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Rational investors look into maximizing returns with minimal risk. Since this is highly unlikely, optimizing risk and return is a practical solution. Bitcoin is a new financial product that can be included in an investment portfolio. This paper looks at Bitcoins as a separate asset class and attempts to capture the volatility using the Exponential GARCH (E‐GARCH) as well as to check if Bitcoins can be used as an optimal tool to hedge using the Dynamic Conditional Correlation GARCH against four traditional asset classes in the U.S. economy which includes the stock market (S&P 500 index), Bonds (U.S. Aggregate Bond Index), Gold and Crude Oil. The period of study is a little over 7 years. The results suggest that Bitcoin stands as a highly speculative class of asset with extremely high volatility and with respect to hedging, Bitcoin stands as a possible tool of hedge with the U.S. Aggregate Bond index and to a certain extent against Gold but fails to be an optimal hedge against the S&P 500 and Crude Oil in the U.S. economy between April 29, 2013 and October 31, 2019 due to its highly volatile nature.

PurposeThe authors develop new quantitative methods to estimate the level of speculation and long-term sustainability of Bitcoin and Blockchain.Design/methodology/approachThe authors explore the practical application of speculative bubble models to cryptocurrencies. They then show how the approach can be extended to provide estimated brand values using data from Google Trends.FindingsThe authors confirm previous findings of speculative bubbles in cryptocurrency markets. Relatedly, Google searches for cryptocurrencies seem to be primarily driven by recent price rises. Overall results are sufficient to question the long-term sustainability of Bitcoin with the suggestion that Ethereum, Bitcoin Cash and Ripple may all enjoy technical advantages relative to Bitcoin. Our results also demonstrate that Blockchain has a distinct value and identity beyond cryptocurrencies – providing foundational support for the second generation of academic work on Blockchain. However, a relatively low estimated long-term growth rate suggests that the benefits of Blockchain may take a long time to be fully realised.Originality/valueThe authors contribute to an emerging academic literature on Blockchain and to a more established literature exploring the use of Google data within business analytics. Their original contribution is to quantify the business value of Blockchain and related technologies using Google Trends

We examine the short‐term and long‐term effects of hacking events on bitcoin return. Additionally, we attempt to find out if investors can benefit from these events by adopting and modifying the models proposed by Baur et al. (2018) [Journal of International Financial Markets, Institutions & Money, 54, 177–189] who compare the performance of bitcoin against FX returns and the S&P500. The results show that hacking events present an opportunity for investors to make a profit if they invest in bitcoin, stocks and currencies. Such an opportunity, however, does not last for long.

orcid:0000-0003-4048-5041 ; This work elaborates on the statistical study of the first cryptocurrency made: Bitcoin. It presents a brief introduction to the basic concepts behind the functioning of the entity, as well as some studies regarding technical, ethical, and legal aspects. Regarding the Economic and Financial themes, the issue to approach relates with the implementation into markets. The introduction of new assets into the basket available for investors may cause certain risks if it is now fully understood and inadequate assumptions are used to assess the exposure or asset allocation. To address this topic, this document is divided in 5 chapters regarding the analysis of certain properties through financial models. First, the stylized facts on the diversity of cryptocurrencies is studied through descriptive statistic and qualitative techniques. Second, a bubble detection algorithm is deployed over the Bitcoin series detecting 11 episodes. It is then analyzed the reasons behind such events. The results indicate the existence of three stages in the series: the oldest related with government intervention, second a speculative bubble and third a stabilization period related with the evolution of the market. Third, with these results a Value at Risk and Expected Shortfall methodology with the Normal Inverse Gaussian (NIG) distribution is presented as an argument to use this specification for further developments. Fourth, determined the capability of NIG to fit data (even above the general distribution) a multivariate rolling window estimation is used in trivariate baskets of financial assets. With the parameters adjusted to the statistical properties, the asset allocation problem is set to find the optimal weights that reduce risk. The results show the transition of Bitcoin from being a speculative asset with almost zero weight, to develop a hedging capability in the commodity portfolio. ; Doctor en Ciencias Financieras

Bitcoin is the oldest and most widely established cryptocurrency network with the highest market capitalization among all cryptocurrencies. Although bitcoin (with lowercase b) is increasingly viewed as a digital asset belonging to a new asset class, the Bitcoin network (with uppercase B) is a decentralized financial market infrastructure (dFMI) that clears and settles transactions in its native asset without relying on the conventional financial market infrastructures (FMIs). To be a reliable asset class as well as a dFMI, however, Bitcoin needs to have robust governance arrangements; whether such arrangements are built into the protocol (i.e., on-chain governance mechanisms) or relegated to the participants in the Bitcoin network (i.e., off-chain governance mechanisms), or are composed of a combination of both mechanisms (i.e., a hybrid form of governance). This paper studies Bitcoin governance with a focus on its alleged shortcomings. In so doing, after defining Bitcoin governance and its objectives, the paper puts forward an idiosyncratic governance model whose main objective is to preserve and maximize the main value proposition of Bitcoin, i.e., its censorship-resistant property, which allows participants to transact in an environment with minimum social trust. Therefore, Bitcoin governance, including the processes through which Bitcoin governance crises have been resolved and the standards against which the Bitcoin Improvement Proposals (BIPs) are examined, should be analyzed in light of the prevailing narrative of Bitcoin as a censorship-resistant store of value and payment infrastructure. Within such a special governance model, this paper seeks to identify the potential shortcomings in Bitcoin governance by reference to the major governance crises that posed serious threats to Bitcoin in the last decade. It concludes that the existing governance arrangements in the Bitcoin network have been largely successful in dealing with Bitcoin's major crises that would have otherwise become existential threats to the Bitcoin network.