Purpose The purpose of this paper is to examine the value-at-risk and related measures for the Bitcoin and to compare the findings with Standard and Poor’s SP500 Index, and the gold spot price time series. Design/methodology/approach A GJR-GARCH model has been implemented, in which the residuals follow the standardized Pearson type-IV distribution. A large variety of value-at-risk measures and backtesting criteria are implemented. Findings Bitcoin is a highly volatile currency violating the value-at-risk measures more than the other assets. With respect to the Basel Committee on Banking Supervision Accords, a Bitcoin investor is subjected to higher capital requirements and capital allocation ratio. Practical implications The risk of an investor holding Bitcoins is measured and quantified via the regulatory framework practices. Originality/value This paper is the first comprehensive approach to the risk properties of Bitcoin.
Hélder Sebastião, António Portugal Duarte, Gabriel Guerreiro
This paper analyses the price discovery in the USD/Bitcoin market since Mar‑2014 to Nov‑2016. The results show a positive relationship between the informational relevance of exchanges and their market shares. Information is mostly transmitted between exchanges within an hour, at least for the main exchanges, although lagged feedbacks occur from the major exchanges. Minor exchanges are merely satellite ones and react to price information with some delay. Bitfinex is the most important exchange: the lagged feedback from this exchange to the market is 18.3%, while the reverse feedback accounts only for 0.6% of the total feedback. Volatility in the major exchanges is the main factor explaining the feedback measures, which sustains the claim that the relative importance of the information-based component of volatility increases with the relative dimension of the exchange.
A peer-to-peer system of blockchain, originally started for a cryptocurrency Bitcoin, has caused major disruptions in the stock market. It has affected many businesses if not all, but its significance in the financial world is magnanimous. Historical data (daily rates) for the past 23 months are analyzed to understand the market size, market capitalization and price volatility for Bitcoin. Time series data and financial model are applied to realize the shocks. Monte Carlo simulation is applied to assess the dynamic structure of Bitcoin. With greater volume and activity, the banks and financial intermediaries may become outdated, and the middleman will have no place. It seems like a distant thought, but the facts are pointing toward its reality.
The virtual currencies or cryptocurrencies are growing rapidly in developed economies like UK, USA,and Japan. The motives of these currencies to create an efficient method of digital payment system which is globally accepted and their traders’ belief that these coins have some value, either a physical value or have a money value in terms of their native currency. The first cryptocurrency, Bitcoin (BTC) is facing competition today with newly launched ‘Altcoins’ or ‘Alternative coins”, like Ripple (XRP), Ethereum (ETH) etc., the market captured (market cap) by BTC is continuously decreasing and ranging between 30 to 35% of the total market cap. The newly launched ‘Altcoins’ are technically efficient and have an audience with different motives compare to BTC, also these coins have a huge potential of growth level within a time compare to BTC, Because BTC prices are very high and its growth level is low compares with newly genesis coins. This article deals some important aspects of cryptocurrency worldwide with an addition to explore its role in the Indian Economy because India is not apart from this emerging trend. Many Indian trading exchanges are started within last few years, rather Government of India is not in favor of crypto trading. The aim of this article to critically examine working features of cryptocurrencies, eg; Mining, how crypto Initial Coin Offerings (ICOs) are working, their exchange markets, and how this peer-to-peer (P2P) currency blockchain works. This article also critically evaluate Indian crypto traders’ motives and try to find out a way to deal with the related issues of cryptocurrencies for Indian Economy.
