Kryptomarknaden och decentraliserad finans har under det senaste året med sin höga avkastning dragit till sig mycket uppmärksamhet. Decentraliserade tillgångar blir alltmer attraktiva för investerare och i denna uppsats är undersöks kryptotillgångars egenskaper som hedge eller diversifiering i en portfölj. Hög avkastning och hög risk går allt som oftast hand i hand och i denna uppsats använder undersöker vi dynamisk villkorlig korrelation (DCC-GARCH), regressionsmodeller samt portföljers prestation över tid för att undersöka ifall de två största kryptotillgångarna, Bitcoin och Ethereum indikeras vara ett bra alternativ för en investerare att diversifiera sin portfölj med. Undersökningen av korrelationen för Bitcoin och Ethereum gentemot de vanliga tillgångarna (S&P500, guld, olja, inflation) visade på en stabil men svag (0.00-0.19) till mycket svag (0.20-0.40) positiv korrelation över tid. Korrelation inbördes mellan Bitcoin och Ethereum visades vara stark. Resultatet ur regressionen innehållandes Bitcoin, S&P500, Olja och Guld visade på att det existerar ett långsiktigt jämviktsförhållande mellan variablerna, däremot påträffas inget sådant när Ethereum tar Bitcoins plats som beroendevariabel. Portföljernas som undersöktes förändrade fördelningen mellan tillgångarna varje månad med restriktionen att nå de bästa sharpekvoten, utan att ha mindre än 2%, eller mer än 40% av någon tillgång. Resultatet visade att portföljerna som innehöll kryptotillgångarna hade en högre sharpekvot, samt även en högre överavkastning till en likvärdig risk gentemot de andra tillgångarna samt att sharpekvoten och överavkastningen ökade vid diversifiering inom kryptotlillgångar, men att risken var relativt oförändrad. Resultaten indikerar att kryptotillgångar fungerar bra som diversifiering, dock så finns det inget som pekar på att de skulle agera som hedge emot de undersökta tillgångarna. Nämnvärt är även att korrelationerna mellan kryptotillgångar och de traditionella tillgångar som undersöktes har varit stabil över den undersökta tidsperioden.

The purpose of this paper is to select the best GARCH-type model for modelling the volatility of Bitcoin, Bitcoin Cash, Litecoin, Dogecoin and Ethereum. GARCH (1,1), IGARCH(1,1), EGARCH(1,1), TGARCH(1,1) and CGARCH(1,1) are used on the cryptocurrencies closing day return. We select the model with the highest Maximum Likelihood and run an OLS regression on the conditional volatility to measure the day-of-the-week effect. The findings show that EGARCH(1,1) model best suits Bitcoin, Litecoin, Dogecoin and Ethereum data and that the GARCH(1,1) model suits best Bitcoin data. The results show a significant presence of day-of-the-week effects on the conditional volatility of some days for Bitcoin, Bitcoin Cash and Ethereum. Wednesday has a significant negative effect on Bitcoin conditional volatility. Friday, Saturday and Sunday are found to be significant and positive on Bitcoin Cash conditional volatility. Finally, Saturday is found to be significant and positive on Ethereum conditional volatility.

Twelve years after Satoshi Nakamoto published the paper describing the functioning mechanism and principals of cryptocurrency that maintains secure and anonymous digital transactions beyond any banks, cryptocurrencies have become a multi-billion-dollar industry comprising millions of investors, miners, developers and profiteers. However, the actual price determinants and ways to forecast future price changes remain an open question yet to discover the answer for. This study attempts to figure out whether media hype exerts that much influence upon cryptocurrencies price movements and whether it can be used as the basis for future movements prediction. Two cryptocurrencies, Bitcoin and Tezos, and 7 mass and social media factors for each of them were considered on daily basis from 08-01-2018 to 10-31-2020. To explore the interdependence between media drivers and cryptocurrencies' prices in short, medium and long timespan, this study deploys wavelet coherence approach. There was found, that price changes turn to be the supreme prior to hype, even though the growing ado may push the prices even higher. Thus, hype is failing to prove itself as a reliable cryptocurrency price predictor. Crypto investors, though, should anyways take the news background into account while building trading strategies,...

