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Gate.io Research: Bitcoin Periodic Correlation Analysis

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时间:1900/1/1 0:00:00

TL;DR1.BlackRockandCoinbase’sPartnershipstrengthensapositiveinstitutionalattitude2.USmacrorecoverybutinflationispushingFedtobemoreaggressiveonraisinginterestrates3.BitcoinreturnisgrowingclosertoUSequitymarkets4.BitcoinreturnisstrictlynegativelycorrelatedwithUSinterestrates5.BitcoinreturnissensitivetoM0changesratherthanM1orM2intheUS1.ResearchBackground

1.1InstitutionalPreference

BlackRockInc.(NYSE:BLK)announceditspartnershipwithCoinbaseGlobalInc.(NASDAQ:COIN)onAugust4,2022,sendingCoinbasesharesrocketingthatday.Thispartnershipisastrongstimulusforthenegativecryptomarketsentiment,hammeredbyfallingpricesandgovernmentinvestigations.As,BlackRock,thelargestassetmanager,ismakingiteasierforinstitutionalinvestorstomanageandtradeBitcoin.TheannouncementfueledCoinbasesharestorocketforafewdaysandwaseventuallycalmedbyCoinbase'sQ2earnings.Nevertheless,thismoveisconsideredaleapinthecryptomarketasinstitutionalinvestorsarereachingin.'Thepactisaseismicshiftinthecryptoindustry.'saidLeahWald,CEOofValkyrieInvestments.TopBlackRockclientswillgainaccesstoBitcointhroughitsAladdininvestmentmanagementsystem,makingiteasiertomanagetheirexposurealongwiththeirstocksandbonds.Andthefocus'willinitiallybeonBitcoin',BlackRockmentioned.BlackRockisthelargestassetmanagerintheworld,with8.5trillionUSDundermanagementbyJune2022andthereareapproximately21trillionUSDworthoffinancialassetsmanagedonAladdin.AccordingtoCreditSuisse,thetotalwealthoftheworldby2020is418trillionUSD,andthetotalassetonAladdincountsfor5%ofit.1.2MacroRecovery

加密货币金融公司Silvergate警告可能无法持续经营:金色财经报道,数字货币金融服务公司Silvergate周四盘前暴跌35%,公司此前警告因出售了大量资产,导致资本耗尽,并将难以偿还到期贷款,故可能无法持续经营。Silvergate还表示正在出售其证券投资组合来满足客户的提款要求,然而公司称有关出售交易已经于去年四季度造成10亿美元亏损,且公司还警告因出售这些证券投资组合可能产生更多非临时性减值而录得进一步亏损。

公司表示,这些亏损将给公司及全资附属公司Silvergate Bank的法定资本比率造成负面影响,并可能导致公司及Silvergate Bank的资本低于足够的水平,公司正在评估有关影响以及持续经营能力。

此前由于加密货币行业连续暴雷,加密货币资产暴跌,散户投资者纷纷撤资,导致Silvergate不得不于其证券投资组合大幅减值后以亏损价格出售来筹集资金。[2023/3/2 12:39:18]

TheUSeconomyadded528,000jobsinJuly,beatingestimatesby100%,andJunejobdataisupwardlyrevisedto398,000.ThebiggestpushinJulywasleisureandhospitality,particularlyinfoodserviceanddrinking.Andtheunemploymentratefellto3.5%whichisathistoricallowtyingthepre-pandemiclevel.Thisisastrongshowingofeconomicrecovery.However,theskyrocketinginflationisstillahugehurdlefortheFederalReservetocross.Standingonthishistoricalturningpointofeconomicuncertainty,itisveryimportanttoreviewwhathistoryhastaughtusandmoveforwardwiththenewforcesinthecryptoindustry.Inthisstudy,wewillexaminethehistoricalcorrelationsofBitcoinreturnsrelativetoothereconomicandmarketvariablestoshowthewaybeforeandhopetogainsomeinsightsintothepathahead.Standingonthishistoricalturningpointofeconomicuncertainty,itisveryimportanttoreviewwhathistoryhastaughtusandmoveforwardwiththenewforcesinthecryptoindustry.Inthisstudy,wewillexaminethehistoricalcorrelationsofBitcoinreturnsrelativetoothereconomicandmarketvariablestoshowthewaybeforeandhopetogainsomeinsightsintothepathahead.2.MethodofResearch&Data

