[BTC-TC] Deprived Mining Speculation (DMS) - page 79.

Keven

sr. member

Activity: 286

Merit: 250

Quote from: Lohoris on July 01, 2013, 02:20:04 AM

Quote from: Keven on July 01, 2013, 01:29:41 AM

I am Chinese, DMS.SELLING is very difficult to understand how it works (language issue). How calculated 0.00378802(dividen)? Would you Lists the equation?

Does this help?

If it doesn't, there are at least two different posts previously in this thread where it is explained in an easy way, you could try going back and searching for them...

0.05104895（Ａｓｓｅｔ/ｕｎｉｔ）－0.043105400（ｗｉｔｈｎｅｗＭＩＮＩＮＧｄｉｖ）=0.00794095（ＳＥＬＬＩＮＧｄｉｖ），If right, that promote me .
I read the previous thread now.And I did it allmost everyday.
Thank you for the adviced

carnitastaco

sr. member

Activity: 420

Merit: 250

Quote from: Deprived on July 02, 2013, 03:20:16 PM

Here's a little bit of math that some of you may find of interest. Let's look at what happened if anyone bought PURCHASE at the start and just held it.

They'd have bought initially when price was 0.065258
Allowing for 0.2% transaction fee that would have cost them 0.065388516

In total they'd now have received 0.01787841 in dividends (the total of all SELLING and MINING dividends to date).

PURCHASE is currently selling at 0.049338
They could put their PURCHASE back up for sale at 0.049337 and reasonably expect to sell it (strangely there's been a few hundred PURCHASE sold - all of them into bids at a lot less than just below my Ask price).

Less transaction fees that would get them 0.049238326
If we add to that the dividends to date we get a total of 0.067116736

If we subtract the initial purchase price we get a profit of 0.001858736
Which is 2.848% in the 22 days the fund has been running - or over 0.9% per week.

The return from doing that is likely to fall (as new sales of PURCHASE represent an ever decreasing percentage of current outstanding ones) but it does go to show that there's quite a few ways people could have made a profit from DMS.

whats the math on if they bought and held asicminer the same day?

jk jk

Deprived

hero member

Activity: 532

Merit: 500

Here's a little bit of math that some of you may find of interest. Let's look at what happened if anyone bought PURCHASE at the start and just held it.

They'd have bought initially when price was 0.065258
Allowing for 0.2% transaction fee that would have cost them 0.065388516

In total they'd now have received 0.01787841 in dividends (the total of all SELLING and MINING dividends to date).

PURCHASE is currently selling at 0.049338
They could put their PURCHASE back up for sale at 0.049337 and reasonably expect to sell it (strangely there's been a few hundred PURCHASE sold - all of them into bids at a lot less than just below my Ask price).

Less transaction fees that would get them 0.049238326
If we add to that the dividends to date we get a total of 0.067116736

If we subtract the initial purchase price we get a profit of 0.001858736
Which is 2.848% in the 22 days the fund has been running - or over 0.9% per week.

The return from doing that is likely to fall (as new sales of PURCHASE represent an ever decreasing percentage of current outstanding ones) but it does go to show that there's quite a few ways people could have made a profit from DMS.

vandinn

member

Activity: 79

Merit: 10

You are absolutely right, thank you for doing that.

Deprived

hero member

Activity: 532

Merit: 500

Sold 500 of our LTC-ATF.B1 on the market. After converting to BTC DMS received 6.32415 BTC. I'm not trading for DMS but I'm not going to turn down free money for it. It would take nearly a year to make that profit back in 0.6% per week dividends - so we'll let someone else do the waiting and take the profit now.

Deprived

hero member

Activity: 532

Merit: 500

Sold   941
Swapped   0
Total   941
Price   0.049418
Total   46.502338
Less Fee   46.40933332
Man Fee   1.39228

BTC Balance (BTC-TC)   1054.565051
14362 LTC-ATF.B1    143.62000000
Coinlenders CD    200.45554343
Just-Dice Balance    101.41844995
TOTAL ASSETS    1,500.05904443

Outstanding MINING   31472
Outstanding SELLING   31472
Outstanding PURCHASE   372
Effective Units   31844

