This thesis explores the price determinants of Bitcoin using a macroeconomic model based on the economic equation of exchange presented by Joseph Wang (2014). The thesis provides a concise and structured introduction to Bitcoin and a comprehensive literature review on Bitcoin. The analysis begins with the application of the functions of money to Bitcoin, arguing that while Bitcoin does fulfill the three classical functions of money to a certain extent, its use remains mainly as a speculative instrument. Wang's model is criticized and amended to reflect the realities of empirically analyzing the Bitcoin market. Using the daily number of transactions and Bitcoin days destroyed as proxies for economic activity and inactivity - to measure Bitcoin's velocity on the block chain - vector autoregression modelling is used to determine if there is Granger causality between the price of bitcoin and the two proxies. The results demonstrate that there is a bidirectional Granger-causal relationship between Bitcoin days destroyed and the price of bitcoin and that there is none between the daily number of transactions and the price of bitcoin; proving Wang's two main assumptions. Impulse- response functions are provided to illustrate and discuss this bidirectional relationship. The results are in line with the...

Submitted by Rodrigo Hakim das Neves (rodrigohakim@hotmail.com) on 2018-09-14T23:26:38Z No. of bitstreams: 1 TesePrecificaçãodoBitcoin.pdf: 1575738 bytes, checksum: d8cd255c8f1ed54cf75b093ffb4ecf7f (MD5) / Rejected by Thais Oliveira (thais.oliveira@fgv.br), reason: Boa noite, Rodrigo, Para que possamos aprovar sua dissertação, será necessária uma alteração: - Todos os títulos (lista de figuras, tabelas, gráficos, etc) devem ser centralizados e em negrito. Por gentileza alterar e submeter novamente. Obrigada! on 2018-09-15T00:02:12Z (GMT) / Submitted by Rodrigo Hakim das Neves (rodrigohakim@hotmail.com) on 2018-09-15T01:26:51Z No. of bitstreams: 1 TesePrecificaçãodoBitcoin.pdf: 1575834 bytes, checksum: ee3ae2f6ab9e16daf6895509b4ff6e44 (MD5) / Approved for entry into archive by Joana Martorini (joana.martorini@fgv.br) on 2018-09-17T15:19:24Z (GMT) No. of bitstreams: 1 TesePrecificaçãodoBitcoin.pdf: 1575834 bytes, checksum: ee3ae2f6ab9e16daf6895509b4ff6e44 (MD5) / Approved for entry into archive by Suzane Guimarães (suzane.guimaraes@fgv.br) on 2018-09-18T12:29:04Z (GMT) No. of bitstreams: 1 TesePrecificaçãodoBitcoin.pdf: 1575834 bytes, checksum: ee3ae2f6ab9e16daf6895509b4ff6e44 (MD5) / Made available in DSpace on 2018-09-18T12:29:04Z (GMT). No. of bitstreams: 1 TesePrecificaçãodoBitcoin.pdf: 1575834 bytes, checksum: ee3ae2f6ab9e16daf6895509b4ff6e44 (MD5) Previous issue date: 2018-08-20 / O bitcoin é a principal moeda digital e com maior valor de mercado atualmente, com expressivo aumento de sua adoção desde sua criação em 2009. É nesse contexto que esta pesquisa busca contribuir com a análise de precificação do bitcoin ao analisar a relação entre variáveis de atratividade e o valor da moeda digital. Por meio do modelo de correção de erros (VECM), foi analisada a relação entre o preço da moeda virtual bitcoin e o número de buscas no Google pelos termos bitcoin, bitcoin crash e crise realizadas pelos usuários da plataforma, no período entre dezembro de 2012 e fevereiro de 2018. O estudo também aplicou a mesma análise para preços negociados em diferentes moedas soberanas. O resultado do teste de Johansen (1988) indica que as variáveis preço e número de buscas no Google pelos dois primeiros termos citados são cointegradas. Comprovou-se que há uma dinâmica forte de curto e de longo prazo entre os fatores de atratividade, inferindo-se que um aumento do interesse no mundo pelo bitcoin é precedido, em geral, por um aumento de seu preço. Ao passo que um aumento da desconfiança do mercado pela derrocada da moeda, medido pelo termo bitcoin crash, é seguido de uma queda no preço. Eventos de intensa crise da economia mundial também demonstram ter um forte impacto sobre o interesse pela moeda virtual. O estudo mostra que nesses momentos de crise global o bitcoin se torna um investimento alternativo, aumentando assim seu preço. / Bitcoin is the main digital currency with the highest market value today and a growing increase in its adoption since its inception in 2009. The present research seeks to contribute to bitcoin pricing analysis based on the dynamics between variables of attractiveness and the value of the digital currency. Through the error correction model (VECM), the relationship between the price of the virtual currency bitcoin and the number of searches in Google was analyzed by the terms bitcoin, bitcoin crash and crisis searched by the users, between December 2012 and February 2018. The study also applied the same analysis to prices traded in different sovereign currencies. Johansen (1988) test demonstrates that the price and number of searches on Google for the first two terms are cointegrated. It has been shown that there is a strong short-term and long-term dynamics among attractiveness factors, with the conclusion that an increase in interest for bitcoin in the world is usually preceded by an increase in its price. On the other hand, an increase in market mistrust over the collapse of the currency, measured by the term bitcoin crash, is followed by a fall in price. Events of intense crisis of the world economy demonstrate to have a strong impact on the interest by the virtual currency. The study shows that during worldwide crisis bitcoin becomes an alternative investment, increasing its price.