The economic impact of the COVID-19 pandemic is still an ongoing topic, broadly analysed and discussed in many studies. Recent articles state that sustainable assets can offer return volatility resilience during demand shock events and, in some cases, provide higher returns than their unsustainable counterparts. We set out to test such claims in our own controlled study. This paper is written from the perspective of a portfolio manager and examines four main variables: share/token prices, log returns, volatility, and trading volumes in a difference-indifference statistical regression in order to compare the performance of sustainable and unsustainable portfolios in the context of the market shock suffered on March 11, 2020. We are using both a traditional asset, stocks, and a non-traditional asset, cryptocurrencies, therefore analysing a total of four investment portfolios. The present study aims to help fill in a gap in the current literature regarding the extension of the flight-to-quality theory to sustainable and unsustainable assets, treating sustainable stocks and cryptocurrencies as our safer assets and unsustainable stocks and cryptocurrencies as our riskier assets. Method results uncover that, on the surface, a sustainable equity portfolio does indeed seem to have lower return volatility and less negative average returns post-WHO announcement compared to an unsustainable equity portfolio, but a deeper statistical analysis indicates that a high ESG score is not the main factor influencing such performance. Sustainable cryptocurrency portfolio results uncover a different picture of significantly lower average returns and higher return volatility post-event compared to the unsustainable crypto portfolio. However, the PoS sustainability factor is not the main suspect in the poor performance indicated by the statistical analysis. The flight-to-quality cannot be extended to sustainable assets due to the lack of significant evidence and the performance dynamics of the average returns. Our analysis finds that the sustainability factor alone does not provide a benefit to portfolio managers and investors in the context of equity and alternative asset classes. This paper contributes empirical evidence to the green finance theory and puts forward relevant advice for investment policy statement consideration.

Purpose: The purpose of this study is to develop an understanding of millennials’ attitudes toward and trust in the Bitcoin cryptocurrency and its value. The study also aims to analyze what this trust is based on. Theoretical frame of reference: Several theories are used to formulate a theoretical frame of reference. The theories of planned behavior, Word of mouth and Electronic Word of Mouth concern consumer behavior and are applied to millennials’ in this case. To take into account the value of Bitcoin, the study also incorporates the theory of trust in technology, which discusses among other things, how trust in technology is essential as it influences whether a person will use the product or service. Methodology: The study uses a qualitative method based on 12 semi-structured interviews conducted via Zoom or Skype. The selection for this study is made through goal-directed selection, which is a selection of respondents who to some extent have knowledge of, or affected by, what the study intends to analyze. Conclusion: The conclusion indicates that millennials who have information about cryptocurrency in advance tend to experience more confidence in Bitcoin, as it is based on their information about the technology behind Bitcoin. Millennials also experience trust in Bitcoin according to their perception that it is not controlled by a third party; however, the cryptocurrency’s value depends on how it is liked by its investors or users. The respondents with a negative attitude were found to lack general information about the cryptocurrency and were, therefore, unwilling to accept the risks that accompany it. The respondents with a positive attitude proved to have confidence in the technology behind Bitcoin and, therefore, spread positive information about it by Word of Mouth.

I denna uppsats undersöker vi kryptovalutor ur ett ekonomiskt och finansiellt perspektiv. Vi skapar en optimal portfölj av de 28 största kryptovalutorna enligt marknadsvärdet den 3 mars 2020 genom av att använda oss av Markowitz (1952) portföljvalsteori. Den optimala portföljen jämförs med en marknadsportfölj som är skapad av de 100 största kryptovalutorna enligt marknadsvärdet, för att bilda oss en uppfattning om kryptovalutamarknaden och hur man kan utnyttja kryptovalutor i investeringssyfte. CAPM används för att kunna se relationen mellan risk och avkastning mellan den optimala portföljen och marknadsportföljen. Vi kommer även att undersöka om CAPM ger samma resultat som Markowitz portföljvalsteori. Den optimala portföljen jämförs dessutom med den svenska aktiemarknaden för att undersöka om den optimala kryptovalutaportföljen påverkas av trender på den svenska aktiemarknaden. / This thesis studies cryptocurrencies from an economic and financial perspective. The research is carried out by constructing an optimal portfolio of the 28 biggest cryptocurrencies according to market capital on the 3rd of March 2020 by using Markowitz (1952) portfolio optimization theory. The optimal portfolio is then compared to the market portfolio, which is constructed of the hundred largest cryptocurrencies according to market capital, to study the cryptocurrency market. CAPM is also used to find out the risk-return relationship and to see if CAPM gives us the same optimal portfolio as Markowitz portfolio optimization theory. The optimal portfolio is also compared to the Swedish stock market index, OMXS30, to study if the optimal portfolio is affected by trends in the Swedish stock market.

