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Financial Analytics: Science and Experience
 

A theory of cryptoasset valuation

Vol. 10, Iss. 6, JUNE 2017

PDF  Article PDF Version

Received: 31 January 2017

Received in revised form: 20 March 2017

Accepted: 17 April 2017

Available online: 15 June 2017

Subject Heading: MATHEMATICAL ANALYSIS AND MODELING IN ECONOMICS

JEL Classification: C72, D61, E42

Pages: 691-700

https://doi.org/10.24891/fa.10.6.691

Mikhailov A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation
alexeyfa@ya.ru

Importance The article proposes a cryptoasset valuation system and price pattern on the basis of GARCH-approach. The article shows what cryptoasset reporting system can be used for investment evaluation and improvement of the attractiveness of the relevant market for potential investors.
Objectives The paper aims to form a theoretical basis for cryptoasset valuation and generate proposals on development of a single reporting system of the relevant market.
Methods I used principles of cryptoasset ranking on the basis of the existing methodology of International Accounting Standards. For cryptoasset price forecast, I propose using a standard VAR methodology on the basis of GARCH model.
Results I have considered an entirely new class of assets. I propose a cryptoasset ranking system on the basis of cryptoasset potential risk assessment. To solve the problem of universal reporting, I suggest using the xBRL standard which is an official standard of business reporting. I also offer a decentralized solution to cryptoasset value forecast.
Conclusions and Relevance The practical significance of the study consists in structuring of existing theoretical knowledge about cryptoasset prices. This work fills up the gap in such asset price forecast and gives an opportunity to objectively assess different types of cryptoassets to build an investment portfolio with a definite risk level. The article shows the basic trends of cryptonomics development which increases in priority rates in comparison with the traditional economics.

Keywords: cryptoasset, bitcoin, estimation theory, Ethereum, payment system, investment, virtual currency

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