Mr Bitcoin High quality books
Mr Bitcoin
By:Mpho Dagada
Published on 2018 by
Bitcoin is a decentralised virtual currency that uses cryptography to remove the need for trust between agents and intermediaries. Though it is deemed a currency, the cryptographic nature of bitcoin gives it characteristics similar to commodities, for example, gold. This thesis examines the relationship between spot and futures prices in the bitcoin market. It also applies the well known Gibson-Schwartz model to the pricing of bitcoin futures contracts. A sample from March 2013 to February 2015 is considered, including two separate periods of substantial increase in the bitcoin spot market. Findings suggest that the futures market was significantly in contango, with convenience yields often below -100% p.a. and significant arbitrage profits readily available. The convenience yield is found to be mean-reverting and decreasing in magnitude since 2013, with the market inefficiently pricing convenience yield risk. A negative relationship between the convenience yield and spot price volatility is observed, drawing comparisons with the electricity market. Overall, the Gibson-Schwartz model is found to provide a good fit to nearest-term futures contracts, while it fails to appropriately price bitcoin futures with longer maturities.
This Book was ranked at 14 by Google Books for keyword bitcoin.
Book ID of Mr Bitcoin's Books is eZqruQEACAAJ, Book which was written byMpho Dagadahave ETAG "MxhwtfZgsXo"
Book which was published by since 2018 have ISBNs, ISBN 13 Code is 9781431426720 and ISBN 10 Code is 1431426725
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Book which have "176 Pages" is Printed at BOOK under CategoryBitcoin
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