Title: Decentralised KYC Utility for Cryptocurrencies

Speaker: Chye Kit Chionh

Time: 3:00-4:00pm, 14 September 2018

Location: The Arena @ The Bridge - Ascent Singapore Science Park 1, 2 Science Park Drive, #01-03, 118222

Abstract

 

 

Title: Discover Regional and Size Effects in Global Bitcoin Blockchain Via Sparse-Group Network AutoRegressive Modeling

Speaker: Simon Trimborn

Time: 3:00-4:00pm, 05 October 2018

Location: I³ Building, 21 Heng Mui Keng Terrace, Executive Seminar Room, Level 4

Abstract: Bitcoin blockchain has grown into an active global virtual money network with millions of accounts. We propose a Sparse-Group Network AutoRegressive (SGNAR) model to understand the dynamics of the cross-border transactions. It describes the money flows of virtual funds with focus on the regional and size effects, and provides insights into the inherent risk in the Bitcoin network at a global level. In particular, we develop a regularized estimator with two-layer sparsity, which enables discovering 1) the active regions with influential impact on the global network and 2) the size groups who lead the dynamic evolution of the Bitcoin transaction network. Our study considers up-to-date Bitcoin blockchain, from February 2012 to July 2017, with all the transactions being classified into 60 groups according to their regions and transaction sizes. We found that the largest investors from North America and the medium-sized users from Europe were driving the network, while the other groups were either followers or isolated. The global connectivity was decreasing in the period of 2012 to 2015, but was enhanced in the recent years of 2016 and 2017. The inherent risk, measured as the risk of the Bitcoin network to fail, shrank lately compared to all the years up to 2015.

 

 

Title: Blockchain for a Complex Society

Speaker: Tomaso Aste

Time: 3:00-4:00pm, 19 October 2018

Location: 6 Science Drive 2, S16-05-101

Abstract: Blockchain is a technology that uses community validation to keep synchronized the content of ledgers replicated across multiple users. Although blockchain derives its origins from technologies introduced decades ago, it has gained popularity with Bitcoin and it is at the core of a soaring number of new cryptocurrencies and a large range of applications beyond currencies and finance. Blockchain has opened new possibilities for businesses acting as a coordination technology through which trust can be created, consensus can be reached and value can be transferred within a community without the need of intermediaries. Blockchain can radically change the way in which information is managed, value is created and rules are enforced in current socio economic systems. I’ll introduce to the fundamental concepts of blockchain technologies and guide through this new fascinating environment that is bubbling with new ideas and socio-economic applications.

 

 

Title: A Dynamic Network Perspective on the Latent Group Structure of Cryptocurrencies

Speaker: Li Guo

Time: 3:00-4:00pm, 02 November 2018

Location: I³ Building, 21 Heng Mui Keng Terrace, Executive Seminar Room, Level 4

Abstract: The latent group structure in the cryptocurrency market yields information on network risk and dynamics. By forming a dynamic return-based network with coin attributions, we develop a dynamic covariate-assisted spectral clustering method to detect communities. We prove its uniform consistency along the horizons. Applying this new method, we show the return-based network structure and coin attributions, including algorithm and proof types, jointly determine the market segmentation. Based on the network model, we propose a novel “hard-to-value” measure using centrality scores. Further analysis reveals that the group with a lower centrality score exhibits stronger short-term return reversals. Cross-sectional return predictability further confirms the economic meanings of our grouping results and reveal important portfolio management implications.

 

 

Past Events

 

 

Title: Financial Evaluation of Cryptocurrencies

Speaker: Simon Trimborn

Time: 3:00-4:00pm, 9 February 2018

Location: I³ Building, 21 Heng Mui Keng Terrace, Executive Seminar Room, Level 4

Summary: The market of cryptocurrencies gets introduced, its statistical properties analyzed, optimized portfolios are compared regarding their performance and the methodology behind the market index CRIX is reviewed

Abstract: Crypto-currencies have developed a vibrant market since bitcoin, the first crypto-currency, was created in 2009. We look at the properties of cryptocurrencies as financial assets in a broad cross-section, discussing approaches of altcoins to generate value and their trading and information platforms. 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. The findings motivate our development of a methodology to add cryptocurrencies into traditional portfolios, while taking into account their higher risk and lower liquidity. Furthermore, we evaluate pure portfolios of crypto-currencies: equally weighted, value-weighted and based on the CRypto-currency IndeX (CRIX). The CRIX portfolio displays lower risk than any individual of the more liquid crypto-currencies. CRIX was established with a method relying on the AIC which is able to quickly react to market changes and therefore able to create an index for the cryptocurrency market.