Block reward   25
Difficulty   21,335,329
Hashes per MINING   5000000

Daily Dividend    0.00011786
50 days (Min Liquid)    0.00589288
100 days (Forced Close)    0.01178577
365 days (Buyback)    0.04301806
405 days (IPO)    0.04773236
400 days (Post SELLING div)    0.04714308
410 days (Pre SELLING div)    0.04832165

NAV Post MINING Div    1,496.30598416
NAV/U Post MINING Div    0.04698863
Days Dividend Post Div   398.69
SELLING Dividend    -
NAV Post SELLING Div    1,496.30598416
NAV/U Post Selling Div    0.04698863
PURCHASE selling price    0.04933806
PURCHASE buy-back price    0.04604886

eltopo

full member

Activity: 230

Merit: 100

Quote from: alexius89 on July 02, 2013, 05:44:16 AM

Is there any spreadsheet updated by Users or any charts which shows the estimated next difficulty?

When will be the rise of the next difficulty stage? (date)

Have a look here: http://bitcoincharts.com/bitcoin/

The date of the next diff change depends on network hashrate, at the moment it changes every 12-14 days.

alexius89

hero member

Activity: 709

Merit: 500

Gridcoin Foundation

Is there any spreadsheet updated by Users or any charts which shows the estimated next difficulty?

When will be the rise of the next difficulty stage? (date)

Deprived

hero member

Activity: 532

Merit: 500

Sold   1242
Swapped   0
Total   1242
Price   0.0495
Total   61.479
Less Fee   61.356042
Man Fee   1.84068126

BTC Balance (BTC-TC)   1013.190225
14362 LTC-ATF.B1    143.62000000
Coinlenders CD    200.32603248
Just-Dice Balance    100.94542987
TOTAL ASSETS    1,458.08168763

Outstanding MINING   30637
Outstanding SELLING   30637
Outstanding PURCHASE   266
Effective Units   30903

Block reward   25
Difficulty   21,335,329
Hashes per MINING   5000000

Daily Dividend    0.00011786
50 days (Min Liquid)    0.00589288
100 days (Forced Close)    0.01178577
365 days (Buyback)    0.04301806
405 days (IPO)    0.04773236
400 days (Post SELLING div)    0.04714308
410 days (Pre SELLING div)    0.04832165

NAV Post MINING Div    1,454.43953145
NAV/U Post MINING Div    0.04706467
Days Dividend Post Div   399.33
SELLING Dividend    -
NAV Post SELLING Div    1,454.43953145
NAV/U Post Selling Div    0.04706467
PURCHASE selling price    0.04941790
PURCHASE buy-back price    0.04612338

Lohoris

hero member

Activity: 630

Merit: 500

Bitgoblin

Quote from: Keven on July 01, 2013, 01:29:41 AM

I am Chinese, DMS.SELLING is very difficult to understand how it works (language issue). How calculated 0.00378802(dividen)? Would you Lists the equation?

Does this help?

If it doesn't, there are at least two different posts previously in this thread where it is explained in an easy way, you could try going back and searching for them...

Keven

sr. member

Activity: 286

Merit: 250

Quote from: Deprived on June 30, 2013, 11:13:44 AM

Sold   1903
Swapped   0
Total   1903
Price   0.053474
Total   101.761022
Less Fee   101.5575
Man Fee   3.046724999

BTC Balance (BTC-TC)   1069.52649
14362 LTC-ATF.B1    143.62000000
Coinlenders CD    200.19311462
Just-Dice Balance    100.82334008
TOTAL ASSETS    1,514.16294466

Outstanding MINING   29397
Outstanding SELLING   29397
Outstanding PURCHASE   264
Effective Units   29661

Block reward   25
Difficulty   21,335,329
Hashes per MINING   5000000

Daily Dividend    0.00011786
50 days (Min Liquid)    0.00589288
100 days (Forced Close)    0.01178577
365 days (Buyback)    0.04301806
405 days (IPO)    0.04773236
400 days (Post SELLING div)    0.04714308
410 days (Pre SELLING div)    0.04832165

NAV Post MINING Div    1,510.66716773
NAV/U Post MINING Div    0.05093109
Days Dividend Post Div   432.14
SELLING Dividend    0.00378802
NAV Post SELLING Div    1,398.31077213
NAV/U Post Selling Div    0.04714308
PURCHASE selling price    0.04950023
PURCHASE buy-back price    0.04620021

I am Chinese, DMS.SELLING is very difficult to understand how it works (language issue). How calculated 0.00378802(dividen)? Would you Lists the equation?

crypto-finance

newbie

Activity: 37

Merit: 0

Quote from: crypto-finance on June 30, 2013, 04:30:48 PM

Quote from: eltopo on June 30, 2013, 03:38:14 PM

Very interesting, thanks for your work. Most of the math is beyond my skills, hence someone else has to check.