Hallvard Kristoffer Boland Haugen, Andreas Fougner Engebretsen
The topic of revenue streams in the music industry has been frequently discussed since the transition from sales to streaming started when Spotify launched in 2008. Even though revenues in the industry have reached new heights, musicians express dissatisfaction with lower royalty payouts. Moreover, it has become increasingly more difficult to understand the royalty calculations. With today's complicated licensing agreements, money flows through a complex chain of third parties before it reaches the musicians. The industry struggles with transparency and efficiency, and the musicians are paying the price. Meanwhile, blockchain technology has developed since its first implementation with Bitcoin in 2008. Today, more advanced blockchains can run decentralized transparent applications that utilize the technology's efficient transaction system. With the industry issues and the promises of blockchain in mind, we investigate how blockchain technology can be applied to solve value chain problems within the music space.\n\nIn this thesis, we identify core issues in the music industry, propose a decentralized application (dApp) that attempts to solve these issues and implement the proposed solution. We develop the business logic using smart contracts on the Ethereum blockchain and make an associated web application using a JavaScript framework. The dApp works as a global copyrights database where musicians can register and license musical works. We exploit Ethereum's efficient transactional system to manage license purchases. Furthermore, we discuss the advantages and disadvantages of blockchain based solutions.
From positions, attained by modern theoretical physics in understanding of the universe bases, the methodological and philosophical analysis of fundamental physical concepts and their formal and informal connections with the real economic measuring is carried out. Procedures for heterogeneous economic time determination, normalized economic coordinates and economic mass are offered, based on the analysis of time series, the concept of economic Plank's constant has been proposed. The theory has been approved on the real economic dynamic's time series, related to the cryptocurrencies market, the achieved results are open for discussion. Then, combined the empirical cross-correlation matrix with the random matrix theory, we mainly examine the statistical properties of cross-correlation coefficient, the evolution of average correlation coefficient, the distribution of eigenvalues and corresponding eigenvectors of the global cryptocurrency market using the daily returns of 15 cryptocurrencies price time series across the world from 2016 to 2018. The result indicated that the largest eigenvalue reflects a collective effect of the whole market, practically coincides with the dynamics of the mean value of the correlation coefficient and very sensitive to the crisis phenomena. It is shown that both the introduced economic mass and the largest eigenvalue of the matrix of correlations can serve as quantum indicator-predictors of crises in the market of cryptocurrencies.
In this research, the returns of four cryptocurrencies (Bitcoin, Litecoin, Ripple and Ethereum) were analyzed in order to answer the following research question: “How do the returns of Bitcoin and other altcoins behave over time, and what can we say about extreme values for losses and profits?” With respect to volatility, cryptocurrencies can still be considered extremely volatile. For Bitcoin, the least volatile of the four, we found an annual volatility of approximately 70% based on daily exchange rates. For Ethereum, the most volatile of all four, this percentage was closer to 130%. Also, several distributions were fitted on the returns. It is shown that the Generalized Hyperbolic Distribution is the best fit for all four cryptocurrencies, apart from the tails in some cases.<br/>The tails were investigated seperately by using Extreme Value Analysis and by looking into both empirical and theoretical risk quantities (the Value at Risk and Expected Shortfall). Bitcoin appears to be the least risky of all four cryptocurrencies, but also the least profitable, whereas Ripple appears to be the most risky and also the most profitable.<br/>Compared to previous research, Bitcoin has also become less risky, showing a less fat tail for the losses than before. For Litecoin and Ripple, the reverse is true, as they appear to have become riskier. For Ethereum, no comparisons could be made, as this is a relatively new cryptocurrency that has not been investigated much yet. When tested for Paretianity, the left tails of Litecoin and Ripple appear to Pareto distributed: the losses seem to exhibit heavy tail behavior. For the profits, the tails turned out to be even heavier and can therefore also be considered Paretian. These results were confirmed by Maximum to Sum ratio plots, indicating infinite third and fourth moments for the losses and profits of Litecoin and Ripple, but not for Bitcoin and Ethereum. The results have implications for investment and risk management purposes.
The aim of the paper is to fit a regression model which can be used commonly for the four important crypto currencies: Bitcoin, Litecoin, Ethereum and Ripple to predict the prices. The data has information over the past six years regarding price, transaction volume, transaction count, exchange volume, generated coins etc of these currencies. Understanding the dynamics of crypto currency market can help to a certain extent to take wise investment decisions. Among the variables under consideration the study revealed that transaction volume can be used as an influencing variable to fit a quadratic regression model and predict the prices of the crypto currencies.
