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Liquid staking has become the largest category of decentralized finance protocols in terms of total value locked. However, few studies exist on its implementation designs or underlying risks. The liquid staking protocols allow for earning…
This document analyzes price discovery in cryptocurrency markets by comparing centralized and decentralized exchanges, as well as spot and futures markets. The study focuses first on Ethereum (ETH) and then applies a similar approach to…
It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. Indeed, due to margining, futures have…
Forecasting multivariate time series remains challenging due to complex cross-variable dependencies and the presence of heterogeneous external influences. This paper presents Spectrogram-Enhanced Multimodal Fusion (SEMF), which combines…
In this paper, we propose and study a novel continuous-time model, based on the well-known constant elasticity of variance (CEV) model, to describe the asset price process. The basic idea is that the volatility elasticity of the CEV model…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…
Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…
Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a robust framework for dynamic minimum-variance hedging that…
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or…
Commodity Trading Advisors (CTAs) have historically relied on trend-following rules that operate on vastly different horizons from long-term breakouts that capture major directional moves to short-term momentum signals that thrive in…
This paper develops a deep learning-based econometric methodology to determine the causality of the financial time series. This method is applied to the imbalances in daily transactions in individual stocks, as well as the ETFs reported to…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
Herding behavior has become a familiar phenomenon to investors, with potential dangers of both undervaluing and overvaluing assets, while also threatening market stability. This study contributes to the literature on herding behavior by…
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the…
The lead-lag relationship plays a vital role in financial markets. It is the phenomenon where a certain price-series lags behind and partially replicates the movement of leading time-series. The present research proposes a new technique…
In this article, we investigate the behavior of long-term options. In many cases, option prices follow an exponential decay (or growth) rate for further maturity dates. We determine under what conditions option prices are characterized by…
This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives. This option pricing approach is consistent with global trading strategies by setting the premium as the value such that the…
Stablecoins, digital assets pegged to a specific currency or commodity value, are heavily involved in transactions of major cryptocurrencies. The effects of deviations from their desired fixed values (depeggings) on the cryptocurrencies for…
In the Proof of Stake (PoS) Ethereum ecosystem, users can stake ETH on Lido to receive stETH, a Liquid Staking Derivative (LSD) that represents staked ETH and accrues staking rewards. LSDs improve the liquidity of staked assets by…