Empirical Properties of Tokens and Crypto-Currencies
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1 Empirical Properties of Tokens and Crypto-Currencies Hermann Elendner Humboldt-Universität zu Berlin 7 th June, 2018 AMF, Paris ICOs, crypto-assets: What future? What regulatory framework?
2 Crypto-currencies are neither κρυπτóς nor currency yet little understood... trading in remarkable transparency often real-time and high-frequency yet often subject to irrational investment up to outright fraud challenging to reconcile with a standard finance perspective And also evil? (Krugman, 2013)... insignificant... volatile! Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 1 / 15
3 Why suddenly so much attention for crypto-currencies? Legal/political/societal/civic and technological importance Implications of value information Most important aspects of cryptos, but not subject of this talk Economic relevance Novel asset class Disintermediation of raising capital venture financing Financial relevance Recent extra-ordinarily high past returns Low correlation of crypto-returns to standard financial assets diversification benefits Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 2 / 15
4 Economic relevance Novel way to raise capital Traditional way to finance high-tech startups: private-equity funds for venture capital consistently higher returns than any other asset class provide access only to high-wealth individuals and professional investors extreme difficulty for start-ups to obtaining financing bargaining power with investors reap most benefits many ideas go unfunded = untried Despite severe problems, ICOs do disintermediate venture financing. Novel asset class Cryptographic tokens are the only feasible means to power decentralised apps and smart contracts! Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 3 / 15
5 Financial relevance Recently high realised returns year USD simple return ,565.01% % ,338.56% % % % 14, ,387.74% Bitcoin returns not ICOs! Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 4 / 15
6 Financial relevance Low correlations diversification Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 5 / 15
7 Financial relevance Portfolio composition of traditional and crypto assets for different objective functions. Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 6 / 15
8 Daily returns of the 10 largest-cap cryptos BTC, ETH, XRP, LTC, DASH, DOGE, MAID, BTS, XEM, XMR Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 7 / 15 High volatilities Financial relevance Standard deviation in rolling windows standard deviation Sep Jan Apr Jul Oct Jan Apr Jul
9 Objective: Today s focus: resiliency of crypto markets Investigate the claim that high volatility is a problem: How effectively can crypto-currency market-places allocate? Study liquidity (and its relation to returns/ return shocks): how much price impact does trading have? evolution over time resiliency to large shocks across cryptos The ability to trade at fundamental value is key for economic efficiency. In the stock market, frequently liquidity evaporates when shocks hit. (Garleanu and Pedersen, 2007; Brunnermeier and Pedersen, 2009; Gromb and Vayanos, 2002; Kyle and Xiong, 2001; Hameed et al., 2010;... ) Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 8 / 15
10 Liquidity as indicator of market maturity Yet liquidity is an elusive concept, captured only by vague proxies. The standard measures are: Amihud measure: ILLIQ i t = 1 N N Rt,j i Vol i j=1 t,j For asset i with j = 1,..., N trades with return R i t,j and volume Vol i t,j in time period t. Quoted bid-ask spread PIN probability of informed trading. (Easly et al., 2002) In the following I study the effect of market declines on crypto tokens liquidity, based on the Amihud measure and Hameed et al. (2010). Study cryptos when they are most stressed. Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 9 / 15
11 Liquidity of cryptos Illiquidity measure for top 10 cryptos btc eth xrp ltc dash maid doge xem xmr bts Mar Jul Oct Jan Apr Jul Oct Jan Apr Jul Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 10 / 15
12 Liquidity of cryptos Illiquidity measure for BTC on krakeneur / / Jan 01 Feb 01 Mar 01 Apr 01 May 01 Jun 01 Jul 01 Aug 01 Sep 01 Oct 01 Nov 01 Dec 01 Jan Jan 09 Apr 01 Jun 01 Aug 01 Oct 01 Dec 01 Feb 01 May 01 Jul 01 Sep 01 Dec 01 Mar 05 Jun 01 Aug 01 Oct 01 Dec 01 Feb 01 May 01 Jul 01 Sep 01 Dec Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 11 / 15
13 Measuring Liquidity: Accounting for regularities 6 ILLIQ t,c = δ d,c DAY d,t + 11 µ m,c MONTH m,t + d=1 m=1 (1) χ c HOLIDAY t + ψ c YEAR t + ALIQ t,c Estimate Std. Error t-value Pr(> t ) δ Sat,BTC δ Sun,BTC *** ψ BTC < 2e-16 *** Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 12 / 15
14 Modelling liquidity shocks: relation to returns ALIQ t,c =α c + 4 β k,c R t k,c + 1 σ k,t STD t k,c + k=1 k=0 (2) 4 γ k,c ALIQ t k,c + ε t,c k=1 Estimate Std. Error t-value Pr(> t ) stocks α c *** β 1,BTC β 2,BTC β 3,BTC β 4,BTC γ 1,BTC *** + γ 2,BTC *** + γ 3,BTC *** + γ 4,BTC ** γ 5,BTC γ 6,BTC Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 13 / 15
15 The effect of large negative shocks 4 4 ALIQ t,c =α c + β k,c R t k,c + βk,cr C t k,c Dt k+ C k=1 1 σ k,t STD t k,c + k=1 4 k=0 k=1 γ k,c ALIQ t k,c + ɛ t,c (3) Estimate Std. Error t-value Pr(> t ) stocks α BTC e-05 *** β 1,BTC β 2,BTC β 3,BTC β 4,BTC γ 1,BTC *** + γ 2,BTC *** + γ 3,BTC *** + γ 4,BTC ** γ 5,BTC γ 6,BTC β C 1,BTC β C 2,BTC β C 3,BTC β C 4,BTC (+) Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 14 / 15
16 Conclusion Crypto-assets have established a new asset class. They finance distributed apps and smart contracts. Until their market is integrated with the remaining financial markets, abnormal and unpredictable return patterns are to be expected but no longer. Financial folly: this time is different (recall new economy ) This integration is proceeding switftly! In some ways, crypto markets are already more developed than corresponding traditional markets. Liquidity provides a better measure of a crypto s maturity than returns or market cap do. caveat: until scalability constraints bind Importantly, cryptos markets prove resilient in the presence of the return shocks they experience. Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 15 / 15
17 Thank you for your attention Comments welcome
18 The effect of cryptos on the efficient frontier Temporary interactive demo: Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 16 / 15
19 After the.com bubble has burst Global top 10 firms by market cap in 2018: Source: So the internet was a bubble then, and cryptos are (such) a bubble now? Hermann Elendner (HU Berlin) Financial Properties of Crypto-Assets 17 / 15
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