This research explores how substances of very high concern (SVHC) are tracked today. Tracking the material content of products has grown increasingly important in the last decade. Material tracking is critical for the construction equipment machine builder (OEM) which is used to analyze if materials are clean from the dangerous substance, for example lead. It is important for all businesses to know whether their products are clean. As a result, most factories and businesses require a filter to distinguish between clean and hazardous chemicals. The goal of this research is to design a solution that will track the harmful substance content in products and investigate those that contain SVHC. To accomplish this, there was an evaluation of how the tracking is done today and thereafter the two methods, blockchain and centralized database were compared. A solution based on blockchain technology which will prevent companies from lying about the possession of products that contain SVHC by tracking them was then created based on the results. This thesis conducts qualitative research, which means it was based on qualitative data. The data was gathered using a mix of two types of research methods: semi-structured interviews and theoretical research. Based on the results of the comparison, a blockchain technology solution was devised to facilitate the tracking and to reduce cheating with SVHC. The proposed solution has been implemented in form of a cryptocurrency using the blockchain technology. In conclusion the result of this study was that the problems with the current method were clarified and a blockchain-based solution for tracking SVHC was designed.

In recent years, the desire for financial privacy and anonymity spurred the growth of electronic cash and cryptocurrencies. The introduction of decentralized cryptocurrencies, such as Bitcoin, accelerated their adoption in society. Since digital information is easier to reproduce, digital currencies are vulnerable to be spent more than once – this is called a double-spending attack. In order to prevent double-spending, Bitcoin records transactions in a tamper-resilient shared ledger called the blockchain. However, the time required to generate new blocks in the blockchain causes a delay in the transaction confirmation. This delay, typically around one hour in Bitcoin, is impractical for real world trade and limits the wide-spread use of blockchain-based cryptocurrencies. In this thesis, we propose a solution to prevent double-spending attacks and thus enable fast transaction confirmations using the security guarantees of Trusted Execution Environments (TEEs). We achieve this by enforcing sign-once semantics that prevent the payer from reusing designated signing keys to sign more than one transaction. We also provide a way for the payee to verify whether a specific signing key is subject to sign-once semantics. The payee, however still receives the funds later, once the transaction is verified similarly to existing credit card payments. In this way, our solution reduces transaction confirmation times of blockchain-based cryptocurrencies and is also compatible with existing deployments since it does not require any modifications to the base protocol, peers, or miners. We designed and implemented a proof-of-concept of our solution using Intel SGX technology and integrated it with Copay, a popular Bitcoin wallet from BitPay. This thesis also presents the security evaluation of our system along with other possible extensions and enhancements. / De senaste åren har begäran efter sekretess och anonymitet för ekonomisk transaktioner sporrat tillväxten av elektroniska kontanter och kryptovalutor. Introducerandet av decentraliserade kryptovalutor, som t.ex. Bitcoin, har accelereratibruktagningen av dylika valutasystem. Digitala valutor är dock sårbara för dubbelspenderande (eng.double spending) eftersom digital information är lättare attreproducera. För att förhindra dubbelspenderande bokför Bitcoin valutatrans-aktioner i en distribuerad databas, den så kallade blockkedjan (eng.blockchain), som kan motstå förvanskling av bokförda transaktioner. Tiden som krävs för attgenerera nya block i Bitcoins blockkedja leder dock till en fördröjningen företransaktioner som skapas i databasen kan bekräftas. Denna fördröjning, som oftas varar kring en timme, är opraktisk för handel i verkliga världen och begränsardärför den allmänna spridningen av blockkedgebaserade kryptovalutor. I denna avhandlingen föreslår vi en lösningen som hindrar dubbelspenderandegenom att utnyttja säkerhetsgarantier hos anförtrodda exekveringsmiljöer (eng.Trusted Execution Environments). Vi åstadkommer detta genom att hindra beta-laren från att återanvända specifika kryptografiska nycklar för att digitalt signera flera transaktioner. Vi möjligjör också ett sätt för mottagaren att bekräfta ifall en kryptografisk underteckningsnyckel är skyddad på ovannämnda sätt. Mottagaren erhåller dock betalningen först senare, likt existerande kreditkortsbetalningar. Vår lösningen förminskar transaktionstiden för Bitcoin-betalningar på ett sätt som är kompatibelt med existerande användningssätt eftersom lösningen inte kräver modifikationer i grundläggande Bitcoin-protokollet. Vi utvecklade en prototyp av vår lösning genom att utnyttja Intel SGX teknologi och integrerade prototypen med CoPay, en popular plånboksapplikation för Bitcoin utveckald av företaget BitPay. Vi presenterar även en utvärdering av säkerheten i vårt system och beskriver möjliga utökningar och förbättringar. / <p>This thesis is part of Erasmus Mundus 2-Year Masters NordSecMob program. </p>