Bitcoinmarketismoreofaglobalmarketratherthanaregionalone.Butinthisresearch,wearefocusingontheUSeconomyasastartingpointandwouldextendtoothereconomiesinthefuture.ThisresearchwilladoptmonthlydatafromJan.2015toJun.2022.WearepickingBitcoinmonthlyreturnsasitisabetterindicatorandeasiertocomparetoothervariables,especiallymacroeconomicvariablesinthisresearch.Correlationsbetweenallthevariableswillbecalculatedanddifferenttimeframeswillbeselectedtocalculatethecorrelationindifferenttimeframes,inanattempttoseechangesindifferentmarketconditions.ThefollowingUSmacroeconomicdataareselected:ItisimportanttostatethatanycorrelationfoundinthisresearchdoesNOTindicatecausation.Thecorrelationonlysuggeststhetendencyoftwovariablestomovetogether,andhowdeepthattendencyis.Causationrelationscanonlybeinferredthroughfurtherstudies.AlldatausedinthisresearchisfromtheSt.LouisFREDdatabase.3.SimpleCorrelationAnalysis

Gate.io:网传资产清单只是部分资产,用户也未在黑客攻击下遭受损失:金色财经报道,针对今日“链上分析师ZachXBT披露加密交易所Gate.io曾在2018年4月21日被朝鲜黑客盗取了2.3亿美元,至今未向客户公布”一事,Gate.io对金色财经独家回应称,根据美国相关部门的调查2018年有数家知名平台受到黑客攻击,但Gate.io的用户并未在此次攻击中遭受任何损失。Gate.io从2020年开始进行100%保证金审计,到今年是第二次进行用户资产审计了。此外,网传的资产清单里面只是Gate.io部分热钱包的少量资产。

除此之外,Gate.io在以下单个地址就有14万ETH,和价值2亿美元的Token。地址(0xC882b111A75C0c657fC507C04FbFcD2cC984F071)[2022/11/15 13:08:04]

3.1Methodology

Simplecorrelationanalysiswoulduseallthedatatocalculateonecorrelationcoefficientbetweenanytwovariables.Thisanalysisistogiveamacroviewoftherelationbetweenallthevariablesandservesasabenchmarkforthefollowinganalysis.3.2Correlations&Analysis

ThechartaboveshowsthesimplecorrelationcoefficientsbetweenBitcoinreturnsandothervariables.Therearethreeinterestingfactswefound:1.Althoughthecorrelationcoefficientsarelowingeneral,withahighof0.27andalowof-0.23,thecoefficientsarehigherincertainmarketreturnscategories.2.ThecorrelationbetweenBitcoinreturnsandinflationforallurbanconsumersisnear0,andthecorrelationwithinflationinfoodissignificantlyhigherat-0.23.ThisisagoodindicationthattheUSmoneysupplycausedinflation,andtheoversupplycoupledwithCovidencouragedalargenumberofindividualindicatorstopurchaseBTCduringtheCovidWFHperiod.3.Thecorrelationintheinterestratecategoryisallnegative,suggestingtheriskynatureofBitcoinreturns.ThiscouldbecausedbystronginterestmovesbytheFederalReservetocontrolinflation.4.CommoditymarketdoesnothaveanobviousrelationwithBitcoinreturns.4.AnnualCorrelationAnalysis

Gate.io现货网格交易投资额突破2亿美元:据官方公告,继Gate.io网格交易总交易资金量突破2亿美元新纪录后, 网格交易现货单项投资额也已突破2亿美金。

截止2021年2月24日,网格交易现货总投资金额达200582280.92美金,合约网格交易总投资金额达40210391.19美金,目前总计超过102,000个策略正在运行中。[2021/2/24 17:48:23]

4.1Methodology

AnnualcorrelationanalysiswoulddivideeachvariableintodifferentnatureyearsandcalculatethecorrelationwithineachyeartofindaprogressionofrelationsbetweenBitcoinreturnsandothervariables.ThechangesincorrelationcoefficientswouldoffergoodinsightsintohowBitcoinreturnsprogressovertheyears.Wewouldalsocomparetheannualcorrelationwiththesimplecorrelationfromtheprevioussection.Andsincewearestillintheyear2022,wefurtherexaminedtheresultswithandwithoutdatafrom2022attheendofthesection.4.2Correlations&Analysis