El impacto de las nuevas tecnologías junto con los nuevos modelos de negocio está cambiando la industria del sector financiero, uno de los nuevos emprendimientos de innovación son las criptomonedas, siendo la Bitcoin la más popular, ya que su principal característica es ser descentralizada pudiendo ser utilizada en diferentes partes del mundo. La presente investigación tiene por finalidad determinar si hay una relación estadística entre el precio de la Bitcoin y los activos de inversión e índices del mercado financiero durante el periodo de Enero 2015-Diciembre 2018, considerando la alta volatilidad del precio en los últimos dos años; y, si las variables hasta ahora conocidas como justificantes del precio serán las mismas para esta actualización del estudio de la criptomoneda considerando la posible presencia de una burbuja financiera en la Bitcoin. Para el desarrollo del modelo se empleó la metodología de investigación cuantitativa mediante un modelo de regresión. EL resultado fue un grado de asociación considerable con el Euro, Yuan, S&P500 y Petróleo WTI; sin embargo, al desarrollar el modelo estadístico se concluyó que las variables seleccionadas nos presentan causalidad sobre el precio de la criptomoneda. / The impact of new technologies along with new business models is changing the industry of the financial sector, one of the new innovation ventures are the cryptocurrencies, being the Bitcoin the most popular, as its main feature is to be decentralized and can be used in different parts of the world. The present investigation has for purpose determine if there is a statistical relation between the Bitcoin´s price and the assets of investment and indexes of the financial market during the period of January 2015-December 2018, considering the high volatility of the price in the last two years; and, if the variables till now known like justifying of the price will be the same for this update of the study of the criptocurrency considering the possible presence of a financial bubble in Bitcoin. For the development of the model there was used the methodology of quantitative investigation by means of a model of regression. The result was a degree of considerable association with the Euro, Yuan, S&P 500 and Oil WTI; nevertheless, on having developed the statistical model concluded that the selected variables us not present causality on the price of the criptocurrency. / Tesis

This paper will show the effect of cryptocurrencies, specifically Bitcoin and Litecoin, on a diversified portfolio of traditional and alternative assets. By using weekly closing price of these data, I use a single-index model to find betas, Sharpe ratios, and asset correlations. Then using the Markowitz Portfolio Optimization model to find optimal weights both with and without percentage restrictions. To date there is little academic research into cryptocurrency portfolio management. This paper expands upon a similar study done in the summer of 20131 through the Université Libre de Bruxelles. However, their data was from before a major spike in Bitcoin demand in November that same year, and did not include Litecoin. This paper fills the gap.

No description available.

