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Peer Co-Movement in Crypto Markets
Peer Co-Movement in Crypto Markets G. Schwenkler and H. Zheng∗ February 4, 2021y Abstract We show that peer linkages induce significant price co-movement in crypto markets in excess of common risk factors and correlated demand shocks. When large abnormal return shocks hit one crypto, its peers experience unusually large abnormal returns of the opposite sign. These effects are primarily concentrated among smaller peers and revert after several weeks, resulting in predictable returns. We develop trading strategies that exploit this rever- sal, and show that they are profitable even after accounting for trading fees and frictions. We establish our results by identifying crypto peers through co-mentions in online news using novel natural language processing technologies. Keywords: Cryptocurrencies, peers, co-movement, competition, natural language pro- cessing. JEL codes: G12, G14, C82. ∗Schwenkler is at the Department of Finance, Santa Clara University Leavey School of Business. Zheng is at the Department of Finance, Boston University Questrom School of Business. Schwenkler is corresponding author. Email: [email protected], web: http://www.gustavo-schwenkler.com. yThis is a revision of a previous paper by the two authors called \Competition or Contagion: Evidence from Cryptocurrency Markets." We are grateful to Jawad Addoum (discussant), Daniele Bianchi (discussant), Will Cong, Tony Cookson, Sanjiv Das, Seoyoung Kim, Andreas Neuhierl, Farzad Saidi, and Antoinette Schoar, seminar participants at Boston University and the Society for Financial Econometrics, and the participants at the 2020 Finance in the Cloud III Virtual Conference, the 2020 MFA Annual Meeting, the 3rd UWA Blockchain, Cryptocurrency and FinTech Conference, and the 2020 INFORMS Annual Meeting for useful comments and suggestions. -
PWC and Elwood
2020 Crypto Hedge Fund Report Contents Introduction to Crypto Hedge Fund Report 3 Key Takeaways 4 Survey Data 5 Investment Data 6 Strategy Insights 6 Market Analysis 7 Assets Under Management (AuM) 8 Fund performance 9 Fees 10 Cryptocurrencies 11 Derivatives and Leverage 12 Non-Investment Data 13 Team Expertise 13 Custody and Counterparty Risk 15 Governance 16 Valuation and Fund Administration 16 Liquidity and Lock-ups 17 Legal and Regulatory 18 Tax 19 Survey Respondents 20 About PwC & Elwood 21 Introduction to Crypto Hedge Fund report In this report we provide an overview of the global crypto hedge fund landscape and offer insights into both quantitative elements (such as liquidity terms, trading of cryptocurrencies and performance) and qualitative aspects, such as best practice with respect to custody and governance. By sharing these insights with the broader crypto industry, our goal is to encourage the adoption of sound practices by market participants as the ecosystem matures. The data contained in this report comes from research that was conducted in Q1 2020 across the largest global crypto hedge funds by assets under management (AuM). This report specifically focuses on crypto hedge funds and excludes data from crypto index/tracking/passive funds and crypto venture capital funds. 3 | 2020 Crypto Hedge Fund Report Key Takeaways: Size of the Market and AuM: Performance and Fees: • We estimate that the total AuM of crypto hedge funds • The median crypto hedge fund returned +30% in 2019 (vs - globally increased to over US$2 billion in 2019 from US$1 46% in 2018). billion the previous year. -
The Neo-Caliphate of the “Islamic State”
CSS Analyses in Security Policy CSS ETH Zurich N0. 166, December 2014, Editor: Christian Nünlist The Neo-Caliphate of the “Islamic State” The so-called “Islamic State” represents a new phase in global jihad, wherein efforts will be made to seize and retain territorial control in the face of overwhelming Western military superiority. While this potentially makes jihadist groups vulnerable to destruction, it also increases the risk of home-grown radicalization as foreign fighters flock to join the new “Caliphate”. By Prem Mahadevan The jihadist takeover of Iraq’s second-larg- est city Mosul in June 2014 sharply focused international attention on the country. Coming at a time when Western policy concerns were oriented towards Ukraine, the South China Sea, Gaza, and Afghani- stan, the takeover’s abruptness came as a surprise. Shortly thereafter, the responsible jihadist group named itself the “Islamic State” (IS) and declared the formation of a new Caliphate, signaling that its ideologi- cal agenda was not confined to distinct po- litical or geographic boundaries. The IS has been since projecting itself as a rival to al- Qaida, by competing for credibility and le- gitimacy among the global jihadist com- munity. The IS is unusual in that, until very recent- ly, it had a record of impressive operational A militant Islamist fighter celebrates the declaration of an Islamic “caliphate” in Syria’s northern success, combined with a slick propaganda Raqqa province in June 2014. Reuters machinery to showcase this success. In contrast, al-Qaida remains weakened as a result of counterterrorism efforts in the Af- ghanistan-Pakistan region. -
Blockchain & Cryptocurrency Regulation