Выпуск 3 Том -2018 Доллар, криптовалюты, золото -разные судьбы в одной связке Портной Михаил Анатольевич Институт США и Канады РАН Российская Федерация, Москва Аннотация Рассматривается роль криптовалют и традиционных денег в современном мировом денежном хозяйстве.Предложена трактовка криптовалют в качестве специфических жетонов, или токенов, пригодных для перевода денег и некоторых других операций.Даётся оценка технологии блокчейн как перспективному продукту ИТ-технологий, пригодному для конструктивного использования во многих отраслях экономики.Рассматриваются достоинства и недостатки нового метода привлечения инвестиций -первоначального размещения токенов (ICO -Initial coin offering).Отмечается образование в современной экономике и её финансовой сфере нового сектора с элементами самоорганизации на основе применения продуктов ИТтехнологий.Подчёркивается необходимость правового обеспечения эмиссии и оборота криптовалют.Даётся оценка перспектив сосуществования криптовалют и современных денег.Утверждается роль золота как товара и отмечаются пути его использования в экономике
Bitcoin is the most radical of the cryptocurrencies which are becoming popular \nnowadays. The advantage of the cryptocurrencies is that they are decentralized \nsystems so do not need central banks. The purpose of this study is to determine if \nthere is a volatility in the returns of Bitcoin and if so, whether it is predictable. \nThe volatility of the Bitcoin returns was investigated using the log-normal \nstochastic volatility model and stochastic volatility model with leverage for daily \ndata covering the period between 19.12.2011 and 29.01.2018. While there is no \nsignificant leverage effect in the Bitcoin returns, it has been revealed that the \nvolatility is permanent and unpredictable. The unpredictability of Bitcoin returns’ \nfluctuations suggests that it is risky to use it as an investment tool or currency. It \nis increasing day by day that Bitcoin takes place of banknotes or digital money, \nwhich are conventional means of payment. The more widespread the system, the \nsafer and the more resistant to speculations it is. The widespread popularity of \nBitcoin may facilitate its recognition by states and inclusion in traditional \npayment methods.
Bitcoin is the first decentralized cryptocurrency to be traded. There has been drastic increase in the price of bitcoin since 2013. Granger Causality analysis has been carried out to examine whether the price of commodities and the exchange rates helps in predicting the future price of bitcoin. For this study, the price of bitcoin, commodity prices and exchange rates have been considered from Jan 2103-Sep 2017. After the analysis it can be concluded that the price of commodities and the exchange rates does not help in predicting the future price of bitcoin. The past data of the price of bitcoin helps in predicting the future price of copper and British pound exchange rate with that of U.S dollars. Using Regression analysis, it can be determined that when the price increases by 0.0084 dollars there is one unit increase in the volume of transaction. Using variance analysis it can be observed that the price of bitcoin is more volatile compared to the price of commodities and the exchange rates.
OlaOluwa S. Yaya, Ephraim A Ogbonna, Olusanya E. Olubusoye
The present paper investigates persistence and dependence of Bitcoin on other popular alternative coins. We employ fractional integration approach in our analysis of persistence while a more recent fractional cointegration technique in VAR set-up, proposed by Johansen and co-authors is used to investigate dependency of the paired variables. Having segregated the series into periods before crash and those after the crash as determined by Bitcoin pricing, we obtain results of interests. Higher persistence of shocks is expected after the crash due to speculations in the mind of cryptocurrency traders, and more evidences of non-mean reversions, implying chances of further price fall in cryptocurrencies. Cointegration analysis between Bitcoin and alternative coin exists during both periods, with weak correlation observed mostly in the post-crash period. We hope the findings will serve as guide to investors in cryptocurrency.