One question though: How is the difficulty of 77,000,000 calculated at icbit.se? With the latest difficulty increase of about 10% it has to rise ~29% per jump for the next 5 times until September 16. This is far beyond the numbers that are discussed on the forums currently...

I have no clue. The futures market on that exchange decided it... they may very well be wrong.

And in case it wasn't clear, the idea is that the hedge I discuss in my article will be profiting even if they're wrong. i.e. whether DMS.SELLING pricing is wrong (in terms of expected difficulty) or these futures contracts' pricing is wrong, profit is made.

crypto-finance

newbie

Activity: 37

Merit: 0

Quote from: Deprived on June 30, 2013, 03:52:38 PM

Quote from: crypto-finance on June 30, 2013, 02:15:00 PM

I wrote a first draft of an article explaining what I believe to be an arbitrage situation with DMS.SELLING and mining difficulty futures on icbit.se (hence my previous questions about the cashflow of DMS.SELLING).

http://www.crypto-finance.com/difficulty_arbitrage.pdf

I'm hoping that financially/mathematically skilled people can let me know about any mistakes. I hope you guys enjoy the read.

One problem is that it will remain a theoretical arbitrage rather than a practical one. For it to be useful in practice you'd have to rely on the market correctly pricing SELLING at the settlement on icbit.se.

A second issue is that if you assume the icbit.se projected difficulty rise is correct then you could almost certainly make significantly more money by just buying PURCHASE, splitting it and selling MINING - as their projection is a LOT worse than the one the market appears to be using in its current valuation. I haven't, however, looked at icbit - and it may well be that their projection is just what they're using when selling futures - and so is nowhere near what even they believe (but rather a projection sufficiently high that they're confident of profit). That's in the same way that if you go to a bookie and they offer you an even money bet they do NOT believe you'll win half the time.

Regarding the first issue: that is totally correct. I mention it in the conclusion of this paper. It makes it more of a "statistical arbitrage" than a strictly risk-free one. If the market is irrational about it`s valuation of DMS.SELLING, then there may be unexpected losses.

Regarding the second issue: that is the fact with hedging in general. The idea is that you sacrifice profit to reduce risk, or eliminate a particular source of risk (in this case, error in the estimation of difficulty on September 16th). By not hedging, I would essentially be making a bet that the futures contracts are correctly priced. I could also take the position that the futures contracts are wrong, and DMS.SELLING prices are correct, and instead short the futures... so why one over the other? I'm (personally) not willing to make any of those 2 bets, and would rather pay a little more to set up a hedge that "guarantees" (barring issue #1) profit, albeit a smaller one. Also, these futures contracts are quite cheap, so I don't really mind.

crypto-finance

newbie

Activity: 37

Merit: 0

Quote from: odolvlobo on June 30, 2013, 03:43:44 PM

Quote from: crypto-finance on June 30, 2013, 02:15:00 PM

I wrote a first draft of an article explaining what I believe to be an arbitrage situation with DMS.SELLING and mining difficulty futures on icbit.se (hence my previous questions about the cashflow of DMS.SELLING).

http://www.crypto-finance.com/difficulty_arbitrage.pdf

I'm hoping that financially/mathematically skilled people can let me know about any mistakes. I hope you guys enjoy the read.

I didn't read the paper in detail, but I am curious why you chose DMS.SELLING instead of DMS.MINING (or TAT.VIRTURALMINE, or any other PMB for that matter). SELLING is effectively a short position and it seems to me that using MINING would result in a more straightforward analysis.

I guess the choice depends on which expected difficulty is higher. If the difficulty expected by the futures market were lower than the difficulty expected by DMS, you would sell the futures and buy MINING. In addition, since P = M + S, and S >> M, a change in the difficulty will have a more profound effect on the price of MINING.

