Financial Technology and Blockchain

Question 1

The data in the file footballresults.txt records results partway through the 2020/21 English Premier league season.

(a) Using the command read.tableread this data into R and give this data the label footballresults

Give the R commands used to achieve this. [Hint: As discussed in lectures you might find it easiest to save this file onto a USB stick first.]
(b) Enter the following code into R. What is the purpose of the command cbindin this instance?
(c) Enter the following commands into R. Following the lecture examples use the command anovato test the null hypothesis that the teams involved do not affect the probability of a home win.
nullhome<-glm(homesuccess~1, family=binomial)
teamshome<-glm(homesuccess~hometeam+awayteam, family=binomial)
(d) Enter the following commands into R. Following the lecture examples use the command anovato test the null hypothesis that the teams involved do not affect the probability of an away win.
nullaway<-glm(awaysuccess~1, family=binomial)
teamsaway<-glm(awaysuccess~hometeam+awayteam, family=binomial)
(e) Estimate the probability of a home win in the following matches.
Burnley v Man City
Fulham v Leicester
Leeds v Everton
Aston Villa v West Ham
Liverpool v Brighton
(f) Estimate the probability of an away win in the following matches.
Burnley v Man City
Fulham v Leicester
Leeds v Everton
Aston Villa v West Ham
Liverpool v Brighton
(g) Using the results in parts (e-f) how would you estimate the probability of a draw in these matches?

Question 2
(a) What is meant by an immutability? Why might an immutable information record be important?
(b) What are the remaining components of the Oxford Blockchain Framework?
(c) What role is the Oxford Blockchain Framework intended to perform?
(d) Using the Oxford Blockchain Framework show that Blockchain is an appropriate technology for a digital currency.
(e) Using the Oxford Blockchain Framework outline another application area that Blockchain would not be well-suited to.

Question 3
(a) Discuss, with examples, how companies have used new technologies in the wake of the on-going coronavirus pandemic.
(b) Show that in order to hit the fixed profit target the expected number of transactions must satisfy λ=T/m.
(c) Suppose that each physical transaction comes with a risk of coronavirus transmission so that the expected number of transactions is to be minimised. What steps does the model in part (b) suggest if the fixed profit target is to be maintained?
(d) Comment further on the solution in part (c).
(e) What are the implications of the coronavirus pandemic for the future development of Fin. Tech?

Question 4
(a) Explain what is meant by volatility clustering. How is this effect usually tested for in empirical market-price data?
(b) What are the remaining stylised empirical facts of financial time series?
(c) Download historical price data from coinmarketcap.com for the cryptocurrencies Bitcoin and Tether. List the dates over which you have collected data for these cryptocurrencies.
(d) Calculate the log-returns for each of the cryptocurrencies in part (c) and list the R code used.
(e) Fit a GARCH(1, 1) model to each of the log-returns series in part (d) and list the R code used.
(f) Interpret the results in part (e).