2020 廖世偉金融科技導論期中考

Author 這篇文件用的是 CommonMark standard line breaks
在行末加兩個空白換行

一些產品/公司/名詞可能可以查一下的

Uniswap
Makerdao
Compound.finance
Perpetual: Decentralized Perpetual Contract + vAMM (其中一個講者的創業)

ABCD_2020ntu

數位轉型

用數位工具，為產業帶來效率及效能的提昇, emphasizing:

Customer-oriented (以客為尊)
System integration (整合)

Efficient Market Hypothesis (EMH, 效率市場假說)

三個基本假設：

市場將立即反應新的資訊，調整至新的價位。因此價格變化是取決於新資訊的發生，股價呈隨機走勢。
新資訊的出現是呈隨機性，即好、壞資訊是相伴而來的。
市場上許多投資者是理性且追求最大利潤，而且每人對於股票分析是獨立的，不受相互影響。

From WikiPedia

Adaptive Market Hypothesis (AMH)

AMH以為短期投資人的herding行為,還是可能讓市場有交易資訊的人,透過短期的套利,產生出超額報酬(Excess return),最終使得這些人因為能夠及時調整自身的投資組合,而能有相當累積自身報酬的機會

from 財務研討筆記:Behavioral Finance II

證券&STO

Security Token Offerings

託管和結算等程序以智能合約的編程融合，並受證券法規範而發行的證券型代幣(Securities Token Offering，簡稱 STO)。STO與傳統有價證券在本質上是相同的，兩者皆是用以表彰資產的所有權或是相對應的權益。->基本上就是政府來管交易所的發幣?

譯自英文-安全令牌發售/令牌化IPO是一種公開發售類型，在這種公開發售中，在加密貨幣交易所或安全令牌交易所中出售稱為安全令牌的令牌化數字證券。代幣可用於交易股票和固定收益等真實金融資產，並使用區塊鏈虛擬分類帳系統存儲和驗證代幣交易。维基百科

CTA: Compliance, Tracing, AIOT-blockchain

Compliance
- 符合台灣 FSC 的 ERC (Ethereum Request for Comment), 而不是把 STO 包成 IEO
- 搭配 eID，做好 whitelist, blacklist 的風控
Tracking and monitoring
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STO Tethering：AIOT Blockchain-based 第二方認證
- Tethering (鉤子) 穩？ -> AIOT Blockchain

FinTech

What is FinTech?

An economic industry composed of companies that use technology to make financial systems more efficient.
Wharton FinTech Club

不同面向的 FinTech

Lending (借貸) dimension: Its FinTech version is called P2P lending.
- USA: P2P lending is regulated by SEC.
- Taiwan: Lending is more FinTech-friendly in Taiwan than in USA. Why?
  - 標會 (SoFi, Social Finance) is our tradition.
  - FSC doesn’t disallow P2P lending and doesn’t really regulate it.
    - Our P2P lending industry is not as bad/big as in China.
Equity crowdfunding (資本募集): Taiwan is stricter than USA, in terms of STO.
- STO = Securities Token Offering
Payments/Billing Tech (支付): See next slides
Personal Finance/Asset Management (個金, 資產管理)
Remittance/Money Transfer (轉帳匯款)
Digital Currency (數位貨幣)
Institutional Tools (機構管理工具)

Money_FinTech

Essence of Money

Store of Value: 價值從信, 而信任從共識而生: Consensus (sometimes referred to as ledger). A simple way to boost value consensus is 物以稀為貴.
Medium of Exchange: Also consensus. Can’t be too volatile.
Denomination of Value → Legal tender

相較於 trust company, trust machine/mechanism 的保證更可靠。

Token Sales 的兩個時期

Jan 2014 ~ Aug 2018: ICO

Two Legs for Period 2

Stable Coin
Key Coins as Affordable/Trustable Ledger, Contracts, Collateral/Staking, Side-Chain

Wikipedia Stablecoins are cryptocurrencies designed to minimize the volatility of the price of the stablecoin, relative to some "stable" asset or basket of assets. A stablecoin can be pegged to a cryptocurrency, fiat money, or to exchange-traded commodities (such as precious metals or industrial metals). Stablecoins redeemable in currency, commodities, or fiat money are said to be backed.

