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By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market’s expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative methods are considered to compute volatilities from granular intra-day cryptocurrency options data, which spans over the COVID-19 pandemic period. CVX data therefore capture ‘normal’ market dynamics as well as distress and recovery periods. The methods yield two cointegrated index series, where the corresponding error correction model can be used as an indicator for market implied tail-risk. Comparing our CVX to existing volatility benchmarks for traditional asset classes, such as VIX (equity) or GVX (gold), confirms that cryptocurrency volatility dynamics are often disconnected from traditional markets, yet, share common shocks.
Blockchains in public administration : a RADIUS on blockchain framework for public administration
(2023)
The emergence of blockchain technology has generated a great deal of attention, as reflected in numerous scientific and journalistic articles. However, the implementation of blockchain for public administrations in Germany has encountered a setback owing to unsuccessful initiatives. Initial enthusiasm was followed by disillusionment. Nevertheless, technology continues to evolve. This paper examines whether the use of a blockchain can still optimize the processes of public administrations. Not only the failed projects are analysed, but also more current applications of the technology and their potential relevance for the administration, especially in the state of Hesse.
To answer if blockchains are promising to administrations, a Design Science Research (DSR) research approach is chosen. The DSR method is a research-based approach that aims to create new and innovative solutions to real-world problems through the development and evaluation of artefacts such as models, methods, or prototypes. For this work, the implementation of a framework to realize an Authentication, Authorization, and Accounting (AAA) system on the blockchain was identified as profitable. The framework aims to implement the aforementioned AAA tasks using a blockchain. The Remote Authentication Dial-In User Service (RADIUS) protocol has been identified as a potential protocol of the AAA system. The goal is to create a way to implement the system either entirely on a blockchain or as a hybrid system. Various blockchain technologies will be considered. Suitable for development, the framework AAA-me is named.
The development of AAA-me has shown that the desired framework for implementing RADIUS on the blockchain is possible in various degrees of implementation. Previous work mostly relied on full development. Additionally, it has been shown that AAA-me can be used to perform hybrid integration at different implementation levels. This makes AAA-me stand out from the few hybrid previous approaches. Furthermore, AAA-me was investigated in different laboratory environments. This was to determine the expected resilience against Single Point of Failure (SPOF). The results of the lab investigation indicated that a RADIUS system on top of a blockchain can provide benefits in terms of security and performance. In the lab environment, times were measured within which a series of authorization requests were processed. In addition, it was illustrated how a RADIUS system implemented using blockchain can protect itself against Man-in-the-Middle (MITM) attacks.
Finally, in collaboration with the Hessian Central Office for Data Processing (German: Hessische Zentrale für Datenverarbeitung) (HZD), another test lab demonstrated how a RADIUS system on the blockchain can integrate with the existing IT systems of the German state of Hesse. Based on these findings, this work reevaluated the applicability of blockchain technology for public administration processes.
The work has thus shown that the use of a blockchain can still be purposeful. However, it has also been shown that an implementation can bring many problems with it. The small number of blockchain developers and engineers also poses the risk of finding people to develop and maintain a system. In addition, one faces the problem of determining an architecture now that will be applied to many projects in the future. However, each project can, in turn, have an impact on the choice of architecture. Once one has solved this problem and a blockchain infrastructure is available, it can be established quickly and be more SPOF resistant, for example, for Public Key Infrastructure (PKI) systems.
AAA-me was only applied in lab and test environments. As a result, no real data ran over its own infrastructure. This allowed the necessary flexibility for development. However, system-related properties could appear in real situations that are not detectable here in this way. Furthermore, the initial stage of AAA-me’s development is still in its infancy. Many manual adjustments need to be made in order for this to integrate with an existing RADIUS system. Also, no system security effort in and of itself has been carried out in the lab environments. Thus, vulnerabilities can quickly open up on web servers due to misconfigurations and missing updates. For the above reasons, productive use should be discouraged unless major developments are carried out.
This paper provides a review of the development of the non-fungible tokens (NFTs) market, with a particular focus on its pricing determinants, its current applications and future opportunities. We investigate the current state of the NFT markets and highlight the perception and expectations of investors towards these products. We summarize and compare the financial and econometric models that have been used in the literature for the pricing of non-fungible tokens with a special focus on their predictive performance. Our intention is to design a framework that can help understanding the price formation of NFTs. We further aim to shed light on the value creating determinants of NFTs in order to better understand the investors’ behavior on the blockchain.
Distributed ledger technologies rely on consensus protocols confronting traders with random waiting times until the transfer of ownership is accomplished. This time consuming settlement process exposes arbitrageurs to price risk and imposes limits to arbitrage. We derive theoretical arbitrage boundaries under general assumptions and show that they increase with expected latency, latency uncertainty, spot volatility, and risk aversion. Using high-frequency data from the Bitcoin network, we estimate arbitrage boundaries due to settlement latency of on average 124 basis points, covering 88% of the observed cross-exchange price differences. Settlement through decentralized systems thus induces non-trivial frictions affecting market efficiency and price formation.
Non-Fungible Token und die Blockchain Technologie haben in dem vergangenen Jahr immer mehr an Popularität gewonnen. Wie bei jeder neuartigen Technologie stellt sich jedoch die Frage, in welchen Bereichen diese eine Anwendung finden können.
Das Ziel in der vorliegenden Arbeit ist es zu beantworten, ob Non-Fungible Token und die Blockchain Technologie eine sinnvolle Anwendung im Bereich von akademischen Zertifikaten hat.
Um diese Frage zu beantworten, sind Gründe für die Anwendung von Non-Fungible Token gegen Nachteile abgewogen und Lösungsansätze für potentielle Risiken erhoben worden. Außerdem wurde selbstständig ein ERC-721 Token Contract für akademische Zertifikate mittels Solidity entwickelt.
Die Arbeit zeigt, dass Blockchain basierte akademische Zertifikate vor allem die Mobilität von Studenten unterstützen, den administrativen Aufwand der Ausstellung und Verifizierung von Abschlusszeugnissen verringern und entgegen der Fälschung von Abschlüssen arbeiten. Außerdem können erwägte Risiken und Nachteile durch Zusammenschluss von Institutionen zu einer Konsortialen Blockchain umgangen werden.
Die erfolgreiche Entwicklung des ERC-721 Token Contracts “MetaDip” zeigt eine potentielle Umsetzung für die Digitalisierung von Abschlusszeugnissen und demonstriert, dass Non-Fungible Token basierte akademische Zertifikate aktuell bereits technisch realisierbar sind.
Die Arbeit legt dar, dass Non-Fungible Token und die Blockchain Technologie eine vielversprechende Zukunft für akademische Zertifikate bietet und bereits von vereinzelten Institutionen realisiert wird. Jedoch müssen noch einige Vorkehrungen getroffen werden, bevor eine breite Umsetzung von Blockchain basierten akademischen Zertifikaten möglich ist.
Art-related non-fungible tokens (NFTs) took the digital art space by storm in 2021, generating massive amounts of volume and attracting a large number of users to a previously obscure part of blockchain technology. Still, very little is known about the attributes that influence the price of these digital assets. This paper attempts to evaluate the level of speculation associated with art NFTs, comprehend the characteristics that confer value on them and design a profitable trading strategy based on our findings. We analyze 860,067 art NFTs that have been deployed on the Ethereum blockchain and have been involved in 317,950 sales using machine learning methods to forecast the probability of sale, the trade frequency and the average price. We find that NFTs are highly speculative assets and that their price and recurrence of sale are heavily determined by the floor and the last sale prices, independent of any fundamental value.