Trends in Crypto-Currencies and Blockchain Technologies: A Monetary Theory and Regulation Perspective

Peters, Gareth W.; Panayi, Efstathios; Chapelle, Ariane

doi:10.2139/ssrn.2646618

Cited by 159 publications

(106 citation statements)

References 20 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…One of these is ''Ethereum'', which is a platform upon which whole decentralized applications may be run (see Wood 2016). Many papers, including Peters and Panayi (2015) and Harvey (2016) discuss the blockchain from a technical perspective.…”

Section: Blockchain Technologymentioning

confidence: 99%

KYC Optimization Using Distributed Ledger Technology

2017

View full text Add to dashboard Cite

The know-your-customer (KYC) due diligence process is outdated and generates costs of up to USD 500 million per year per bank. The authors propose a new system, based on distributed ledger technology (DLT), that reduces the costs of the core KYC verification process for financial institutions and improves the customer experience. In the proposed system, the core KYC verification process is only conducted once for each customer, regardless of the number of financial institutions with which that customer intends to work. Thanks to DLT, the result of the core KYC verification can be securely shared by customers with all the financial institutions that they intend to work with. This system allows for efficiency gains, cost reduction, improved customer experience, and increased transparency throughout the process of onboarding a customer.

show abstract

Section: Blockchain Technologymentioning

confidence: 99%

KYC Optimization Using Distributed Ledger Technology

2017

View full text Add to dashboard Cite

show abstract

“…The state of Tennessee signed into law a bill that recognizes smart contracts as having legal power [24], providing a pathway for other states to follow and further securing the legitimacy of these digital arrangements. Blockchain based smart contract firm Hedgy has also created irrefutable and unalterable "Smart Futures" that can enforce digital obligations and streamline settlements [25]. As more and more investors begin creating and trading new smart contracts, blockchain may 1 day even "democratize" the OTC market and open a plethora of new smart instruments to be exchanged.…”

Section: Application To Cryptocurrenciesmentioning

confidence: 99%

The Amnesiac Lookback Option: Selectively Monitored Lookback Options and Cryptocurrencies

Chang

2018

Front. Appl. Math. Stat.

View full text Add to dashboard Cite

This study proposes a strategy to make the lookback option cheaper and more practical, and suggests the use of its properties to reduce risk exposure in cryptocurrency markets through blockchain enforced smart contracts and correct for informational inefficiencies surrounding prices and volatility. This paper generalizes partial, discretely-monitored lookback options that dilute premiums by selecting a subset of specified periods to determine payoff, which we call amnesiac lookback options. Prior literature on discretely-monitored lookback options considers the number of periods and assumes equidistant lookback periods in pricing partial lookback options. This study by contrast considers random sampling of lookback periods and compares resulting payoff of the call, put and spread options under floating and fixed strikes. Amnesiac lookbacks are priced with Monte Carlo simulations of Gaussian random walks under equidistant and random periods. Results are compared to analytic and binomial pricing models for the same derivatives. Simulations show diminishing marginal increases to the fair price as the number of selected periods is increased. The returns correspond to a Hill curve whose parameters are set by interest rate and volatility. We demonstrate over-pricing under equidistant monitoring assumptions with error increasing as the lookback periods decrease. An example of a direct implication for event trading is when shock is forecasted but its timing uncertain, equidistant sampling produces a lower error on the true maximum than random choice. We conclude that the instrument provides an ideal space for investors to balance their risk, and as a prime candidate to hedge extreme volatility. We discuss the application of the amnesiac lookback option and path-dependent options to cryptocurrencies and blockchain commodities in the context of smart contracts.

show abstract

“…In den bisherigen Anwendungen der Blockchain-Technologie wird zwischen unterschied- (Nakamoto, 2008;Vukolić, 2015 Zusätzlich kann eine Blockchain als offenes oder geschlossenes Netzwerk implementiert werden (Peters, Panayi, & Chapelle, 2015). Aktuell wird die Blockchain-Technologie für unterschiedliche Anwendungen benutzt, welche unter den Konzepten Kryptowährungen oder Smart Contracts zusammengefasst werden können (Mougayar, 2015).…”

Section: Blockchainunclassified

“…Historisch betrachtet stellen Kryptowährungen die erste Anwendung der Blockchain dar (Peters et al, 2015 …”

Section: Anwendungsbeispieleunclassified