ThefigureaboveshowsthecorrelationevolutionbetweenBitcoinreturnsandmajormarketindexreturns.Asthefigureshows,thetrendvariesovertheyearsandisextremelyunstable.However,thecorrelationsareveryclosetoeachotheruntil2022.Thiscouldbeexplainedbythelackofdatain2022orthesignificantbearmarketorabadmacroeconomicenvironment.Whenwetakeacloselookatthisgraph,theupwardtrendisveryclear,especiallybefore2022.ThereisagrowingtiebetweenBitcoinreturnsandmajormarketindexes.Thereisanothercharacteristicofthisgraphwhencomparedtotheothers,isthatthelinesareverytighttogether.Thisiscausedbythehighcorrelationbetweenmarketindexes,around80%oftheequitymarketmovestogether.Thefigureaboveshowstheannualcorrelationbetweeninflationsandlabormarketstatistics.Somecleartrendscanbeobserved:1.ThecorrelationbetweeninflationandBitcoinreturnsisdroppingovertheyears,whiletheinflationinfoodandBitcoinreturnsareslowlygrowingties.ThismaysuggestthatBitcoinisgrowingawayfromitsdigitalgolddefinitionandbecomingmoreofariskyasset.2.ThecorrelationsbetweenBitcoinreturnsandlabormarketstatisticsareallrisingfrom2015to2021anddroppingsharplyin2022,especiallythecorrelationwiththeunemploymentrateofpeoplewithbachelor'sorhigherdegreesandagesover25.ThisfigureshowsthecorrelationtrendbetweenBitcoinreturnsandmoneysupply.Itisclearthatthecorrelationlevelsarerisingthrough2015and2021.Thecorrelationpeakedin2021andsoonturneddownin2022.Thedownturnin2022,couldbejustanadjustmentofanupwardtrend,likemanybefore.Oritissimplyduetothelackofdatain2022.ThistrendalsoshowsthatBitcoin'sbehaviorresemblesthatofariskyasset,withapositivecorrelationtomoneysupplies.Figure5showsthecorrelationbetweenBitcoinreturnsanddifferentinterestratelevels.SimilartoFigure2,thelinesareverytightandtrendinginthesamedownwarddirection.ThedownwardtrendofthefigureisveryclearandthisisinlinewithwhatwasfoundinpreviousfiguresthatBitcoinisbehavinglikeariskyassetratherthanarisklessone.Asimpleeconomicslessonhere.Whenthereistoomuchmoneyintheeconomy,theFederalReservewouldincreasetheinterestratetoreduceliquidity.Lessmoneyintheeconomywouldcauseriskyassets,likeequities,totank.Therefore,thecorrelationbetweentheequitymarketandinterestratelevelisnegative.WhenBitcoinisnegativelycorrelatedwithinterestratesandpositivelycorrelatedwiththeequitymarket,wecouldinferthatBitcoinisactinglikeariskyasset.4.3AnnualCorrelationSummary

Gate.io即将开始Startup项目NUX认购:据官方公告,Gate.io Startup项目Peanut (NUX) 即将在今日中午12点开始认购,认购截止时间为2021年2月10日(今日)18:00,六小时内有效下单同等对待。本次首发认购抢先前100名参与有奖,每人可获得5个NUX早鸟奖励。[2021/2/10 19:24:46]

Theannualcorrelationcoefficientssummaryisasfollows:Asthetableabovesummarizes,thereareverycleartrendsbetweenBitcoinreturnsandmostofthevariables.However,allthetrendsshiftedin2022.Asmentioned,thiscouldbeexplainedbythelackofdata,sincethereareonly6monthsofdatainthesample.OrthestrongBearmarketistoblamefortheshift.Ingeneral,BitcoinisbehavingclosetoariskyassetwithagrowingcorrelationwiththeUSequitymarket.5.Bull&BearCorrelationAnalysis

5.1Methodology

Inthismethod,wewouldtrytocutthedatabybullandbearmarketconditions,andcalculatethecorrelationbetweentheBitcoinreturnsandothervariablesineachmarketcondition.Inthismethod,wewouldliketoexploretheinteractionsindifferentmarketconditions.SincethedefinitionofBullorBearmarketconditionisnotstrictlydefined,thedivisionofdataissubjectivetoourdefinitionsandtheconclusionissubjecttopersonalview.Ourdefinitionisasfollows:Bullmarket:whentheBTCreturnsareingeneralpositiveandrising.Bearmarket:whentheBTCreturnsareingeneralnegativeanddecreasing.Figure6showsthemonthlyreturnsofBitcoinforthepastfewyears,andwewilldividetheBullandBearmarketasfollows:5.2CorrelationsandAnalysis

