https://pureadmin.qub.ac.uk/ws/files/155247201/crypto_V2.pdf

Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance

A developing field of interest for the distributed systems and applied cryptography communities is that of smart contracts: self-executing financial instruments that synchronize their state, often through a blockchain. One such smart contract system that has seen widespread practical adoption is Ethereum, which has grown to a market capacity of 100 billion USD and clears an excess of 500,000 daily transactions. Unfortunately, the rise of these technologies has been marred by a series of costly bugs and exploits. Increasingly, the Ethereum community has turned to formal methods and rigorous program analysis tools. This trend holds great promise due to the relative simplicity of smart contracts and bounded-time deterministic execution inherent to the Ethereum Virtual Machine (EVM). Here we present KEVM, an executable formal specification of the EVM's bytecode stack-based language built with the K Framework, designed to serve as a solid foundation for further formal analyses. We empirically evaluate the correctness and performance of KEVM using the official Ethereum test suite. To demonstrate the usability, several extensions of the semantics are presented. and two different-language implementations of the ERC20 Standard Token are verified against the ERC20 specification. These results are encouraging for the executable semantics approach to language prototyping and specification.

KEVM: A Complete Formal Semantics of the Ethereum Virtual Machine

Blockchain tokens and the potential democratization of entrepreneurship and innovation

Bitcoin was the first cryptocurrency to use blockchain and has been the market leader since the first bitcoin was mined in 2009. After the birth of Bitcoin with the genesis block, more than 1,000 altcoins and crypto-tokens have been created, with at least 919 trading actively on unregulated or registered exchanges. This entire class of cryptocurrencies and tokens has been classified by some tax authorities as having the same status as commodities. If cryptocurrency is viewed in the same class as commodities, how different is it in terms of its risk and return structure? This article sets out to help readers understand cryptocurrencies and to explore their risk and return characteristics using a portfolio of cryptocurrency represented by the Cryptocurrency Index (CRIX). Substantial discussions are centered on Bitcoin and its close variants. Some questions are raised about the potential of cryptocurrencies as an investment class. Results show that the return correlations between cryptocurrencies and traditional assets are low and that adding CRIX returns to a traditional asset portfolio improves risk–return performance. Sentiment analysis also indicates the CRIX has a relatively high Sharpe ratio. Although we should view the results with care, a new form of financing for cryptocurrency and blockchain start-ups is born. The disruption brought about by Bitcoin may be felt beyond payments through what is known as initial crypto-token offerings or initial token sales.

https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=6783&context=lkcsb_research

Cryptocurrency: A New Investment Opportunity?

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, a comprehensive analysis of the whole system is still lacking, as most studies have focused exclusively on the behaviour of one (Bitcoin) or few cryptocurrencies. Here, we consider the history of the entire market and analyse the behaviour of 1469 cryptocurrencies introduced between April 2013 and May 2017. We reveal that, while new cryptocurrencies appear and disappear continuously and their market capitalization is increasing (super-)exponentially, several statistical properties of the market have been stable for years. These include the number of active cryptocurrencies, market share distribution and the turnover of cryptocurrencies. Adopting an ecological perspective, we show that the so-called neutral model of evolution is able to reproduce a number of key empirical observations, despite its simplicity and the assumption of no selective advantage of one cryptocurrency over another. Our results shed light on the properties of the cryptocurrency market and establish a first formal link between ecological modelling and the study of this growing system. We anticipate they will spark further research in this direction.

/pdf/evolutionary-dynamics-of-the-cryptocurrency-market-29sslkpdae.pdf

Evolutionary dynamics of the cryptocurrency market.

Crypto-currencies have developed a vibrant market since bitcoin, the first crypto-currency, was created in 2009. We look at the properties of crypto-currencies as financial assets in a broad cross-section. We discuss approaches of altcoins to generate value and their trading and information platforms. Then we investigate crypto-currencies as alternative investment assets, studying their returns and the co-movements of altcoin prices with bitcoin and against each other. We evaluate their addition to investors' portfolios and document they are indeed able to enhance the diversification of portfolios due to their little co-movements with established assets, as well as with each other. Furthermore, we evaluate pure portfolios of crypto-currencies: an equally-weighted one, a value-weighted one, and one based on the CRypto-currency IndeX (CRIX). The CRIX portfolio displays lower risk than any individual of the liquid crypto-currencies. We also document the changing characteristics of the crypto-currency market. Deepening liquidity is accompanied by a rise in market value, and a growing number of altcoins is contributing larger amounts to aggregate crypto-currency market capitalization.

The Cross-Section of Crypto-Currencies as Financial Assets: Investing in Crypto-Currencies Beyond Bitcoin

Crypto-currencies have developed a vibrant market since bitcoin, the rst crypto-currency, was created in 2009. We look at the properties of cryptocurrencies as nancial assets in a broad cross-section. We discuss approaches of altcoins to generate value and their trading and information platforms. Then we investigate crypto-currencies as alternative investment assets, studying their returns and the co-movements of altcoin prices with bitcoin and against each other. We evaluate their addition to investors' portfolios and document they are indeed able to enhance the diversi cation of portfolios due to their little co-movements with established assets, as well as with each other. Furthermore, we evaluate pure portfolios of crypto-currencies: an equallyweighted one, a value-weighted one, and one based on the CRypto-currency IndeX (CRIX). The CRIX portfolio displays lower risk than any individual of the liquid crypto-currencies. We also document the changing characteristics of the crypto-currency market. Deepening liquidity is accompanied by a rise in market value, and a growing number of altcoins is contributing larger amounts to aggregate crypto-currency market capitalization.

https://www.econstor.eu/bitstream/10419/148874/1/870165852.pdf

The Cross-Section of Crypto-Currencies as Financial Assets: An Overview

Since the creation of Bitcoin in 2009, many alternative cryptocurrencies (altcoins) have been created that claim to be the currency of the future. There are now over 440 active altcoins in the market and new ones are being created each day. With every altcoin claiming to offer distinctive features, it is becoming increasingly difficult for investors to evaluate the potential of each altcoin. This chapter explores the various types of altcoins in the market and methods to evaluate their mid-term potential. The chapter will discuss a practical approach to rank the altcoins based on social network data and discuss the results from traditional econometric techniques to study the behavior of Bitcoin and altcoins.

Bobby Ong

Papers

The Cross-Section of Crypto-Currencies as Financial Assets: Investing in Crypto-Currencies Beyond Bitcoin

The Cross-Section of Crypto-Currencies as Financial Assets: An Overview

Evaluating the Potential of Alternative Cryptocurrency: An Empirical Analysis