Gaming is booming, and over the past few years, blockchain games have found their way into this market. These games operate in a highly competitive environment, where marketing is vitally important for their success. This study, commissioned by Crypto Rogue Games, aimed to explore social media marketing activities to promote their blockchain game, Crystals of Naramunz. Given this purpose, an analysis of competing developers' activities on Twitter, Facebook, and Instagram was conducted. Additionally, interviews were performed with a sample of the gaming community. The interviews also explored attitudes toward an experience with blockchain gaming. Essentially, the study indicated that Twitter is the most effective platform to target the audience. On this platform, sharing a variety of content, such as artwork, news, and game graphics, was shown to be most engaging. In addition, it was important to communicate in a creative, personalized, and interactive manner. The interviews also indicated that attitudes toward and experience with blockchain must be considered in the marketing efforts. However, as the study was limited, additional research is required to draw more detailed conclusions and to generalize these findings. / Intresset för videospel ökar, och under de senaste åren har spel baserade på blockchain hittat sin väg till denna marknad. I denna hårt konkurrensutsatta bransch är marknadsföring viktigt för att lyckas. Denna studie genomfördes i samarbete med Crypto Rogue Games. Syftet med studien var att undersöka möjligheten för marknadsföring av deras blockchain-baserade spel, Crystals of Naramunz, på sociala medier. Utifrån detta syfte genomfördes en analys av konkurrerande aktörers aktivitet på Twitter, Facebook och Instagram. Dessutom utfördes intervjuer med ett urval spelare. Dessa intervjuer undersökte även attityder till och erfarenhet av blockchainspel. Studien indikerade att Twitter är den mest effektiva plattformen för att fånga publikens intresse. På denna plattform skapade en variation av visuellt material, nyheter och spelgrafik högst engagemang. Att dela kreativt, personligt och interaktivt innehåll visade sig även vara viktigt. Vidare indikerar intervjuerna att marknadsföringen behöver ha spelarnas attityder till och erfarenhet av blockchain i åtanke. Eftersom studien var begränsad krävs det dock ytterligare forskning för att dra mer detaljerade slutsatser och generalisera resultatet.

As consumer payment services have been developed at a rapid rate in recent years, the introduction to the market of decentralised, non-regulated cryptocurrencies has enabled a significant increase in acts of criminality in the cyber environment. Efforts to combat and curb the continued growth of such illicit activities have included the development, implementation and enforcement of legislation and regulations by governing authorities on a global scale. For the purpose of this thesis, interviews were conducted with several industry experts and governmental officials specializing in the use of virtual currencies for illicit financial transactions, namely fraud, money laundering and tax evasion. While the extent to which decentralised, non-regulated payment services actually contributes to illicit financial transactions remains unclear, it can certainly be said that as the use of new and emerging virtual currencies increases, so too will acts of criminality in the cyber world.