2021 年“金融数学与金融工程”暑期学校学术报告:Bitcoin Mining and Electricity Consumption

  人:Min DAI, National University of Singapore

报告时间:2021.08.041400-1700

报告地址:Zoom会议:850 450 9172

报告摘要: We develop a dynamic equilibrium Bitcoin mining model to characterize miners’ optimal entry and exit strategies with technology innovation. We formulate the model as a singular stochastic control problem from a social planner’s angle and show that the resulting optimal strategy must be an equilibrium strategy. We prove that the value function associated with the singular stochastic control problem is the minimum constrained viscosity solution to the resulting HJB equation and that the penalty method converges to the value function. We then employ the penalty method to numerically find the optimal (equilibrium) strategy. The model can be calibrated to capture the co-movements of computing power, electricity consumption of Bitcoin network, and mining revenue. We find substantial new miners entering and leaving the mining market. Our model reveals how miners’ electricity consumption is endogenously affected by the Bitcoin price. This work is jointly with Steven Kou, Shuaijie Qian, and Ling Qin.

报告人简介:Min Dai is Professor in Department of Mathematics and Director of the Centre for Quantitative Finance, National University of Singapore (NUS). Prior to joining NUS in 2004, he worked as a post-doc, lecturer, and associate professor at Peking University after receiving his PhD degree from Fudan University in 2000. His research focuses on mathematical finance, particularly on financial derivative pricing and optimal investment with market imperfections. Currently he is a co-editor of Digital Finance and associate editor of Journal of Economic Dynamics and Control, Finance and Stochastics, Mathematics and Financial Economics, and SIAM Journal on Financial Mathematics.

 

 


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