The wide and fast proliferation of the blockchain technology owes to bitcoin, the first decentralized cryptocurrency, which was introduced by an unknown group under the pseudonym Satoshi Nakamoto in 2009. A decade later, the underlying blockchain technology has spread and gained recognition, and more than one thousand other cryptocurrencies are actively traded. Cryptographic claims nowadays form an entire asset class for alternative investments, with a large cross-section to choose from. Notably, since December 2017, different forms of bitcoin futures have been traded on the two largest options and futures exchanges in the US, the Chicago Board of Options Exchange (CBOE) and the Chicago Mercantile Exchange (CME).

In this pillar, we will develop new quantitative models for cryptographic claims (cryptocurrencies and smart contracts) as financial assets, with a focus on their returns as well as their diversification effect in investment portfolios. We will analyze the price behavior of bitcoin and how the microstructure of its spot and future markets contributes to the high volatility observed in this market, and propose changes to the trading environment.

Cryptocurrencies also form the basis of Initial Coin Offerings (ICOs), which are used by startups, and incumbent companies, to bypass the rigorous and regulated capital-raising process required by banks and venture capitalists. An example of a successful ICO project that was profitable to early investors is Switzerland-based Ethereum. But by far not all ICOs are profitable. There have been enough ICOs in 2017 and 2018 to carry out an empirical study of the primary and secondary market. Through a careful cross-sectional analysis of characteristics of companies before the ICO and its consequences for success of the ICO and price evolution in the secondary market, we hope to contribute to the policy debate on ICOs. Switzerland has ambitions to become a key player in the ICO space, and understanding the market to develop regulatory and governance standards appears to be of first-order importance.

At EPFL, the Swissquote Chair in Quantitative Finance and the Swiss Finance Institute bundle the required expertise in quantitative financial modeling, risk analytics, institutional knowhow of the financial services industry and financial markets, as well as corporations.