An up-to-date list is available on Google Scholar.

Journals & Conferences

2023

1. WP

   Blockchain Technology: An Invisible Hand for Crypto? A Data Analytic Probe on Ethereum

   Lin MB, and Chen CYH

   Working Paper   2023
2. WP

   Non Fungible Tokens and VizTech

   Härdle WK, Wang BL, and Lin MB

   Working Paper   2023

   Abs

   NFTs, or Non Fungible Tokens, have been in the focus of emerging digital asset transactions, have gained a lot of attention of art investors and are among the fastest growing Web 3.0 and crypto products. The popularity of NFTs has started with a generative art collection —CryptoPunks from Larva Lab in 2017 and the total market capitalization has been over USD 41 billion since 2021. We present a short history sketch of this NFT art phenomenon and investigate the properties of CryptoPunks via their flattened pixel vector. This leads to very high dimensional data, that we represent via modern visualisation techniques, in order to detect clusters and similarities among the digital assets. Employing the UMAP technique, we are able to attach prices to pictures and pattern elements. The UMAP Uniform Manifold Approximation and Projection is explained in detail and compared with other localising techniques like t-SNE. Given the 2-dimensional data from the UMAP, we observe the clusters among these CryptoPunks and then associate them with their prices and traits.

2022

1. WP

   Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective

   Lu WB, Wang YF*, Lin MB*, Ren R, and Härdle WK

   Working Paper   2022

   Abs ssrn

   Cross-exchange trading induces risk spillover in the crypto market, especially for centralized exchanges, which compound crypto volatility and counterparty risk. We propose a Multivariate Heterogeneous AutoRegression for Crypto Market (MHAR-CM) to specifically investigate interconnectedness among 9 different exchanges on Bitcoin in a high-frequency resolution via dynamic partial correlation networks. MHAR-CM accommodates the stylized facts of Bitcoin, such as trading 24/7 and the long-memory effect on returns. The monthly dependence coefficients of MHAR-CM reflect the evo- lution of Bitcoin returns and the persistent influence of events. We find that the scale of an exchange determines its influence towards the others, and the interconnectedness among these exchanges is stronger during a crisis. We also conclude with some remarks on FTX due to its recent bankruptcy. Furthermore, we demonstrate that a portfolio considering the dynamics of partial correlation networks offers a promising result in terms of risk diversification.

2. WP

   DAI Digital Art Index: A Robust Price Index for Heterogeneous Digital Assets

   Lin MB, Wang BL, Bocart F, Hafner C, and Härdle WK

   Working Paper   2022

   Abs ssrn

   The big bang of non-fungible tokens (NFTs) has caused the birth of a brand new era for digital art. NFTs, driven by blockchain and smart contracts, provide both artists and art collectors an unprece- dented marketplace equipped with more security, flexibility, publicity, and freedom to monetize. Unlike the conventional art market, NFT art market trades works of art in rapid succession and has no sluggish business cycle. Yet, the emergence of such a market has been considered to be packed with speculation and economic uncertainty, given the limited understanding towards this market. To precisely depict the NFT art market and offer a gauge for market volatility, we construct the price index – Digital Art Index (DAI) – using hedonic regression on the top 10 liquid NFT art collections and provide an empirical overview. Due to the common phenomenon of outlying price observations, we propose two innovative alternative procedures – Huberization and DCS-t filtering to create a robust index. Moreover, by considering each artwork’s time-variant and time-invariant characteristics, we are able to investigate price determinants and access the intrinsic value of the market.

3. CBI

   Resource Requirements in Business Process Modelling from an Operations Management Perspective

   Goel A, and Lin MB

   In IEEE 24th Conference on Business Informatics, CBI 2022

   Abs ssrn HTML

   Operations management entails the design and control of business operations with the goal of providing goods and services as efficiently as possible. Usually various resources are required to conduct operations and the required resources are usually limited in numbers and availability. Business process models supporting operations management should aid in effectively using available resources, identifying process inefficiencies, and enabling appropriate action if resources are unavailable or cannot operate as required. In this contribution we show how typical resource requirements found in operations management can be included in business process models and propose BPMN 2.0 compatible modelling patterns for describing resource requirements based on the concepts of requests and releases. We discuss various modelling requirements from an operations management perspective and discuss how request-release modelling patterns can be used for different application cases.

2021

1. AQAFA

   Blockchain Mechanism and Distributional Characteristics of Cryptos

   Lin MB, Khowaja K, Chen CYH, and Härdle WK

   Advances in Quantitative Analysis of Finance & Accounting, AQAFA 2021

   Abs ssrn HTML

   We investigate the relationship between underlying blockchain mechanism of cryptocurren- cies and its distributional characteristics. In addition to price, we emphasise on using actual block size and block time as the operational features of cryptos. We use distributional charac- teristics such as fourier power spectrum, moments, quantiles, global we optimums, as well as the measures for long term dependencies, risk and noise to summarise the information from crypto time series. With the hypothesis that the blockchain structure explains the distribu- tional characteristics of cryptos, we use characteristic based spectral clustering to cluster the selected cryptos into five groups. We scrutinise these clusters and find that indeed, the clus- ters of cryptos share similar mechanism such as origin of fork, difficulty adjustment frequency, and the nature of block size. This paper provides crypto creators and users with a better un- derstanding toward the connection between the blockchain protocol design and distributional characteristics of cryptos.

2019

1. BPM

   Optimized Resource Allocations in Business Process Models

   Ihde S, Pufahl L, Lin MB, Goel A, and Weske M

   In International Conference on Business Process Management, BPM 2019

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   The allocation of resources to process activities can have a huge influence on overall performance, in particular, if resources are costly and limited in their availability. Rule-based allocations can lead to unnecessarily low resource utilization rates, high costs, and large delays. In this paper, we present a framework allowing for optimized resource allocations by extending a traditional Business Process Management System by a new component that we call the Resource Manager. Our framework allows a process designer to specify resource requirements which are used by the Resource Manager to decide on allocations of resources to process activities. We describe the functionality of the Resource Manager, its interaction with the process engine, and the data needed. The framework is implemented by extending an open-source process modeler and engine, and applied to a use case concerning the last mile delivery.

Presentations

1. LOUGH

   Human Vision / Computer Vision: Making Sense of Art

   Loughborough University & The British Academy, November 24-25 2022

   PDF
2. SER

   Singapore Economic Review Conference

   Augst 01-03 2022

   HTML
3. MCR

   Advances in Data Science and AI Conference

   June 20-21 2022

   HTML Poster
4. RNS

   CryptoAssets and Digital Asset Investment Workshop

   April 07-08 2022

   Abs HTML