Related papers: (In)Stability for the Blockchain: Deleveraging Spi…
This paper is concerned with the stability of shares in a cryptocurrency where the new coins are issued according to the Proof of Stake protocol. We identify large, medium and small investors under various rewarding schemes, and show that…
Our study empirically predicts the bubble of non-fungible tokens (NFTs): transferable and unique digital assets on public blockchains. This topic is important because, despite their strong market growth in 2021, NFTs on a project basis have…
Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the…
In this paper, we systematically explore the attack surface of the Blockchain technology, with an emphasis on public Blockchains. Towards this goal, we attribute attack viability in the attack surface to 1) the Blockchain cryptographic…
In Proof-of-Work blockchains, difficulty algorithms serve the crucial purpose of maintaining a stable transaction throughput by dynamically adjusting the block difficulty in response to the miners' constantly changing computational power.…
Blockchains, and specifically smart contracts, have promised to create fair and transparent trading ecosystems. Unfortunately, we show that this promise has not been met. We document and quantify the widespread and rising deployment of…
We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…
Financial markets have evolved over centuries, and exchanges have converged to rely on the order book mechanism for market making. Latency on the blockchain, however, has prevented decentralized exchanges (DEXes) from utilizing the order…
We document the first systematic evidence of negative spillover effects in crypto asset returns across blockchains. Using on-chain data from Ethereum, Solana, Binance Smart Chain, Arbitrum, and Avalanche (2022-2025), we show that surges on…
Public blockchains should be able to scale with respect to the number of nodes and to the transactions workload. The blockchain scalability trilemma has been informally conjectured. This is related to scalability, security and…
In blockchain sharding, $n$ processing nodes are divided into $s$ shards, and each shard processes transactions in parallel. A key challenge in such a system is to ensure system stability for any ``tractable'' pattern of generated…
Denial of Service (DoS) attacks are a growing threat in network services. The frequency and intensity of DoS attacks are rapidly increasing day by day. The immense financial potential of the Cryptocurrency market is a prevalent target of…
This paper develops a model to evaluate the viability of blockchain markets as the sole venue for price formation. Blockchains clear at discrete intervals called block time, and transactions are executed sequentially according to priority…
Stablecoins face an unresolved trilemma of balancing decentralization, stability, and regulatory compliance. We present a hybrid stabilization protocol that combines crypto-collateralized reserves, algorithmic futures contracts, and…
Due to delays in the adaptation of production or delivery rates, supply chains can be dynamically unstable with respect to perturbations in the consumption rate, which is known as "bull-whip effect". Here, we study several conceivable…
DeFi, or Decentralized Finance, is based on a distributed ledger called blockchain technology. Using blockchain, DeFi may customize the execution of predetermined operations between parties. The DeFi system use blockchain technology to…
Credit allows a lender to loan out surplus capital to a borrower. In the traditional economy, credit bears the risk that the borrower may default on its debt, the lender hence requires upfront collateral from the borrower, plus interest fee…
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…
This paper presents a novel staking coopetition design aimed at incentivizing decentralization and continuous growth of economic security within a proof-of-stake system. Staking rewards follow a nonlinear mapping relative to stake size.…
Cryptocurrency exchanges are frequently targeted and compromised by cyber-attacks, which may lead to significant losses for the depositors and closure of the affected exchanges. These risks threaten the viability of the entire public…