This research investigates token dormancy as a fundamental metric for evaluating cryptocurrency assets and presents a methodology for its measurement.The valuation method involves 4 distinct parameters and utilizes a ...This research investigates token dormancy as a fundamental metric for evaluating cryptocurrency assets and presents a methodology for its measurement.The valuation method involves 4 distinct parameters and utilizes a 3.5-year daily dataset for the“Chainlink”token.The results are used in optimized ARIMA-GARCH models to analyze the first differences between the variables;the out-of-sample forecasts were assessed with performance metrics.Furthermore,this study introduces a novel fundamental value derived from these approaches,the basis for generating selling signals in a backtested trading strategy.The trading strategy results are compared to a benchmark buy-and-hold strategy and a non-selling dollar-cost-averaging strategy for evaluation.Employing the dollar-cost averaging approach for purchase frequency and utilizing the“isolation forest”technique for identifying selling signals within the trading strategy yielded positive results.展开更多
This study discusses the European Union’s proposal for a Regulation on Markets in Crypto-Assets,now subject to formal approval by the European Parliament.The objective is to explore whether it will positively impact ...This study discusses the European Union’s proposal for a Regulation on Markets in Crypto-Assets,now subject to formal approval by the European Parliament.The objective is to explore whether it will positively impact the adoption of crypto-assets in the financial sector.The use of crypto-assets is growing.However,some stakeholders in the financial service sector remain skeptical and hesitant to adopt assets that are yet to be defined and have an unclear legal status.This regulatory uncertainty has been identified as the primary reason for the reluctant adoption.The proposed regulation(part of the EU’s Digital Finance Strategy)aims to provide this legal certainty for currently unregulated crypto-assets.This study investigates whether or not the proposed regulation can be expected to have the intended effect by reviewing the proposed regulation itself,the opinions and reactions of the various stakeholders,and secondary literature.Findings reveal that such regulation will most likely not accelerate the adoption of crypto-assets in the EU financial services sector,at least not sufficiently or as intended.Some suggestions are made to improve the proposal.展开更多
We propose a high-frequency rebalancing algorithm(HFRA)and compare its performance with periodic rebalancing(PR)and threshold rebalancing(TR)strategies.PR refers to the process of adjusting the relative weight of asse...We propose a high-frequency rebalancing algorithm(HFRA)and compare its performance with periodic rebalancing(PR)and threshold rebalancing(TR)strategies.PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals,whereas TR is a process of setting allocation limits for portfolios and rebalancing when portfolios exceed a specific percentage of deviation from the target allocation.The HFRA is constructed as an integration of pairs trading and a threshold-based rebalancing strategy,and the profitability of the HFRA is examined to determine the optimal portfolio size.The HFRA is applied to a dataset of real price series from cryptocurrency exchange markets across various trends and volatility regimes.Using cointegrated price data,it is shown that increasing the number of assets in a portfolio supports the profitability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility environment.For low-volatility regimes,although increasing portfolio size marginally enhances the HFRA’s profitability,the profits of portfolios of varied sizes do not significantly differ.It is demonstrated that when volatility is relatively high and the trend is upward,the HFRA can yield a substantial return via portfolios of large sizes.Moreover,the profitability of the HFRA is compared with that of the PR and TR strategies for long-term application.The HFRA is more profitable than the PR and TR strategies.This achievement of the HFRA is also validated statistically using the Fisher–Pitman permutation test.展开更多
文摘This research investigates token dormancy as a fundamental metric for evaluating cryptocurrency assets and presents a methodology for its measurement.The valuation method involves 4 distinct parameters and utilizes a 3.5-year daily dataset for the“Chainlink”token.The results are used in optimized ARIMA-GARCH models to analyze the first differences between the variables;the out-of-sample forecasts were assessed with performance metrics.Furthermore,this study introduces a novel fundamental value derived from these approaches,the basis for generating selling signals in a backtested trading strategy.The trading strategy results are compared to a benchmark buy-and-hold strategy and a non-selling dollar-cost-averaging strategy for evaluation.Employing the dollar-cost averaging approach for purchase frequency and utilizing the“isolation forest”technique for identifying selling signals within the trading strategy yielded positive results.
文摘This study discusses the European Union’s proposal for a Regulation on Markets in Crypto-Assets,now subject to formal approval by the European Parliament.The objective is to explore whether it will positively impact the adoption of crypto-assets in the financial sector.The use of crypto-assets is growing.However,some stakeholders in the financial service sector remain skeptical and hesitant to adopt assets that are yet to be defined and have an unclear legal status.This regulatory uncertainty has been identified as the primary reason for the reluctant adoption.The proposed regulation(part of the EU’s Digital Finance Strategy)aims to provide this legal certainty for currently unregulated crypto-assets.This study investigates whether or not the proposed regulation can be expected to have the intended effect by reviewing the proposed regulation itself,the opinions and reactions of the various stakeholders,and secondary literature.Findings reveal that such regulation will most likely not accelerate the adoption of crypto-assets in the EU financial services sector,at least not sufficiently or as intended.Some suggestions are made to improve the proposal.
文摘We propose a high-frequency rebalancing algorithm(HFRA)and compare its performance with periodic rebalancing(PR)and threshold rebalancing(TR)strategies.PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals,whereas TR is a process of setting allocation limits for portfolios and rebalancing when portfolios exceed a specific percentage of deviation from the target allocation.The HFRA is constructed as an integration of pairs trading and a threshold-based rebalancing strategy,and the profitability of the HFRA is examined to determine the optimal portfolio size.The HFRA is applied to a dataset of real price series from cryptocurrency exchange markets across various trends and volatility regimes.Using cointegrated price data,it is shown that increasing the number of assets in a portfolio supports the profitability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility environment.For low-volatility regimes,although increasing portfolio size marginally enhances the HFRA’s profitability,the profits of portfolios of varied sizes do not significantly differ.It is demonstrated that when volatility is relatively high and the trend is upward,the HFRA can yield a substantial return via portfolios of large sizes.Moreover,the profitability of the HFRA is compared with that of the PR and TR strategies for long-term application.The HFRA is more profitable than the PR and TR strategies.This achievement of the HFRA is also validated statistically using the Fisher–Pitman permutation test.
