Related papers: Transaction Cost Analytics for Corporate Bonds
We introduce a new model for pricing corporate bonds, which is a modification of the classical model of Merton. In this new model, we drop the liquidity assumption of the firm's asset value process, and assume that there is a liquidly…
Decentralized bridge applications are important software that connects various blockchains and facilitates cross-chain asset transfer in the decentralized finance (DeFi) ecosystem which currently operates in a multi-chain environment.…
This paper discusses the dynamics of Transaction Cost (TC) in Industrial Symbiosis Institutions (ISI) and provides a fair and stable mechanism for TC allocation among the involved firms in a given ISI. In principle, industrial symbiosis, as…
Corporate credit ratings issued by third-party rating agencies are quantified assessments of a company's creditworthiness. Credit Ratings highly correlate to the likelihood of a company defaulting on its debt obligations. These ratings play…
The efficiency of decentralized book systems like Bitcoin and Ethereum has always been a challenge. It is usually measured by three major factors: scalability, throughput, and latency. Scalability refers to how the system capacity is…
Transactional isolation guarantees are crucial for database correctness. However, recent studies have uncovered numerous isolation bugs in production databases. The common black-box approach to isolation checking stresses databases with…
The strengthening of capital requirements has induced banks and traders to consider charging a so called capital valuation adjustment (KVA) to the clients in OTC transactions. This roughly corresponds to charge the clients ex-ante the…
The literature provides strong evidence that stock prices can be predicted from past price data. Principal component analysis (PCA) is a widely used mathematical technique for dimensionality reduction and analysis of data by identifying a…
Microstructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed and tested. The inequality sets limiting relationship between…
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a version of the First Fundamental Theorem of…
Blockchain technology enables the execution of collaborative business processes involving untrusted parties without requiring a central authority. Specifically, a process model comprising tasks performed by multiple parties can be…
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order…
Digital technology organizations routinely use online experiments (e.g. A/B tests) to guide their product and business decisions. In e-commerce, we often measure changes to transaction- or item-based business metrics such as Average Basket…
Ecosystems enjoy increasing attention due to their flexibility and innovative power. It is well known, however, that this type of network-based economic governance structures occupies a potentially unstable position between the two stable…
Organizations face a challenge of accurately analyzing network data and providing automated action based on the observed trend. This trend-based analytics is beneficial to minimize the downtime and improve the performance of the network…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…
Security bugs and trapdoors in smart contracts have been impacting the Ethereum community since its inception. Conceptually, the 1.45-million Ethereum's contracts form a single "gigantic program" whose behaviors are determined by the…
We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of the firm. We consider the problem for pricing of corporate defaultable…
This study develops a strategic procurement framework integrating blockchain-based smart contracts with bounded demand variability modeled through a truncated normal distribution. While existing research emphasizes the technical feasibility…