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3,636 results · page 145 of 152
Leopoldo Catania, Stefano Grassi
No abstract is available for this record.
Timothy Peterson
No abstract is available for this record.
Stavros Stavroyiannis
No abstract is available for this record.
Zheng Nan, Taisei Kaizoji
No abstract is available for this record.
Dominik Krause, Nga Pham
Bitcoin is a peer to peer (p2p) payment cash system and an unregulated digital currency that is primarily designed and developed in 2008 without tender legal status. Bitcoin is so-called cryptocurrency because it uses the cryptographic function in order to secure the creation and transfer of money. During recent years, Bitcoin has been emerging as the well-known electronic currency and gaining popularity worldwide as well as caught the media attention in the area of volume trading. Therefore, Bitcoin will be a potential financial asset for investors due to its extraordinary returns. The purpose of this research is to find out how Bitcoin returns correlate with stock markets and to assess the risk that the electronic currency bears, to conclude whether Bitcoin is a favourable instrument for investors that want to diversify their portfolios. Therefore, daily data from 2013 to 2017 is used to measure correlations with major global stock markets and analyse in a regression to what extend Bitcoin is integrated into financial systems. In addition, Bitcoin’s risk has been measured by estimating value at risk, as well as the volatility and a regression analysis with explanatory variables has been performed to identify the driving factors of the unusually high volatility. Finally, the researchers constructed models to forecast expected returns to identify whether Bitcoin is rather a short or long term instrument. The researchers came to the conclusion that Bitcoin is a favourable instrument to diversify a portfolio as it correlates negatively with most of the analysed stock market indices and the research result showed that Bitcoin is not yet integrated into financial systems. It has however been paid attention to the new types of risk and the questionable image the electronic currency has as it is often used to support criminal activities. The fact that no authority, clearing house or central bank's involvement is present, creates uncertainty for many investors.
Gloria Yang Yu, Jinyuan Zhang
No abstract is available for this record.
Yasufumi Shimada
No abstract is available for this record.
ChengYuan Qu
No abstract is available for this record.
Abeer ElBahrawy
No abstract is available for this record.
Stefan Hubrich
No abstract is available for this record.
Octavian Nica, Karolina Piotrowska, Klaus Reiner Schenk–Hoppé
Since the creation of Bitcoin in 2009, hundreds of cryptocurrencies have emerged, thus becoming a common fixture of financial news bulletins. With a market capitalization of the five highest-valued cryptocurrencies exceeding $140 billion at the time of writing, these alternative currencies have caught the attention of both financial institutions and central banks with their innovative technological foundations and their potential to disrupt current financial institutional structures. We provide a non-technical overview of the concept and current market structure of cryptocurrencies for researchers in economics, finance, mathematics and computer science.
Pedro Bonillo Bueno, Emilio Aragon Fortes, Konstantinos Vlachoski
No abstract is available for this record.
Janick Rohrbach, Silvan Suremann
No abstract is available for this record.
Peng Xie, Hailiang Chen, Yu Jeffrey Hu
No abstract is available for this record.
Alessandra Cretarola, Gianna Figg-Talamanca, Marco Patacca
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek [10] the author analyses transaction based as well as popularity based potential drivers of the BitCoin price finding positive evidence. Here, we endorse this finding and consider a bivariate model in continuous time to describe the price dynamics of one BitCoin as well as a second factor, affecting the price itself, which represents a sentiment indicator. We prove that the suggested model is arbitrage-free under a mild condition and, based on risk-neutral evaluation, we obtain a closed formula to approximate the price of European style derivatives on the BitCoin. By applying the same approximation technique to the joint likelihood of a discrete sample of the bivariate process, we are also able to fit the model to market data. This is done by using both the Volume and the number of Google searches as possible proxies for the sentiment factor. Further, the performance of the pricing formula is assessed on a sample of market option prices obtained by the website deribit.com.
Jochen Kasper
No abstract is available for this record.
Li Guo, Xiaoxiao Li
No abstract is available for this record.
Saiful Reeza Latif, Muhammad Azri Mohd, Mohd Nazrul Mohd Amin, Arwin Idham Mohamad
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.
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.
Jona Derks, Jaap Gordijn, Arjen Siegmann
Bitcoin is a widely-spread payment instrument, but it is doubtful whether the proof-of-work (PoW) nature of the system is financially sustainable on the long term. To assess sustainability, we focus on the bitcoin miners as they play an important role in the proof-of-work consensus mechanism of bitcoin to create trust in the currency. Miners offer their services against a reward while recurring expenses. Our results show that bitcoin mining has become less profitable over time to the extent that profits seem to converge to zero. This is what economic theory predicts for a competitive market that has a single homogenous good. We analyze the actors involved in the bitcoin system as well as the value flows between these actors using the e3value methodology. The value flows are quantified using publicly available data about the bitcoin network. However, two important value flows for the miners, namely hardware investments and expenses for electricity power, are not available from public sources. Therefore, we contribute an approach to estimate the installed base of bitcoin hardware equipment over time. Using this estimate, we can calculate the expenses miner should have. At the end of our analysis period, the marginal profit of mining a bitcoin becomes negative, i.e., to a loss for the miners. This loss is caused by the consensus mechanism of the bitcoin protocol, which requires a substantial investment in hardware and significant recurring daily expenses for energy. Therefore, a sustainable crypto currency needs higher payments for miners or more energy efficient algorithms to achieve consensus in a network about the truth of the distributed ledger.
Jamal Bouoiyour, Refk Selmi
Much significant research has been done to investigate various facets of the link between Bitcoin price and its fundamental sources. This study goes beyond by looking into least to most influential factors-across the fundamental, macroeconomic, financial, speculative and technical determinants as well as the 2016 events-which drove the value of Bitcoin in times of economic and geopolitical chaos. We use a Bayesian quantile regression to inspect how the structure of dependence of Bitcoin price and its determinants varies across the entire conditional distribution of Bitcoin price movements. In doing so, three groups of determinants were derived. The use of Bitcoin in trade and the uncertainty surrounding China's deepening slowdown, Brexit and India's demonetization were found to be the most potential contributors of Bitcoin price when the market is improving. The intense anxiety over Donald Trump being the president of United States was shown to be a positive determinant pushing up the price of Bitcoin when the market is functioning around the normal mode. The velocity of bitcoins in circulation, the gold price, the Venezuelan currency demonetization and the hash rate were found to be the fundamentals influencing the Bitcoin price when the market is heading into decline.
Alessandra Cretarola, Gianna Figà‐Talamanca, Marco Patacca
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek [10] the author analyses transaction based as well as popularity based potential drivers of the BitCoin price finding positive evidence. Here, we endorse this finding and consider a bivariate model in continuous time to describe the price dynamics of one BitCoin as well as a second factor, affecting the price itself, which represents a sentiment indicator. We prove that the suggested model is arbitrage-free under a mild condition and, based on risk-neutral evaluation, we obtain a closed formula to approximate the price of European style derivatives on the BitCoin. By applying the same approximation technique to the joint likelihood of a discrete sample of the bivariate process, we are also able to fit the model to market data. This is done by using both the Volume and the number of Google searches as possible proxies for the sentiment factor. Further, the performance of the pricing formula is assessed on a sample of market option prices obtained by the website deribit.com.
Stavros Stavroyiannis
Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected Shortfall properties for the major digital currencies, Bitcoin, Ethereum, Litecoin, and Ripple. The methodology used is GARCH modelling followed by Filtered Historical Simulation. We find that digital currencies are subject to a higher risk, therefore, to higher sufficient buffer and risk capital to cover potential losses.