research hypothesis: In the early stages of bitcoin functioning, users had little awareness of the technological flaws of the system. The study analyses the literature on the subject and the results of a survey carried out among Polish bitcoin users. The analysis confirms of the research hypothesis, as it shows that in the system's first several years, users identified the following threats to the system's functioning: the speculative nature of bitcoin, the lack of adequate awareness in society which would allow for a widespread use of the innovation, potential too strict regulation of the cryptocurrencies market or its banning. The authors also present threats to the functioning of the system which in their opinion are of greatest importance at the moment. These relate to the existence of intermediaries, the lack of systemic incentives addressed to bitcoin merchants, growing costs and payment processing time. The authors intend to indicate those aspects of bitcoin's functioning in order to make the use of cryptocurrencies more conscious and contribute to limiting financial risk of system users.
Proces globalizacji i rewolucji informacyjnej to zjawiska, które determinują rzeczywistość społeczno-gospodarczą współczesnego świata. Znalazły one praktyczne odzwierciedlenie w funkcjonowaniu systemów pieniężnych w globalnej gospodarce światowej, przede wszystkim w nowej postaci cyberwaluty, jaką jest bitcoin. Przedmiotem artykułu są przesłanki powstania, istota, zasady i sposób działania bitcoina. Jego cechy oraz coraz szerszy zakres funkcjonowania tej cyberwaluty mogą w przyszłości zagrażać bezpieczeństwu w wymiarze społecznym, gospodarczym i międzynarodowym.