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Cross-Cryptocurrency Return Predictability, Li Guo, Bo Sang, Jun Tu, Yu Wang
Cross-Cryptocurrency Return Predictability, Li Guo, Bo Sang, Jun Tu, Yu Wang
Research Collection Lee Kong Chian School Of Business
Using the minute-frequency data on Binance, we find strong evidence of cross-cryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant predictors of focal cryptocurrencies up to ten minutes, in line with slow information diffusion. The results are robust across various methods, including the adaptive LASSO and principal component analysis. Furthermore, a long-short portfolio formed on the past returns of cryptocurrencies can generate a daily return of 2.16% out-of-sample after accounting for transaction costs, indicating sizable economic value of cross-cryptocurrency return predictability.
Making Money From Cryptocurrency? The Taxman May Call On You, Hern Kuan Liu, Vincent Ooi
Making Money From Cryptocurrency? The Taxman May Call On You, Hern Kuan Liu, Vincent Ooi
Research Collection Yong Pung How School Of Law
Miners, forgers, hobbyists, traders – different rules apply. Just don’t assume crypto investment is somehow immune to taxation.
Asia Embraces Digital Currency And Cryptocurrency, David Kuo Chen Lee
Asia Embraces Digital Currency And Cryptocurrency, David Kuo Chen Lee
Asian Management Insights
A decade ago, everyone was sceptical about cryptocurrency. Today, Asian governments are harnessing its technology to raise payment efficiency and improve financial inclusion. Initially, the technology was advocated and harnessed by ‘cypherpunks’, that is, individuals who advocate the use of cryptography and other strong encryption technologies to promote social and political change. At that time, being a cypherpunk meant standing on the opposite side of the government; today, I see cypherpunks, otherwise more appropriately known as cryptopunks, working closely with governments.
Bitcoin As A Viable Alternative To Legacy Reserve Assets: Reasons, Risks, And Adoption, Jeffry Blake Dunson Ii
Bitcoin As A Viable Alternative To Legacy Reserve Assets: Reasons, Risks, And Adoption, Jeffry Blake Dunson Ii
Senior Honors Theses
Reserve assets include commodities, currencies, or other capital held by institutions as a hedge against the fluctuations of external factors. While the United States’ rise to power helped establish the US dollar as the most predominant reserve asset of the past fifty years, current events & the fast pace of technological advancement has exposed some limitations in the system. Blockchain technology has allowed for assets with cryptographically verifiable integrity that fundamentally depart from the US dollar standard and has potential to overhaul reserve assets as we know it. The course of this research details the downsides of legacy reserve assets, …
Bitcoin: The Pioneer Of Cryptocurrency With A Limited Dream, Anna M. Gellerman, Benjamin Zheng
Bitcoin: The Pioneer Of Cryptocurrency With A Limited Dream, Anna M. Gellerman, Benjamin Zheng
Publications and Research
BitCoin is the most well known and adaptable cryptocurrency today. Due to the evolvement of the cryptocurrency market, many are thinking what this could mean for society; is the world ready for a new mainstream medium of exchange? This poster argues that although BitCoin is functional for small scale payments, it is inadaptable to become a payment tool comparable to cash and card.
Traceable Monero: Anonymous Cryptocurrency With Enhanced Accountability, Yannan Li, Guomin Yang, Wily Susilo, Yong Yu, Man Ho Au, Dongxi Liu
Traceable Monero: Anonymous Cryptocurrency With Enhanced Accountability, Yannan Li, Guomin Yang, Wily Susilo, Yong Yu, Man Ho Au, Dongxi Liu
Research Collection School Of Computing and Information Systems
Monero provides a high level of anonymity for both users and their transactions. However, many criminal activities might be committed with the protection of anonymity in cryptocurrency transactions. Thus, user accountability (or traceability) is also important in Monero transactions, which is unfortunately lacking in the current literature. In this paper, we fill this gap by introducing a new cryptocurrency named Traceable Monero to balance the user anonymity and accountability. Our framework relies on a tracing authority, but is optimistic, in that it is only involved when investigations in certain transactions are required. We formalize the system model and security model …
Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies, Alla A Petukhina, Raphael C. G. Reule, Wolfgang Karl Hardle
Rise Of The Machines? Intraday High-Frequency Trading Patterns Of Cryptocurrencies, Alla A Petukhina, Raphael C. G. Reule, Wolfgang Karl Hardle
Sim Kee Boon Institute for Financial Economics
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well as respective overall high-frequency based market statistics with respect to temporal aspects. Our results provide mandatory insight into a market, where the grand scale employment of automated trading algorithms and the extremely rapid execution of trades might seem to be a standard based on media reports. Our findings on …