Sep 2018 ~ Now: Token sales = StableCoin, STO

前一個時期的第一桶金 + Stable Coin -> DeFi 時代
重視 Value Capture (VC)，而非 Token Sales。VC 不必是 Token Sales。

Josh Kaufman https://personalmba.com/value-capture/
Value Capture is the process of retaining some percentage of the value provided in every Transaction. The more value you capture, the less attractive your offer becomes.
There are two major approaches to Value Capture:

Maximization. An organization should try to capture as much value as possible.

Minimization. An organization should capture as little value as possible, as long as it remains Sufficient.

As long as you bring enough to cover your needs, there’s no need to capture every cent. Create as much value as you can, so your captured value is worth it.

ICO

Wikipedia https://zh.wikipedia.org/wiki/首次代币发行
首次代幣發行（英語：Initial Coin Offering，簡稱ICO）也稱首次代幣發售、區塊鏈眾籌，是用區塊鏈把使用權和加密貨幣合二為一，來為開發、維護、交換相關產品或者服務的項目進行融資的方式

Bitcoin

優點

工作量證明 (Proof of Work)
信用風險最小化
多中心、Trust Machine instead of Trust Company
交易都透明記錄在區塊鏈上

問題

比特幣的發行沒有實物或發行人支持
匯率波動性高（Volatility）
交易頻率受限（Scalability）

Summary: Money

Exchange value
- accepted by the many
- easy to transport
Store value
- Durable
- Scarce and Secure
Unit of measure
- interchangable (fungible)
- highly dvisible

What is Finance

money management and the process of acquiring needed funds
the study of managing the money
the actual process of the funds required by some individual or business to get their work or business grow

Two layers

monetary functions, which are payment, pricing, value storage, international currency and so on
financial functions derived from the monetary functions, such as debt, equity, insurance, trust, derivatives, and so on, which are the reorganization of the financial assets in space and time

The evolution of FinTech

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The rise of FinTech

Key Digital Technologies and DIY Finance

Mobile phones
Blockchain
Cloud computing

量化交易

Dow Theory 6 points

Market discounts everything: Charles Dow assumes Efficient Market Hypothesis (EMH)
3 trends: Primary trends, secondary trends, minor trends
3 phases in Primary trend: Accumulate, Public participation, Excess.
Indices must confirm each other. (相互鉤稽)
Volume must confirm the trend. (價量)
Trends Persist Until a Clear Reversal Occurs. (Inertia)

夏普比率

每承擔一單位的額外風險，能獲得多少單位的額外報酬

Sharp Ratio = \frac{Return of portfolio (投資組合) - Risk free rate (treasure bill rate)}{σ_{portfolio's excessive return}}

Examples from wikipedia

Parallel Finance

存貸拆匯: 國外網銀往往用“高利吸金，低利放款，搶回報，亂投資”，而數位化的極致版: 年輕人愛用的DeFi (Decentralized Finance), 卻做到“高利吸金，高利放款”，監理與資安問題 =？
KYC/AML (Know Your Customer/Anti-Money Laundering): DID and mID (D=Digital, m=Mobile) 時代到來 (vs. 當初Internet到來)，監理與資安問題 = ?
W3C 成立 DID 小組，如何對接平行世界？
信評: 數位化極致版，信評可以長什麼樣子？
有價證券發行及交易: 數位化極致版: STO (Securities Token Offering) 的科技監理與資安問題 =？

FinTech數位金融: 科技監理與資訊安全

General Definition of DeFi

decentralized finance

Wikipedia An experimental form of finance that does not rely on central financial intermediaries such as brokerages, exchanges, or banks, and instead utilizes smart contracts on blockchains.
Rather than transactions being with and through a centralised intermediary such as a cryptocurrency exchange, transactions are directly between participants, mediated by smart contract programs.

