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We study the weighted token swapping problem, in which we are given a graph on $n$ vertices, $n$ weighted tokens, an initial assignment of one token to each vertex, and a final assignment of one token to each vertex. The goal is to find a…
This work is about optimal order execution, where a large order is split into several small orders to maximize the implementation shortfall. Based on the diversity of cryptocurrency exchanges, we attempt to extract cross-exchange signals by…
Currency arbitrage leverages price discrepancies in currency exchange rates across different currency pairs to gain risk-free profits. It involves multiple trading, where short-lived price discrepancies require real-time, high-speed…
A large collection of daily time series for 60 world currencies' exchange rates is considered. The correlation matrices are calculated and the corresponding Minimal Spanning Tree (MST) graphs are constructed for each of those currencies…
Cyclic structures are fundamental topological features in graphs, playing critical roles in network robustness, information flow, community structure, and various dynamic processes. Algorithmic tools that can efficiently probe and analyze…
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the…
This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a "bucket" of fiat currencies anchored to cryptocurrency for monitoring…
This paper studies what Bitcoin (BTC) premiums in peer-to-peer (P2P) markets measure. Using transaction-level data from LocalBitcoins, we construct BTC premiums for 80 currencies relative to the U.S. dollar and relate them to blockchain…
The Ethereum blockchain network is a decentralized platform enabling smart contract execution and transactions of Ether (ETH) [1], its designated cryptocurrency. Ethereum is the second most popular cryptocurrency with a market cap of more…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
Bitcoin, as one of the most popular cryptocurrency, is recently attracting much attention of investors. Bitcoin price prediction task is consequently a rising academic topic for providing valuable insights and suggestions. Existing bitcoin…
Blockchains are significantly easing trade finance, with billions of dollars worth of assets being transacted daily. However, analyzing these networks remains challenging due to the sheer volume and complexity of the data. We introduce a…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
Cryptocurrencies are distributed systems that allow exchanges of native (and non-) tokens among participants. The complete historical bookkeeping and its wide availability opens up an unprecedented possibility, i.e. that of understanding…
The purpose of this work was to perform a network analysis on the rapidly growing bitcoin transaction network. Using a web-socket API, we collected data on all transactions occurring during a six hour window. Sender and receiver addresses…
This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
Cryptocurrency blockchains, beyond their primary role as distributed payment systems, are increasingly used to store and share arbitrary content, such as text messages and files. Although often non-financial, this hidden content can impact…
Correlation networks were used to detect characteristics which, although fixed over time, have an important influence on the evolution of prices over time. Potentially important features were identified using the websites and whitepapers of…
Today, payment paths in Bitcoin's Lightning Network are found by searching for shortest paths on the fee graph. We enhance this approach in two dimensions. Firstly, we take into account the probability of a payment actually being possible…