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We applied the SVAR-LiNGAM to illustrate the causal relationships between the spot exchange rate, and three crypto-asset exchange rates, Bitcoin, Ethereum, and Ripple. It was notable that the causal order, the EUR_USD spot…
By comparing cryptocurrencies with other existing payment methods, including banknotes and bank cards, it is clear that the use of Bitcoin and its competitors (Ethereum, \dots) is almost insignificant in world trade. We may also note that…
Bitcoin and Ethereum transactions present one of the largest real-world complex networks that are publicly available for study, including a detailed picture of their time evolution. As such, they have received a considerable amount of…
Pixels and market cycles both move NFT prices. Non-fungible tokens (NFTs) are unique digital assets, often used to represent ownership of digital art, collectibles, and other media, secured on blockchain networks like Ethereum. The rise of…
This study provides a practical introduction to high-frequency trading in blockchain-based currency markets. These types of markets have some specific characteristics that differentiate them from the stock markets, such as a large number of…
Ethereum has become one of the primary global platforms for cryptocurrency, playing an important role in promoting the diversification of the financial ecosystem. However, the relative lag in regulation has led to a proliferation of…
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…
A growing number of products use layer 2 solutions to expand the capabilities of primary blockchains like Ethereum, where computation is off-loaded from the root chain, and the results are published to it in bulk. Those include optimistic…
A large set of daily FOREX time series is analyzed. The corresponding correlation matrices (CM) are constructed for USD, EUR and PLZ used as the base currencies. The triangle rule is interpreted as constraints reducing the number of…
Asymmetric relationship between price and volatility is a prominent feature of the financial market time series. This paper explores the price-volatility nexus in cryptocurrency markets and investigates the presence of asymmetric volatility…
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied. The corresponding dynamics…
Cryptocurrencies and blockchain networks have attracted tremendous attention from their volatile price movements and the promise of decentralization. However, most projects run on business narratives with no way to test and verify their…
Mining processes of Bitcoin and similar cryptocurrencies are currently incentivized with voluntary transaction fees and fixed block rewards which will halve gradually to zero. In the setting where optional and arbitrary transaction fee…
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trades data from the most liquid Bitcoin markets, in order to…
Price benchmarks are used to incorporate market price trends into contracts, but their use can create opportunities for manipulation by parties involved in the contract. This paper examines this issue using a realistic and tractable model…
Public blockchains such as Ethereum and Bitcoin do not give enterprises the privacy they need for many of their business processes. Consequently consortiums are exploring private blockchains to keep their membership and transactions…
We investigate a market without money in which agents can offer certain goods (or multiple copies of an agent-specific good) in exchange for goods of other agents. The exchange must be balanced in the sense that each agent should receive a…
Cryptocurrencies are a digital medium of exchange with decentralized control that renders the community operating the cryptocurrency its sovereign. Leading cryptocurrencies use proof-of-work or proof-of-stake to reach consensus, thus are…
The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part…
Financial fraud has been growing exponentially in recent years. The rise of cryptocurrencies as an investment asset has simultaneously seen a parallel growth in cryptocurrency scams. To detect possible cryptocurrency fraud, and in…