Bitcoin
Bitcoin’s carbon footprint rises with prices – DNB research
Total carbon emissions produced by crypto assets rose by 25% in 2020, study finds
Top 10 op risk losses for 2021 hog $15bn total
Despite more fraud and crypto crime, firms’ op risk losses fall in number and in volume. Data by ORX News
What drives Bitcoin fees? Using SegWit to assess Bitcoin’s long-run sustainability
In this paper the authors use block-level data from the Bitcoin blockchain to estimate the impact of congestion and the US dollar price on fee rates.
Quantum computing: kryptonite for bitcoin and cyber security
Race is on to secure new encryption algorithms for DeFi, before quantum computers become a present danger
Asset managers want better access to spot crypto market
Top buy-side exec bemoans constraints in debate on use of futures versus spot for cryptocurrency
Debate erupts over bitcoin’s US reg status
Commodity, currency or security? Experts question cryptocurrency’s asset class after El Salvador move
Bank FX teams eye slice of crypto derivatives action
Business heads increasingly confident that trading will reside in their patch
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.