Blockchain & Cryptocurrency Regulation Third Edition Contributing Editor: Josias N. Dewey Global Legal Insights Blockchain & Cryptocurrency Regulation 2021, Third Edition Contributing Editor: Josias N. Dewey Published by Global Legal Group GLOBAL LEGAL INSIGHTS – BLOCKCHAIN & CRYPTOCURRENCY REGULATION 2021, THIRD EDITION Contributing Editor Josias N. Dewey, Holland & Knight LLP Head of Production Suzie Levy Senior Editor Sam Friend Sub Editor Megan Hylton Consulting Group Publisher Rory Smith Chief Media Officer Fraser Allan We are extremely grateful for all contributions to this edition. Special thanks are reserved for Josias N. Dewey of Holland & Knight LLP for all of his assistance. Published by Global Legal Group Ltd. 59 Tanner Street, London SE1 3PL, United Kingdom Tel: +44 207 367 0720 / URL: www.glgroup.co.uk Copyright © 2020 Global Legal Group Ltd. All rights reserved No photocopying ISBN 978-1-83918-077-4 ISSN 2631-2999 This publication is for general information purposes only. It does not purport to provide comprehensive full legal or other advice. Global Legal Group Ltd. and the contributors accept no responsibility for losses that may arise from reliance upon information contained in this publication. This publication is intended to give an indication of legal issues upon which you may need advice. Full legal advice should be taken from a qualified professional when dealing with specific situations. The information contained herein is accurate as of the date of publication. Printed and bound by TJ International, Trecerus Industrial Estate, Padstow, Cornwall, PL28 8RW October 2020 PREFACE nother year has passed and virtual currency and other blockchain-based digital assets continue to attract the attention of policymakers across the globe. -
Vision Performance Institute
Vision Performance Institute Technical Report Individual character legibility James E. Sheedy, OD, PhD Yu-Chi Tai, PhD John Hayes, PhD The purpose of this study was to investigate the factors that influence the legibility of individual characters. Previous work in our lab [2], including the first study in this sequence, has studied the relative legibility of fonts with different anti- aliasing techniques or other presentation medias, such as paper. These studies have tested the relative legibility of a set of characters configured with the tested conditions. However the relative legibility of individual characters within the character set has not been studied. While many factors seem to affect the legibility of a character (e.g., character typeface, character size, image contrast, character rendering, the type of presentation media, the amount of text presented, viewing distance, etc.), it is not clear what makes a character more legible when presenting in one way than in another. In addition, the importance of those different factors to the legibility of one character may not be held when the same set of factors was presented in another character. Some characters may be more legible in one typeface and others more legible in another typeface. What are the character features that affect legibility? For example, some characters have wider openings (e.g., the opening of “c” in Calibri is wider than the character “c” in Helvetica); some letter g’s have double bowls while some have single (e.g., “g” in Batang vs. “g” in Verdana); some have longer ascenders or descenders (e.g., “b” in Constantia vs. -
NEO Market Report Summary
NEO Market Analysis NEO Market Report Summary NEO, frequently nicknamed within the cryptocurrency community as The One, Chinese Ethereum or Ethereum ‘‘killer’’, is a blockchain platform that implements digital assets, dApps and smart contracts, and tries to solve some scalability and regulatory issues of its competitors. With strong partnerships and support from the Asian cryptocurrency community, NEO is one of the most promising currencies in the crypto-assets space, with the ambitious goal of becoming the main “smart economy” of the world during the next few years. “A word to the wise. All cryptocurrencies, including NEO, are still largely considered to be in the experimental stage and as such should be treated as high risk assets. In any investment account, high risk assets should only represent a small portion of your overall portfolio. That said, we hope you enjoy this market analysis. Feel free to contact us with any questions or feedback.” eToro: @MatiGreenspan | Twitter: @MatiGreenspan | LinkedIn: MatiGreenspan NEO Market Analysis History Technical Description NEO was introduced in 2014 under the Ethereum changed the whole name Antshares by China-based company cryptocurrency sphere by introducing a new Onchain, a blockchain-specialized company layer when compared to Bitcoin by founded in 2014 by Da Hongfei and Erik developing a platform where smart Zhang. Two crowdsales in late 2015 contracts and other tokens and ICOs can be provided the founding for the project. On developed. On Ethereum, smart contracts these crowdsales, 17.5 million and 22.5 are written using special programming million NEO were sold for $550,000 and languages like Solidity. -
A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets
Journal of Risk and Financial Management Review A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets Nikolaos A. Kyriazis Department of Economics, University of Thessaly, 38333 Volos, Greece; [email protected] Abstract: This study is an integrated survey of GARCH methodologies applications on 67 empirical papers that focus on cryptocurrencies. More sophisticated GARCH models are found to better explain the fluctuations in the volatility of cryptocurrencies. The main characteristics and the optimal approaches for modeling returns and volatility of cryptocurrencies are under scrutiny. Moreover, emphasis is placed on interconnectedness and hedging and/or diversifying abilities, measurement of profit-making and risk, efficiency and herding behavior. This leads to fruitful results and sheds light on a broad spectrum of aspects. In-depth analysis is provided of the speculative character of digital currencies and the possibility of improvement of the risk–return trade-off in investors’ portfolios. Overall, it is found that the inclusion of Bitcoin in portfolios with conventional assets could significantly improve the risk–return trade-off of investors’ decisions. Results on whether Bitcoin resembles gold are split. The same is true about whether Bitcoins volatility presents larger reactions to positive or negative shocks. Cryptocurrency markets are found not to be efficient. This study provides a roadmap for researchers and investors as well as authorities. Keywords: decentralized cryptocurrency; Bitcoin; survey; volatility modelling Citation: Kyriazis, Nikolaos A. 2021. A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets. Journal of Risk and 1. Introduction Financial Management 14: 293. The continuing evolution of cryptocurrency markets and exchanges during the last few https://doi.org/10.3390/jrfm years has aroused sparkling interest amid academic researchers, monetary policymakers, 14070293 regulators, investors and the financial press. -
The Yubikey Manual
The YubiKey Manual Usage, configuration and introduction of basic concepts Version: 3.4 Date: 27 March, 2015 The YubiKey Manual Disclaimer The contents of this document are subject to revision without notice due to continued progress in methodology, design, and manufacturing. Yubico shall have no liability for any error or damages of any kind resulting from the use of this document. The Yubico Software referenced in this document is licensed to you under the terms and conditions accompanying the software or as otherwise agreed between you or the company that you are representing. Trademarks Yubico and YubiKey are trademarks of Yubico AB. Contact Information Yubico AB Kungsgatan 37, 8 floor 111 56 Stockholm Sweden [email protected] © Yubico, 2015 Page 2 of 40 Version: Yubikey Manual 3.4 The YubiKey Manual Contents 1 Document Information 1.1 Purpose 1.2 Audience 1.3 Related documentation 1.4 Document History 1.5 Definitions 2 Introduction and basic concepts 2.1 Basic concepts and terms 2.2 Functional blocks 2.3 Security rationale 2.4 OATH-HOTP mode 2.5 Challenge-response mode 2.6 YubiKey NEO 2.7 YubiKey versions and parametric data 2.8 YubiKey Nano 3 Installing the YubiKey 3.1 Inserting the YubiKey for the first time (Windows XP) 3.2 Verifying the installation (Windows XP) 3.3 Installing the key under Mac OS X 3.4 Installing the YubiKey on other platforms 3.5 Understanding the LED indicator 3.6 Testing the installation 3.7 Installation troubleshooting 4 Using the YubiKey 4.1 Using multiple configurations (from version 2.0) 4.2 Updating a -
Impossibility of Full Decentralization in Permissionless Blockchains
Impossibility of Full Decentralization in Permissionless Blockchains Yujin Kwon*, Jian Liuy, Minjeong Kim*, Dawn Songy, Yongdae Kim* *KAIST {dbwls8724,mjkim9394,yongdaek}@kaist.ac.kr yUC Berkeley [email protected],[email protected] ABSTRACT between achieving good decentralization in the consensus protocol Bitcoin uses the proof-of-work (PoW) mechanism where nodes earn and not relying on a TTP exists. rewards in return for the use of their computing resources. Although this incentive system has attracted many participants, power has, CCS CONCEPTS at the same time, been significantly biased towards a few nodes, • Security and privacy → Economics of security and privacy; called mining pools. In addition, poor decentralization appears not Distributed systems security; only in PoW-based coins but also in coins that adopt proof-of-stake (PoS) and delegated proof-of-stake (DPoS) mechanisms. KEYWORDS In this paper, we address the issue of centralization in the consen- Blockchain; Consensus Protocol; Decentralization sus protocol. To this end, we first define ¹m; ε; δº-decentralization as a state satisfying that 1) there are at least m participants running 1 INTRODUCTION a node, and 2) the ratio between the total resource power of nodes Traditional currencies have a centralized structure, and thus there run by the richest and the δ-th percentile participants is less than exist several problems such as a single point of failure and corrup- or equal to 1 + ε. Therefore, when m is sufficiently large, and ε and tion. For example, the global financial crisis in 2008 was aggravated δ are 0, ¹m; ε; δº-decentralization represents full decentralization, by the flawed policies of banks that eventually led to many bank which is an ideal state. -
Exploring the Interconnectedness of Cryptocurrencies Using Correlation Networks
