Bitcoin
Basel crypto rules: bad for traders, good for risk managers?
Practitioners divided over potential bank capital treatment for assets with no intrinsic value
Former clearing head urges ‘reasonable regulation’ of crypto
Risk USA: panellists complain current regulatory approach is ‘painful’ and doesn’t embrace innovation
Cryptocurrency versus other financial instruments: how a small market affects a large market
This study analyzes the impact of cryptocurrencies on the function and position of financial markets.
Quant funds tackle chronic overfitting in crypto strategies
Firms adapt backtests and tread lightly to address “huge” overfitting risk, magnified by scarce data
Op risk data: DeFi-ant crypto hacker steals $610m
Also: Amundi fined for index manipulation; Wells pays out over client fraud. Data by ORX News
Citi clearing head departs for crypto firm
Senior departure is latest among swaps giant’s clearing ranks
US mutual funds’ crypto holdings doubled to over $1bn in Q1
BlackRock and MSIM are among 16 US fund managers dipping their toes into crypto investing
Competition may be coming to crypto ETP market-making
Flow Traders makes markets in every European cryptocurrency ETP. Banks want in on the action
Crypto market structure pushing institutions towards synthetics
Risk Live: Credit risk and custody challenges with spot could push investors to derivatives and ETPs
If dogecoin goes to the moon, a risk manager should go too
There seems little logic to the price of meme assets – but bold investors can protect themselves, says tech expert
Quant fund aims to tame bitcoin, and 39 other digital assets
Ex-Morgan Stanley, Winton vets reimagine institutional risk management for volatile crypto markets
The price of Bitcoin: GARCH evidence from high-frequency data
This is the first paper that estimates the price determinants of Bitcoin in a generalized autoregressive conditional heteroscedasticity (GARCH) framework using high-frequency data.
A bitcoin ETF could threaten the world’s biggest crypto fund
Regulated funds may suck away demand for Grayscale’s off-exchange investment trusts
The world’s largest bitcoin fund has a tracking error problem
Grayscale Bitcoin Trust moved from trading at an average premium of 36.5% to an 11.6% discount
State Street to look after bitcoin, just don’t call it custody
The second-biggest custodian will provide “record-keeping services” for the unregulated asset
Forecasting Bitcoin returns: is there a role for the US–China trade war?
In this paper, the authors extend the related literature by examining whether the information on the US–China trade war can be used to forecast the future path of Bitcoin returns, controlling for various explanatory variables.
Blockchain consensus protocols, energy consumption and cryptocurrency prices
The authors employ portfolio analysis to explore whether energy is a fundamental economic factor affecting cryptocurrency prices.
Universalities in the dynamics of cryptocurrencies: stability, scaling and size
The authors explore the effects of market capitalization on the dynamics of cryptocurrencies within both returns and volatility networks and show that these cryptocurrencies exhibit scaling properties in volatility with respect to market capitalization.
Estimating the hedging potentials of Bitcoin and energy returns
This paper investigates the significance of oil, gold and coal returns on Bitcoin returns for a research duration of January 2011 to September 2018 on a monthly periodic basis.
Diginex chief on taming the Wild East of cryptocurrencies
Asia Risk 25: Singapore-based digital exchange wants to bring respectability – and regulation – to the sector
Barclays proposes new taxonomy for digital tokens
A common approach to classifying tokens is needed to prevent regulatory arbitrage, UK bank argues
Facebook’s libra could disrupt collateral markets – IMF paper
Collateral used to back ‘stablecoins’ such as libra will be unavailable for reuse
Quant Lipton pans Facebook’s Libra
Former Bank of America exec sees more potential in rival projects, such as utility settlement coin
Proof-of-work blockchains and settlement finality: a functional interpretation
In this paper, the authors aim to provide an interpretation of the legal issue of settlement finality in the context of proof-of-work distributed ledger technology, such as the Bitcoin network.