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Blockchain : Post-Quantum Security & Legal Economics

Haney, Brian - 2021

Blockchain technology is subject to security vulnerabilities resulting from recent developments in quantum computing … and cryptography. All the while, the technical complexities of blockchain’s peer-to-peer system require the intervention … of third-party intermediaries to facilitate financial transactions across blockchain networks. Current legal scholarship …

Persistent link: https://www.econbiz.de/10013241220

Bitcoin Market Volatility Analysis Using Grand Canonical Minority Game

Ortisi, Matteo - 2016

In this paper we propose to use the Grand Canonical Minority Game (GCMG, a highly simplified financial market model) as a model of bitcoin market to show how the lack of an income for “miners”, similar to yield earned by bond holders, could be a structural reason for high volatility of...

Persistent link: https://www.econbiz.de/10012998254

Bitcoin Myths and Facts

Harvey, Campbell R. - 2017

I will address eight common claims about bitcoin: 1. Physical bitcoins exist; 2. The founder of bitcoin is a person called Satoshi Nakamoto; 3. Bitcoin is mainly used for criminal activity; 4. A lack of security plagues bitcoin; 5. Mining is a waste of energy; 6. Bitcoin too small today to be an...

Persistent link: https://www.econbiz.de/10012972898

GARCH Modeling of Cryptocurrencies

Chu, Jeffrey - 2017

With the exception of Bitcoin, there appears to be little or no literature on GARCH modeling of cryptocurrencies. This paper provides the first GARCH modeling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency and their fits are assessed in terms of...

Persistent link: https://www.econbiz.de/10012946406

Evolutionary Dynamics of the Cryptocurrency Market

ElBahrawy, Abeer - 2017

The cryptocurrency market surpassed the barrier of $100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, however, a comprehensive analysis of the whole system is still lacking, as most studies have focused...

Persistent link: https://www.econbiz.de/10012956212

The Fractal Nature of Bitcoin : Evidence from Wavelet Power Spectra

Delfin Vidal, Rafael - 2015

In this study a continuous wavelet transform is performed on Bitcoin's historical returns. Despite the asset's novelty and high volatility, evidence from the wavelet power spectra shows clear dominance of specific investment horizons during periods of high volatility. Thanks to wavelet analysis...

Persistent link: https://www.econbiz.de/10013030751

A Simple Macroeconomic Model of Bitcoin

Wang, Joseph Chen-Yu - 2015

This working paper presents a simple model for the macroeconomic behavior of bitcoin based on the economic equation of exchange. According to this model, the value of bitcoin is determined largely by the willingness of bitcoin holders to save bitcoin and not by its transactional use. This model...

Persistent link: https://www.econbiz.de/10013034207

Bitcoin as Asset Class

Trautman, Lawrence J. - 2018

A five cent $0.05 investment in Bitcoin on July 17, 2010, the first date in which there appears to have been a published value had grown to $7,383.39 on July 18, 2018. While Bitcoin as a currency has existed for less than a decade ̶ it had a very limited liquidity and usage during the first few...

Persistent link: https://www.econbiz.de/10012914281

Machine Learning the Cryptocurrency Market

Alessandretti, Laura - 2018

Machine learning and AI-assisted trading have attracted growing interest for the past few years. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal profits. We analyse daily data for 1,681 cryptocurrencies...

Persistent link: https://www.econbiz.de/10012918393

Understanding Jumps in High Frequency Digital Asset Markets

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...

Persistent link: https://www.econbiz.de/10013323741