I'm not sure if I understand your comment. But to be able to perform this hedge with DMS.MINING, I would have to be able to short it. I don't see how this hedge could work with a long position in DMS.MINING? DMS.MINING loses money if the difficulty goes up to the currently set level on icbit.se, hence I don't see any possible arbitrage scenario with DMS.MINING. But maybe I'm not seeing what you mean.

But you're correct (I think -- didn't do the math) that if the predicted difficulty were lower than the current DMS.MINING valuation, then I would buy DMS.MINING.

crypto-finance

newbie

Activity: 37

Merit: 0

Quote from: eltopo on June 30, 2013, 03:38:14 PM

Very interesting, thanks for your work. Most of the math is beyond my skills, hence someone else has to check.

One question though: How is the difficulty of 77,000,000 calculated at icbit.se? With the latest difficulty increase of about 10% it has to rise ~29% per jump for the next 5 times until September 16. This is far beyond the numbers that are discussed on the forums currently...

I have no clue. The futures market on that exchange decided it... they may very well be wrong.

Deprived

hero member

Activity: 532

Merit: 500

Quote from: crypto-finance on June 30, 2013, 02:15:00 PM

I wrote a first draft of an article explaining what I believe to be an arbitrage situation with DMS.SELLING and mining difficulty futures on icbit.se (hence my previous questions about the cashflow of DMS.SELLING).

http://www.crypto-finance.com/difficulty_arbitrage.pdf

I'm hoping that financially/mathematically skilled people can let me know about any mistakes. I hope you guys enjoy the read.

One problem is that it will remain a theoretical arbitrage rather than a practical one. For it to be useful in practice you'd have to rely on the market correctly pricing SELLING at the settlement on icbit.se.

A second issue is that if you assume the icbit.se projected difficulty rise is correct then you could almost certainly make significantly more money by just buying PURCHASE, splitting it and selling MINING - as their projection is a LOT worse than the one the market appears to be using in its current valuation. I haven't, however, looked at icbit - and it may well be that their projection is just what they're using when selling futures - and so is nowhere near what even they believe (but rather a projection sufficiently high that they're confident of profit). That's in the same way that if you go to a bookie and they offer you an even money bet they do NOT believe you'll win half the time.

Rannasha

hero member

Activity: 728

Merit: 500

At the end of the current difficulty-period (making an estimate for it to last for 12 days), MINING will have received ~4.3 mBTC per share. SELLING will have received ~14.9 mBTC per share with potentially a third payment iminent (if difficulty increases sufficiently).

odolvlobo

legendary

Activity: 4466

Merit: 3391

Quote from: crypto-finance on June 30, 2013, 02:15:00 PM

I wrote a first draft of an article explaining what I believe to be an arbitrage situation with DMS.SELLING and mining difficulty futures on icbit.se (hence my previous questions about the cashflow of DMS.SELLING).

http://www.crypto-finance.com/difficulty_arbitrage.pdf

I'm hoping that financially/mathematically skilled people can let me know about any mistakes. I hope you guys enjoy the read.

I didn't read the paper in detail, but I am curious why you chose DMS.SELLING instead of DMS.MINING (or TAT.VIRTURALMINE, or any other PMB for that matter). SELLING is effectively a short position and it seems to me that using MINING would result in a more straightforward analysis.

I guess the choice depends on which expected difficulty is higher. If the difficulty expected by the futures market were lower than the difficulty expected by DMS, you would sell the futures and buy MINING. In addition, since P = M + S, and S >> M, a change in the difficulty will have a more profound effect on the price of MINING.

eltopo

full member

Activity: 230

Merit: 100

Very interesting, thanks for your work. Most of the math is beyond my skills, hence someone else has to check.

One question though: How is the difficulty of 77,000,000 calculated at icbit.se? With the latest difficulty increase of about 10% it has to rise ~29% per jump for the next 5 times until September 16. This is far beyond the numbers that are discussed on the forums currently...

crypto-finance

newbie

Activity: 37

Merit: 0

I wrote a first draft of an article explaining what I believe to be an arbitrage situation with DMS.SELLING and mining difficulty futures on icbit.se (hence my previous questions about the cashflow of DMS.SELLING).

http://www.crypto-finance.com/difficulty_arbitrage.pdf

I'm hoping that financially/mathematically skilled people can let me know about any mistakes. I hope you guys enjoy the read.

Topic: [BTC-TC] Deprived Mining Speculation (DMS) - page 79. (Read 198958 times)