Related papers: A Dynamical Systems Approach to Cryptocurrency Sta…
We investigate the behaviour of cryptocurrencies using data for bitcoin, ethereum and ripple which account for over 70% of the cryptocurrency market. We demonstrate that $\alpha$-stable distribution is an appropriately sufficient model for…
This article aims to investigate sufficient conditions for the stability of stochastic differential equations with a random structure, particularly in contexts involving the presence of concentration points. The proof of asymptotic…
Persistent financial frictions - including price volatility, constrained credit access, and supply chain inefficiencies - have long hindered productivity and welfare in the global agricultural sector. This paper provides a theoretical and…
Stability analysis and control of linear impulsive systems is addressed in a hybrid framework, through the use of continuous-time time-varying discontinuous Lyapunov functions. Necessary and sufficient conditions for stability of impulsive…
We present a mathematical model of a market with $m$ shares traded across $n$ investor groups, each one with similar motivations and trading strategies. The market of each asset consists of a fixed amount of cash and shares (no additions…
We develop a liquidity-sensitive multivariate volatility framework to improve the estimation of time-varying covariance structures under market frictions. We introduce two novel portfolio-level liquidity measures, liquidity jump and…
Stability is among the most important concepts in dynamical systems. Local stability is well-studied, whereas determining how "globally stable" a nonlinear system is very challenging. Over the last few decades, many different ideas have…
We study the notion of stochastic stability with respect to diffusive perturbations for flows with smooth invariant measures. We investigate the question fully for non-singular flows on the circle. We also show that volume-preserving flows…
Ever since the link between nonlinear science and cryptography became apparent, the problem of applying chaotic dynamics to the construction of cryptographic systems has gained a broad audience and has been the subject of thousands of…
This paper develops a dynamic monetary model to study the (in)stability of the fractional reserve banking system. The model shows that the fractional reserve banking system can endanger stability in that equilibrium is more prone to exhibit…
Within the framework of the hypothesis offered by authors about a complex-valued nature of physical quantities the stability of basic equations of the classical physics concerning complex-valued perturbations of parameters and boundary…
The current crisis, at the time of writing, has had a profound impact on the financial world, introducing the need for creative approaches to revitalising the economy at the micro level as well as the macro level. In this informal analysis…
Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on…
Stablecoins and central bank digital currencies are on the horizon in Asia, and in some cases have already arrived. This paper provides new analysis and a critique of the use case for both forms of digital currency. It provides time-varying…
We develop a dynamic model of cascading failures in a financial network whereby cross-holdings are viewed as feedback, external assets investments as inputs and failure penalties as static nonlinearities. We provide sufficient milder and…
This paper contextualises the common queries of "why is crypto crashing?" and "why is crypto down?", the research transcends beyond the frequent market fluctuations to unravel how cryptocurrencies fundamentally work and the step-by-step…
Stability is a fundamental notion in dynamical systems and control theory that, traditionally understood, describes asymptotic behavior of solutions around an equilibrium point. This notion may be characterized abstractly as continuity of a…
Crypto-coins (also known as cryptocurrencies) are tradable digital assets. Notable examples include Bitcoin, Ether and Litecoin. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption…
There has been a long-standing and at times fractious debate whether complex and large systems can be stable. In ecology, the so-called `diversity-stability debate' arose because mathematical analyses of ecosystem stability were either…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…