Decentralized in:

Governance
Risk Taking
Record Keeping

Maker

Maker is a smart contract platform that stabilises DAI with a system called Collateralised Debt Positions (CDPs).

FinTech_abcd_本質_詐欺_治理

金融科技的初衷

普惠金融 (Inclusive Financing)
WoFi: World Financial Inclusion

Content in the below section comes from this slide.
Q: 這份投影片有上到嗎@@

Bitcoin Network Analysis

Goal: identify the usage of given addresses.

Bitcoin Network Characteristics

Decentralized, immutable, secure, trust machine
Proof-of-Work consensus algorithm
Private key, public key, and address
User, miner, and full node
Transaction -> block -> blockchain
Formed of a lot of transactions

交易紀錄分析

透過分析地址的交易紀錄，得知該地址的一些特徵。

Basic statistics

Extra statistics

Transaction Moments

First moment:
$m_{1} = E [X]$
Second moment:
$m_{2} = E [(X - μ)^{2}]$
Third standardized moment:
$m_{3} = E [{(\frac{X - μ}{σ})}^{3}]$
Fourth standardized moment:
$m_{4} = E [{(\frac{X - μ}{σ})}^{4}]$

Deciles

反制：加密貨幣混幣器

Unsupervised Analysis

Network Representation Learning (NRL)
- DeepWalk
Social network analysis (SNA)
- Girvan-Newman algorithm
- Node2vec algorithm
K-means clustering

Supervised Analysis

Bitcoin features extraction

Evaluation

See 交易紀錄分析

Basic are the most powerful features.
Basic+Extra boost the accuracy of Faucet, Market, Mixer, and Pool.
Basic+Extra+Moments slightly improve the performance on Exchange, Gambling, HYIP, and Market.
Basic+Extra+Moments+Deciles slightly improve the performance on Market.

FinTech: 本質, GAIN and 治理

Fiat Currency
- 低效率
- 過度增加自身信用或信用管理不善 → 銀行倒閉
一些區塊練穩定幣種的演進
- Stable Coin
  - Bitcoin
  - USDT
  - USDC
- Contracts
  - Ethereum
- Fork economy
  - Litecoin
- Staking economy
  - ETH 2.0
- Side-chain economy
What is money
What is Finance
- Financial functions can be generalized into two layers:
  - monetary functions:
    - payment, pricing, value storage, international currency
  - financial functions derived from the monetary functions:
    - debt, equity, insurance, trust, derivatives
What is FinTech
- Fintech Revolution
  - FinTech 1.0, occurred from 1866 to 1967
    - financial services industry remained largely analogue despite being heavily interlinked with technology
  - FinTech 2.0, extended from 1968 to 2008
    - rapid advances in electronic payment systems
    - characterized by the development of digital technology for communications and transactions and thus the growing digitization of finance

考古 Sample & Answer

Four technologies today have altered how banks operate: 1. Mobile internet, 2. Social Network, 3. Big Data, and 4. ?

[a] NFC (Near-Field Communication)

[b] Digital Crypto Currency

[c] Cloud Computing

[d] Sharing Economy

In the Proof-of-Work blockchain system, what would happen if there are over 51% of malicious nodes?

[a] The whole blockchain system is going to crash if they all do nothing but mining regularly.

[b] The whole blockchain system might hark fork if over 51% of miners include the malicious block.

[c] Miners should be in front of the computer to attack the blockchain.

[d] All of the above are correct.

You’ve already known how to launch your own token. Which of the following(s) you can do if you are familiar with writing ERC20 contracts?

[a] ICO

[b] IPO

[c] M&A(merger and acquisition)

[d] IEO

Ans: [c] [b] [a]

2020 廖世偉 金融科技導論 期中考