 

 

Title: Pricing Cryptocurrency options: the case of CRIX and Bitcoin

Speaker: Wolfgang Karl Härdle

Time: 3:00-4:00pm, 23 February 2018

Location: I³ Building, 21 Heng Mui Keng Terrace, Executive Seminar Room, Level 4

Abstract: The CRIX (CRyptocurrency IndeX) has been constructed based on a number of cryptos and provides a high coverage of market liquidity, hu.berlin/crix. The crypto currency market is a new asset market and attracts a lot of investors recently. Surprisingly a market for contingent claims hat not been built up yet. A reason is certainly the lack of pricing tools that are based on solid financial econometric tools. Here a first step towards pricing of derivatives of this new asset class is presented. After a careful econometric pre-analysis we motivate an affine jump diffusion model, i.e., the SVCJ (Stochastic Volatility with Correlated Jumps) model. We calibrate SVCJ by MCMC and obtain interpretable jump processes and then via simulation price options. The jumps present in the cryptocurrency fluctutations are an essential component. Concrete examples are given to establish an OCRIX exchange platform trading options on CRIX.

 

 

Title: Blockchain Beyond Cryptos

Speaker: Ernie Teo

Time: 2:30-3:30pm, 09 March 2018

Location: I³ Building, 21 Heng Mui Keng Terrace, Executive Seminar Room, Level 4

Abstract: Since the inception of Bitcoin, there were several projects focused on using the underlying technology of blockchain for business processes. For example, in Jan 2018 Maersk and IBM announced a joint venture to enhance global trade with blockchain. Most such business applications of blockchain does not focus on cryptocurrencies. This talk will provide an introduction to blockchain technologies, the various industry domains where blockchain is being applied and explore possible implications for academic research.

 

 

Title: On the Security of Smart Contracts

Speaker: Prateek Saxena

Time: 3:00-4:00pm, 23 March 2018

Location: I³ Building, 21 Heng Mui Keng Terrace, Executive Seminar Room, Level 4

Abstract: Smart contracts are programs running on the blockchain, the execution of which is determined by consensus over a mining network. Ethereum, which features an expressive language for smart contracts now supports a vibrant developer community and millions of contracts. Ethereum contracts have, however, been shown susceptible numerous security vulnerabilities, millions of dollars worth in its digital currency. Once deployed, contracts cannot easily be patched like common software and they work in a unique consensus-driven environment. This talk presents the present approaches to securing contracts, with an emphasis on pre-deployment analysis and verification efforts. Specifically, it will highlight how systematic program analyses have led to the discovery of over 3,000 vulnerabilities automatically.

 

 

Title: Designing Stable Coins

Speaker: Steven Kou

Time: 3:00-4:00pm, 06 April 2018

Location: I³ Building, 21 Heng Mui Keng Terrace, Seminar Room, Level 1

Abstract: Stable coins, which are cryptocurrencies pegged to other stable financial assets, are desirable for blockchain networks to be used as public accounting ledgers for payment transactions and as crypto money market accounts for asset allocation involving cryptocurrencies, whereby being often called the ``Holy Grail of cryptocurrency.'' However, existing cryptocurrencies, such as Bitcoins, are too volatile for these purposes. Inspired by the dual purpose funds popular in the US and China, we design, for the first time to our best knowledge, several dual-class structures that offer entitlements to either fixed income stable coins (class A funds) pegged to a traditional currency or leveraged investment opportunities (class B funds). Unlike traditional currencies, the new class A funds record all transactions on a blockchain, without centralized counterparties. By using the option pricing theory, we show that proposed stable coins indeed have very low volatility, similar to that of the short term U.S. treasury bonds. When combined with insurance from a government, the design can also serve a basis to issue a sovereign cryptocurrency. This is a joint work with Yizhou Cao, Min Dai, Lewei Li, and Chen Yang.