1.
요즘 만나는 사람마다 물어보면 같은 대답을 합니다.
“비트코인에 투자할까?”
“거품에 투자하지마라!”
비트코인을 미래라고 주장하지만 저는 ‘아니라’고 생각합니다.
비트코인과 중앙은행이 발행할 수 있는 디지탈화폐(CBCC)의 핵심적인 차이는 무엇일까요? 첫째는 지급보증(Backed), 둘째 Rebate(채굴)이 없다는 점입니다. 비트코인이 디지탈화폐의 미래는 아닙니다.https://t.co/6dbeQ1T24e
— smith Kim (@smallake) December 8, 2017
암호통화 규제를 반대하는 분들이 펴는 논리중 '블록체인'을 언급합니다. 암호통화의 원장이 블록체인이지만 블록체인은 이미 암호통화와 다른 발전의 길을 걷고 있고 그것이 현실입니다. 이런 사실을 외면하고 그저 블록체인을 위해 규제를 하지 말자고 하면 그 또한 산업만능론입니다.
— smith Kim (@smallake) December 7, 2017
그렇다고 중국처럼 ‘금지’하는 정책을 반대하고 ‘암호통화거래소를 제도화하는 것을 도박장을 승인하는 조치’라고 궤변을 늘어놓은 한국 금융위원회를 옹호할 생각도 없습니다. 막는다고 투자 혹은 투기를 하는 사람을 막을 방법은 없습니다. 또한 손실만 보면 금융위원회를 끌어들이려 하거나 기업의 IT서비스에 책임을 묻는 것도 옳지 않습니다. 묻지마 투자로 손실을 보면 그것은 전적으로 투자자 개인이 책임져야 합니다.
어떤 시장이든 스스로 시장을 분석하고 공부를 하여야 합니다. 암호통화시장이 다른 시장과 다른 점중 하나가 ‘가격제한제도’입니다. 급등과 급락을 반복하는 시장이라서 일확천금을 노리는 투자자에겐 매력적입니다.
2.
가격제한제도가 시장이 급격하게 변하는 원인이지만 또다른 원인은 펌프앤덤프세력입니다. 그래서 가격의 추세를 예측하는 것은 쉽지 않습니다. 어떤 방법이 없을까요? 이런 고민을 하다가 눈에 들어온 논문이 있습니다.
High-Frequency Jump Analysis of the Bitcoin Market
아래가 논문의 결론입니다. 결론중 관심이 가는 부분은 Whale Index라고 표현한 Jump의 예측입니다.
In this paper, we have been able to conduct such a study for the bitcoin-to-U.S. dollar (BTC/USD) exchange rate using transaction-level data obtained from Mt. Gox exchange , the leading platform during the sample period of June 2011 to November 2013. We contribute to the literature in several ways. First, in contrast to large-cap stock markets, we find that jumps are frequent: out of the 888 sample days, we identify 124 jump days, or on average one jump day per week. In contrast to the intuition that relates jumps to crash events, most jumps are in fact positive. They are economically significant, with a mean size of 4.65% for positive jumps and -4.14% for negative ones. Second, we show that jumps cluster in time: we find runs of jump days that are incompatible with the classical assumption of independent Poisson arrival times. Third, we estimate a binary probit model of jump occurrence using covariates that proxy for 24 illiquidity and market activity, including the ‘whale’ index, a novel measure of the concentration of order flow across traders that exploits a unique feature of our data set which allows us to identify individual traders. We find that illiquidity, order flow imbalance, and the preponderanceof aggressive traders are significant factors driving the occurrence of jumps. Finally, we test for the effect of jumps on several market measures and find that jumps have a positive impact on market activity as proxied by volume and number of traders and a negative impact on liquidity. The measured impacts disappear gradually and are no longer significant after an hour, except for the effect on the price level which is persistent. We have thus shown that jumps are an essential component of the price dynamics of the BTC/USD exchange rate. They are associated with several identified factors, some of which are directly observable from available market data. These conclusions have immediate implications for the modeling of the exchange rate. Further research could seek to verify whether we can extend our conclusions to other financial markets that share characteristics with the studied market, but whose detailed transaction level records are still unavailable.
이와 관련하여 블룸버그가 비트코인시장에 대한 중요한 정보를 보도하였습니다. “1000여명의 큰손이 비트코인의 40%를 가지고 있고 이들이 시장조작을 하고 있다”고 합니다.
About 40 percent of bitcoin is held by perhaps 1,000 users; at current prices, each may want to sell about half of his or her holdings, says Aaron Brown, former managing director and head of financial markets research at AQR Capital Management. (Brown is a contributor to the Bloomberg Prophets online column.) What’s more, the whales can coordinate their moves or preview them to a select few. Many of the large owners have known one another for years and stuck by bitcoin through the early days when it was derided, and they can potentially band together to tank or prop up the market.
“I think there are a few hundred guys,” says Kyle Samani, managing partner at Multicoin Capital. “They all probably can call each other, and they probably have.” One reason to think so: At least some kinds of information sharing are legal, says Gary Ross, a securities lawyer at Ross & Shulga. Because bitcoin is a digital currency and not a security, he says, there’s no prohibition against a trade in which a group agrees to buy enough to push the price up and then cashes out in minutes.(중략)
“As in any asset class, large individual holders and large institutional holders can and do collude to manipulate price,” Ari Paul, co-founder of BlockTower Capital and a former portfolio manager of the University of Chicago endowment, wrote in an electronic message. “In cryptocurrency, such manipulation is extreme because of the youth of these markets and the speculative nature of the assets.”
The recent rise in its price is difficult to explain because bitcoin has no intrinsic value. Launched in 2009 with a white paper written under a pseudonym, it’s a form of digital payment maintained by an independent network of computers on the internet‚ using cryptography to verify transactions. Its most fervent believers say it could displace banks and even traditional money, but it’s only worth what someone will trade for it, making it prey to big shifts in sentiment.
The Bitcoin Whales: 1,000 People Who Own 40 Percent of the Market중에서
(*) 블룸버그 기사에 대한 번역기사입니다.
비트코인 시장, 큰손들 작전에 취약…1000명이 40% 보유
위의 논문을 쓴 O. Scaillet은 University of Geneva GSEM and GFRI( Swiss Finance Institute)에 몸담고 있으면 Jump현상에 관심을 가진 듯 합니다. 위 논문 말고 다른 논문도 같은 주제를 다루고 있습니다.
3.
그러면 비트코인시장의 미래는 어떨까요? ZeroEdge에 올라온 글입니다. 현재의 이익은 일확천금을 노리는 집단적인 환상(crowd delusion)의 산물이라고 하고 큰손과 개미들의 이해가 일치하는 순간까지만 장미빛입니다. 언제 이해관계가 대립할지 알 수 없습니다만.
while the whales can exercise unrivaled influence over the price of bitcoin, they aren’t the only players in the bitcoin market with a natural inclination toward self-dealing. As Bill Blaine pointed out, nearly every bank knows bitcoin’s extraordinary gains are a crowd delusion fuelled by the extraordinary promise of free wealth.
Yet, many will be willing to trade and settle them for their clients – largely retail. So, while the bitcoin bubble has (for now) blessed hundreds of thousands of mom and pop investors with spectacular returns, these gains will only continue as long as the cartel allows them too.
Bitcoin Has A “Whale” Problem: 1,000 Investors Control Nearly Half The Market중에서
