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Beta-arbitrage strategies : when do they work, and why?
Berrada, Tony; Messikh, Reda Jurg; Oderda, Gianluca; … - 2012
, i.e. no single stock can dominate the entire market, and we show that beta-arbitrage strategies mechanically out …, individual stocks, and stock portfolios. Finally, we show how to construct optimal beta- arbitrage strategies that maximize the …
Persistent link: https://www.econbiz.de/10009554738
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Bitcoin bubble trouble
Kreuser, Jérôme; Sornette, Didier - 2018 - Revised 18-Jun-18
investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash …-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 …
Persistent link: https://www.econbiz.de/10011899594
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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …
Persistent link: https://www.econbiz.de/10012421289
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On the quality of cryptocurrency markets : centralized versus decentralized exchanges
Barbon, Andrea; Ranaldo, Angelo - 2022 - This draft: April 2022
Despite the growing adoption of decentralized exchanges, little is known about their market quality. Using a comprehensive dataset, we compare decentralized blockchain-based venues (DEXs) to centralized crypto exchanges (CEXs) assessing two aspects of market quality: price efficiency and market...
Persistent link: https://www.econbiz.de/10013192214
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The blockchain folk theorem
Biais, Bruno; Bisière, Christophe; Bouvard, Matthieu; … - 2018 - Revised January 2018
Blockchains are distributed ledgers, operated within peer-to-peer networks. If reliable and stable, they could offer a new, cost effective way to record transactions, but are they? We model the proof-of-work blockchain protocol as a stochastic game and analyse the equilibrium strategies of...
Persistent link: https://www.econbiz.de/10011875736
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High-frequency jump analysis of the bitcoin market
Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November …
Persistent link: https://www.econbiz.de/10011762219
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Central bank digital currency and balance sheet policy
Fraschini, Martina; Somoza, Luciano; Terracciano, Tammaro - 2021
This paper studies a stylized economy in which the central bank can hold either treasuries or risky securities against central bank digital currency (CBDC) deposits. The key mechanism driving the results is the reduction in bank deposits that follows the introduction of a CBDC and its impact on...
Persistent link: https://www.econbiz.de/10012487980
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Dissection of Bitcoin's multiscale bubble history : from January 2012 to February 2018
Gerlach, Jan-Christian; Demos, Guilherme; Sornette, Didier - 2018
We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We … the dynamics of Bitcoin price during the analyzed time period. We explain this classification of long and short bubbles by … a number of quantitative metrics and graphs to understand the main socio-economic drivers behind the ascent of Bitcoin …
Persistent link: https://www.econbiz.de/10011899669
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Boom, bust, and Bitcoin : Bitcoin-bubbles as innovation accelerators
Huber, Tobias; Sornette, Didier - 2020
Bitcoin represents one of the most interesting technological breakthroughs and socio-economic experiments of the last … decades. In this paper, we examine the role of speculative bubbles in the process of Bitcoin's technological adoption by … analyzing its social dynamics. We trace Bitcoin's genesis and dissect the nature of its techno-economic innovation. In …
Persistent link: https://www.econbiz.de/10012219370
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Scaling laws and statistical properties of the transaction flows and holding times of bitcoin
Sornette, Didier; Zhang, Yu - 2024
Persistent link: https://www.econbiz.de/10014483276