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Displaying results 26 to 29 of 29.

  1. Bitcoin: a solution for payment systems or a solution in search of a problem?
    Author: Conesa, Carlos
    Published: 2019
    Publisher:  Banco de España, Madrid

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 513
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos ocasionales / Banco de España ; no. 1901
    Subjects: blockchain; hash function; bitcoin; cryptoassets; cryptography; innovation; technology
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  2. Bitcoin bubble trouble
    Author: Kreuser, Jérôme; Sornette, Didier
    Published: 18-Jun-18
    Publisher:  Swiss Finance Institute, Geneva

    We present a dynamic Rational Expectations (RE) bubble model of prices with the intention to evaluate it on optimal investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and... more

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Keine Speicherung
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    We present a dynamic Rational Expectations (RE) bubble model of prices with the intention to evaluate it on optimal investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated with positive (and negative) bubbles. The RE condition implies that the excess risk premium of the risky asset exposed to crashes is an increasing function of the amplitude of the expected crash, which itself grows with the bubble mispricing: hence, the larger the bubble price, the larger its subsequent growth rate. We use the RE condition to estimate the real-time crash probability dynamically through an accelerating probability function depending on the increasing expected return. We examine the optimal investment problem in the context of the bubble model by obtaining an analytic expression for maximizing the expected log of wealth (Kelly criterion) for the risky asset and a risk-free asset. Using our bubble model on Bitcoin from 8-Jul-2013 until 19-Dec-2017 would have generated a CAGR of 140% with a maximum drawdown of 69% giving a Calmar Ratio of 2.03. It would have moved out of Bitcoin gradually since 25-Apr-2017 to be completely out on 19-Dec-2017, three days before the crash. The outperformance of the Efficient Portfolio over just investing in Bitcoin was 265%, accomplished over 117 rebalances from 08-Jul- 2013 to 20-Dec-2017. This strategy could thus afford a cost of 2.27% at each rebalancing period and still outperform investing only in Bitcoin

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Revised 18-Jun-18
    Series: Research paper series / Swiss Finance Institute ; no 18, 24
    Subjects: bitcoin; financial bubbles; efficient crashes; positive feedback; rational expectation; Kelly
    Scope: 1 Online-Ressource (circa 17 Seiten), Illustrationen
    Notes:

    Bitcoin Bubble Trouble. Jérôme Kreuser and Didier Sornette, Wilmott Magazine, Issue 95 May 2018, Copyright 2018, Wilmott, published by John Wiley & Sons Ltd. www.wilmott.com/wilmott-magazine-may-2018-issue/
  3. Beyond the doomsday economics of "proof-of-work" in cryptocurrencies
    Author: Auer, Raphael A.
    Published: 04 February 2019
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    LZ 161
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP13506
    Subjects: cryptocurrencies; crypto-assets; digital currencies; blockchain; proof-of-work; proof-of-stake; distributed ledger technology; consensus; bitcoin; ethereum; money; digitalisation; inance; history of money
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  4. Another look at cryptocurrency bubbles
    Author: Gronwald, Marc
    Published: [2019]
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said to... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63
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    This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the presence of cryptocurrency bubbles or the fundamental value of cryptocurrencies is needless. Second, the paper conducts a short empirical analysis into the relationship of the prices of Etherum and Bitcoin. Evidence of explosive periods is found in the price of Etherum even if this price is expressed in terms of Bitcoin rather than US Dollars. These periods, however, are found to be in the first half of 2016 and 2017, respectively, but not during the price peak period of Bitcoin witnessed end of 2017 and beginning of 2018.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/201969
    Series: Array ; no. 7743 (July 2019)
    Subjects: cryptocurrencies; bubbles; bitcoin; Etherum; fundamental value; intrinsic value; fiatmoney
    Scope: 1 Online-Ressource (circa 15 Seiten), Illustrationen