[BTC-TC] Deprived Mining Speculation (DMS)

[twentyseventy]

Is PURCHASE going back up soon?

EDIT: There it goes!

Sorry about that - totally forgot to put it back up for half an hour.

No problem, I figured that might have been the case - didn't want to jump all over you without giving ample time!

[alexius89]

The  Today's  Dividend of SELLING Shares  will be  around 0.00369521  (!!)

So guys be ready to buy some SELLING share's  to receive a Dividend of more than 10% (!!)

Have a nice day all! 

[🏰 TradeFortress 🏰]

The  Today's  Dividend of SELLING Shares  will be  around 0.00369521  (!!)

So guys be ready to buy some SELLING share's  to receive a Dividend of more than 10% (!!)

Have a nice day all! 

I.. I don't think you understand how this works.

[alexius89]

I do... ;-)   just try to make some obvious "advertisement"  More or less

[Deprived]

The  Today's  Dividend of SELLING Shares  will be  around 0.00369521  (!!)

So guys be ready to buy some SELLING share's  to receive a Dividend of more than 10% (!!)

Have a nice day all! 

It'll actually be a bit higher than I'd predicted.

There's been decent sales of PURCHASE which adds a tiny bit.
I just did the LTC-ATF.B1 dividend transfer back - which got DMS 0.88278905 BTC when I'd only added .8 BTC on for investments when I made my guess yesterday
And our Just-Dice deposit did decently yesterday evening (after losing a little bit early on) - our balance there is now : 100.78643714 (that could, of course, drop or rise significantly between now and dividend time).

As things stand right now I'd estimate dividend of around .00372 - .00373.

[Deprived]

I'm just doing some auditting to make sure all totals are correct before the SELLING dividend gos out later (doesn't maater if they're wrong for MINING dividends - but for SELLING it does).

Have discovered one small mistake.  In yesterday's report I calculated management fee based on the previous day's selling price for PURCHASE.

Here's the data to work out the error :

Units   851
Wrong Price   0.053705
Right Price   0.053583
Error   0.003108431

The error is the difference in two prices multiplied by number of units multiplied by .998 and then multiplied by 0.03.  The .998 removes exchange fee then the .03 calculated management fee.  I overpaid myself by .0031 BTC yesterday - which is being returned now.

[Deprived]

Have disabled trading on PURCHASE and cleared orders - will turn it back on after the dividends are paid of course.

[Deprived]

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

[crypto-finance]

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.

[eltopo]

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...

[odolvlobo]

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.

[Rannasha]

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).

[Deprived]

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.

[crypto-finance]

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.

[crypto-finance]

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]

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]

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.

[Keven]

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?

[Lohoris]

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...

[Deprived]

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