Accordingtoourbullandbearmarketdivision,thecorrelationbetweenBitcoinreturnsandmarketindexesishigherinbullmarketsandlowerinbearmarkets.ThisfindingsuggeststhatBitcoinreturnsaremoreinsyncwithstockmarketreturnsduringbullrunsandlessinpaceduringbearmarkets.TheCorrelationbetweenmoneysupplyandBitcoinreturnsisnotuniform,suggestingthemoneybaseismorecloselyrelatedtoBitcoinreturnsthanM1andM2duringdifferentmarketconditions.Figure9showstheevolutionofBitcoinasanasset.Duringthefirstbullmarket,thepositivecorrelationsuggestsBitcoinismorelikearisklessasset.However,asBitcoinevolvesoverthemarketcondition,itisgainingtheattributeofariskyasset,ratherthanarisklessone.Aswementionedatthebeginningofthissection,thedefinitionofbullandbearmarketsisnotstrict.Wemadeourdefinitionsandbasedouranalysisonthem.Theresultsinthissectionarenottobeinferredasinvestmentsuggestions.6.BTCReturnsVolatilityComparisonAnalysis

Gate.io将支持波卡(IOU)DOT(old)100倍拆分方案:据官方公告,Gate.io将支持波卡(IOU)DOT(old)100倍拆分方案。希望Gate.io完成拆分的用户请于8月21日前充值DOT到平台。拆分前,Gate.io将暂停DOT充提服务和所有交易,并将根据用户DOT持仓总量,充值99倍原持仓量到用户现货账户实现拆分。拆分后原理财账户和刚刚账户的资金量和订单量均不受影响。

(IOU)DOT重新上线交易后,价格将发生大幅变动,请用户下单前务必了解清楚。[2020/8/4]

6.1Methodology

Inthepreviousanalysis,wehaveestablishedthatBitcoinreturnsaregrowingmorepositivelycorrelatedwithmajorUSequitymarketindexes.Inthissection,wewillexplorethevolatilityofBitcoincomparedtotheUSequitymarketindexes.Wewillcalculatethestandarddeviationtoquantifyvolatilityforeachyear.Thehigherthestandarddeviationis,thegreaterthevolatilityis.6.2Volatility

Thefigureaboveshowsthevolatilitylevelsovertheyears.WecanclearlyseethatBitcoinvolatilitiesaresignificantlyhigherthanthatoftheequitymarkets.ThisisenoughtosaythatBitcoinisariskyassetwithhighvolatility.Anotherinterestingdiscoveryisthatequitymarketreturnsvolatilityisraisingfrom2017to2020,butBitcoinreturnsvolatilityisdropping.Combinedwiththegrowingcorrelation,thisisshowingsomelevelofconvergencebetweentheBitcoinmarketandthemajorUSequitymarket.7.Conclusion

Bitcoinandblockchaintechnology,withtheirgrowingimpactandtechnicalcapability,aregainingmoreandmoreattentionaroundtheworld,andBlackRockisjustthelatestofmany.Thisstudy,asmentionedinthebeginning,isasimplerecapofhowBitcoinhasevolvedintermsofrelationswiththemarketandeconomicvariablesovertheyears.Thereweremanyupsanddowns,andsowillthefuture.Whathasnotchangedisourfaithinthistechnologyanditsbrightfuture.Therearesomesimpleconclusionsthatwecandrawfromthisstudy:1.Bitcoinisgrowingmorecloselytoanequity-likeriskyassetwithahighpositivecorrelationwiththeequitymarketsandanegativecorrelationwithinterestrates.2.BitcoinreturnsaremoresensitivetomonetarybasechangesratherthanM1orM2.3.Bitcoinreturnsarenegativelycorrelatedtoinflationbutpositivelycorrelatedtoinflationinfood.4.Bitcoinreturnsaremorecloselyrelatedtoequitymarketsduringbullruns.5.BitcoinreturnsvolatilityissignificantlyhigherthanthatofthemajorUSequitymarketswhichmeansBitcoinisfarriskier.Disclaimer

*Thisarticlerepresentsonlytheviewsoftheobserversanddoesnotconstituteanyinvestmentsuggestions.*Gate.ioreservesallrightstothisarticle.RepostingofthearticlewillbepermittedprovidedGate.ioisreferenced.Inallothercases,legalactionwillbetakenduetocopyrightinfringement.GatewaytoCryptoTradeover1,400cryptocurrenciessafely,quicklyandeasilyonGate.ioSignuptoenterthecryptogatewayandget40%commissionfromreferralsDownloadiOS/AndroidApprightnow.Reachouttous!Twitter:https://twitter.com/gate_ioTelegram:https://t.me/gate_ioInstagram:https://www.instagram.com/gateioglobalMedium:https://medium.com/@gateioPodcast:https://gateio.buzzsprout.com/?ch=buzzsGate.ioTeamOctober20

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