Exploring the Interconnectedness of Cryptocurrencies using Correlation Networks Andrew Burnie UCL Computer Science Doctoral Student at The Alan Turing Institute [email protected] Conference Paper presented at The Cryptocurrency Research Conference 2018, 24 May 2018, Anglia Ruskin University Lord Ashcroft International Business School Centre for Financial Research, Cambridge, UK. Abstract Correlation networks were used to detect characteristics which, although fixed over time, have an important influence on the evolution of prices over time. Potentially important features were identified using the websites and whitepapers of cryptocurrencies with the largest userbases. These were assessed using two datasets to enhance robustness: one with fourteen cryptocurrencies beginning from 9 November 2017, and a subset with nine cryptocurrencies starting 9 September 2016, both ending 6 March 2018. Separately analysing the subset of cryptocurrencies raised the number of data points from 115 to 537, and improved robustness to changes in relationships over time. Excluding USD Tether, the results showed a positive association between different cryptocurrencies that was statistically significant. Robust, strong positive associations were observed for six cryptocurrencies where one was a fork of the other; Bitcoin / Bitcoin Cash was an exception. There was evidence for the existence of a group of cryptocurrencies particularly associated with Cardano, and a separate group correlated with Ethereum. The data was not consistent with a token’s functionality or creation mechanism being the dominant determinants of the evolution of prices over time but did suggest that factors other than speculation contributed to the price. Keywords: Correlation Networks; Interconnectedness; Contagion; Speculation 1 1. Introduction The year 2017 saw the start of a rapid diversification in cryptocurrencies. -
From Function to Flourishing: Neo-Aristotelian Ethics and the Science of Life
From Function to Flourishing: Neo-Aristotelian Ethics and the Science of Life by Seyedeh Parisa Moosavi Tabatabaei A thesis submitted in conformity with the requirements for the degree of Doctor of Philosophy Department of Philosophy University of Toronto © Copyright 2019 by Seyedeh Parisa Moosavi Tabatabaei From Function to Flourishing: Neo-Aristotelian Ethics and the Science of Life Parisa Moosavi Doctor of Philosophy Department of Philosophy University of Toronto 2019 Abstract Neo-Aristotelian ethical naturalism purports to place moral virtue in the natural world by showing that it is an instance of natural goodness—a kind of goodness supposedly also found in the biological realm of plants and non-human animals. One of the central issues facing this metaethical view concerns its commitment to a teleological conception of the nature of life that seems radically out of touch with the understanding of life in modern biology. In this dissertation, I aim to mend the relationship between neo-Aristotelian ethics and the science of biology by way of three contributions: First, I argue that contrary to what many contemporary neo-Aristotelians have claimed, the science of biology is relevant to assessing central commitments of neo-Aristotelian naturalism regarding the domain of life. Second, I provide new foundations for neo-Aristotelian naturalism by engaging recent and unexplored work in philosophy of biology on theories of function and the nature of living organisms. Lastly, I develop and defend a novel account of the neo-Aristotelian concept of natural goodness that is distinctive for incorporating our scientific understanding of the nature of life. ii Acknowledgments I owe the deepest debt of gratitude to Sergio Tenenbaum and Denis Walsh, whose supervision and support was crucial for the completion of this dissertation. -
Qualitative Comparative Analysis
The current issue and full text archive of this journal is available on Emerald Insight at: www.emeraldinsight.com/2531-0488.htm Qualitative Qualitative comparative analysis: comparative justifying a neo-configurational analysis approach in management research Tobias Coutinho Parente 399 Universidade de São Paulo, São Paulo, Brazil and Instituto Brasileiro de Governança Corporativa – IBGC, São Paulo, Brazil, and Received 10 May 2019 Revised 22 July 2019 Ryan Federo Accepted 7 August 2019 ESADE Business School, Barcelona, Spain Abstract Purpose – The purpose of this paper is to critically reflect and offer insights on how to justify the use of qualitative comparative analysis (QCA) as a research method for understanding the complexity of organizational phenomena, by applying the principles of the neo-configurational approach. Design/methodology/approach – We present and critically examine three arguments regarding the use of QCA for management research. First, they discuss the need to assume configurational theories to build and empirically test a causal model of interest. Second, we explain how the three principles of causal complexity are assumed during the process of conducting QCA-based studies. Third, we elaborate on the importance of case knowledge when selecting the data for the analysis and when interpreting the results. Findings – We argue that it is important to reflect on these arguments to have an appropriate research design. In the true spirit of the configurational approach, we contend that the three arguments presented are necessary; however, each argument is insufficient to warrant a QCA research design. Originality/value – This paper contributes to management research by offering key arguments on how to justify the use of QCA-based studies in future research endeavors.