Genomgår pengar en revolution? Ett mycket centralt ämne i ekonomi är pengar, pengar har genomgått många utvecklingar och därmed har även synen på pengar förändrats över tid. Vi har använt varor och råvaror som pengar. En bytesekonomi där snäckor, stenar och fjädrar ansågs vara värdefulla att handla med, för att sedan övergå till dyrbara metaller som guld och silver. Denna övergång utvecklades och vi fick våra första sedlar som tillverkade i Kina, därefter tillkom papperssedlar, kreditkort och digitala pengar. Nu har det uppkommit en ny typ av valuta på marknaden som kan innebära nästa steg i utvecklingen. Nämligen kryptovalutan, som är omfattande för alla digitaliserade valutor, men valutan kan också vara decentraliserad. Den virtuella valutan har många kritiker, men användningen av valutan fortsätter att expandera. Bitcoin är den första och mest använda kryptovalutan (Bitcoin, 2018). Syftet med denna studie är att genom intervjuer med fem Bitcoin investerare förstå vad som är värdeskapande och att dessutom förstå vilka fördelar och nackdelar den virtuella valutan Bitcoin har för sina investerare. Värdeskapande är subjektivt och sker i samband med att investerare interagerar med varandra. Investerare i Bitcoin menar att det som är värdeskapande är sex faktorer: lönsamhet, risk, tillit, överförbarhet och transparens, säkert och kontroll samt kontroverser.

The thesis "Analysis of current cryptocurrency with focus on Bitcoin, securing the proceeds of crime." deals with the securing of cryptocurrency Bitcoin. The thesis describes selected current cryptocurrencies and their differences from Bitcoin. The thesis is focused on the issue of finding and securing cryptocurrencies in investigated devices detained in criminal activity. Based on the results of the research, optimal procedures for the provision and forensic analysis of cryptocurrencies are suggested.

Bitcoin has gained more recognition than ever before, and the interest in cryptocurrencies seems to grow exponentially. Without any central government regulating Bitcoin, a global user group has adopted this new technology, which is designed to be used as a currency for trading without banks. Empirical studies focus on revealing the true characteristic of cryptocurrencies. Are they a currency, an asset or something else? This paper explores the potential of Bitcoin as a financial asset when used for hedging and portfolio diversification. A regression analysis will be performed to analyse if Bitcoin can be used as a hedge against OMXS30. This analysis yields insignificant values, which leads to a complication in the conclusion. The result imply that Bitcoin is an inadequate hedge, but may possess diversification properties. Studying Bitcoin in relation to OMXS30, Dow Jones, Nikkei 225, Gold and Oil results in correlation values close to zero. By using the mean-variance optimization method, two portfolios are created, one including and one excluding Bitcoin. We show that by including Bitcoin in the portfolio the risk can be decreased on a given return rate. Considering the low and insignificant correlation values with other assets and the better riskreturn ratio when Bitcoin is included in a portfolio, we conclude that Bitcoin can be a suitable diversification tool.

This thesis introduces a debit card based payment system that aims to provide fast in-store payments using Bitcoin. The system introduces physical constraints to Bitcoin payments to enable stores to accept payments before they are in a block.The proposed system was tested in a proof of concept model to estimate the time itwould take to pay with the system on the real Bitcoin network. A security analysis was performed to validate system security and to point out potential problems. The security analysis was done by interviewing five experts from different organizations to receive different views on the system. The analysis of the system indicated that it could potentially be fast enough to be used in stores, however security problems exist and need to be considered.

The rapid advancement in encryption and network computing gave birth to new tools and products that have influenced the local and global economy alike. One recent and notable example is the emergence of virtual currencies, also known as cryptocurrencies or digital currencies. Virtual currencies, such as Bitcoin, introduced a fundamental transformation that affected the way goods, services, and assets are exchanged. As a result of its distributed ledgers based on blockchain, cryptocurrencies not only offer some unique advantages to the economy, investors, and consumers, but also pose considerable risks to users and challenges for regulators when fitting the new technology into the old legal framework. This paper attempts to model the volatility of bitcoin using 5 variants of the GARCH model namely: GARCH(1,1), EGARCH(1,1) IGARCH(1,1) TGARCH(1,1) and GJR-GARCH(1,1). Once the best model is selected, an OLS regression was ran on the volatility series to measure the day of the week the effect. The results indicate that the TGARCH (1,1) model best fits the volatility price for the data. Moreover, Sunday appears as the most significant day in the week. A nontechnical discussion of several aspects and features of virtual currencies and a glimpse at what the future may hold for these decentralized currencies is also presented.