Related papers: A Dynamical Systems Approach to Cryptocurrency Sta…
The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model the value of money as a dynamical variable that results from…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
Dynamical systems, that are used to model power grids, the brain, and other physical systems, can exhibit coexisting stable states known as attractors. A powerful tool to understand such systems, as well as to better predict when they may…
We develop a new framework to detect wash trading in crypto assets through real-time liquidity fluctuation. We propose that short-term price jumps in crypto assets results from wash trading-induced liquidity fluctuation, and construct two…
This article is concerned with stability analysis and stabilization of randomly switched nonlinear systems. These systems may be regarded as piecewise deterministic stochastic systems: the discrete switches are triggered by a stochastic…
In this expository and resources chapter we review selected aspects of the mathematics of dynamical systems, stability, and chaos, within a historical framework that draws together two threads of its early development: celestial mechanics…
The global financial system stands at an inflection point. Stablecoins represent the most significant evolution in banking since the abandonment of the gold standard, positioned to enable "Banking 2.0" by seamlessly integrating…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
We describe the notion of stability of coherent systems as a framework to deal with redundancy. We define stable coherent systems and show how this notion can help the design of reliable systems. We demonstrate that the reliability of…
The recent emergence of cryptocurrencies such as Bitcoin and Ethereum has posed possible alternatives to global payments as well as financial assets around the globe, making investors and financial regulators aware of the importance of…
To maintain blockchain-based services with ensuring its security, it is an important issue how to decide a mining reward so that the number of miners participating in the mining increases. We propose a dynamical model of decision-making for…
A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…
The phenomenon of stable persistent currents is central to the studies of superfluidity in a range of physical systems. While all of the previous theoretical studies of superfluid flows in annular geometries concentrated on conservative…
Transition to turbulence is due to the instability of a laminar flow subject to a disturbance. This complicated problem can be explained using a new proposed energy gradient theory in our previous study. This theory is extended to the…
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to…
Cryptocurrencies have gained popularity across various sectors, especially in finance and investment. Despite their growing popularity, cryptocurrencies can be a high-risk investment due to their price volatility. The inherent volatility in…
The cryptocurrency market surpassed the barrier of \$100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, however, a comprehensive analysis of the whole…
Stablecoins - crypto tokens whose value is pegged to a real-world asset such as the US Dollar - are an important component of the DeFi ecosystem as they mitigate the impact of token price volatility. In crypto-backed stablecoins, the peg is…
Dynamical stabilization processes (homeostasis) are ubiquitous in nature, but energetic resources needed for their existence were not studied systematically. Here we undertake such a study using the famous model of Kapitza's pendulum, which…