Related papers: While Stability Lasts: A Stochastic Model of Non-C…
In this paper, the problem of non-fragile finite-time stabilization for linear discrete mean-field stochastic systems is studied. The uncertain characteristics in control parameters are assumed to be random satisfying the Bernoulli…
Stablecoins promise to bridge fiat currencies with the world of cryptocurrencies. They provide a way for users to take advantage of the benefits of digital currencies, such as ability to transfer assets over the internet, provide assurance…
This paper investigates the dynamics of risk transmission in cryptocurrency markets and proposes a novel framework for volatility forecasting. The framework uncovers two key empirical facts: the asymmetric amplification of volatility…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…
Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on…
In contrast with robust systems that resist noise or fragile systems that break with noise, antifragility is defined as a property of complex systems that benefit from noise or disorder. Here we define and test a simple measure of…
In financial mathematics, it is a typical approach to approximate financial markets operating in discrete time by continuous-time models such as the Black Scholes model. Fitting this model gives rise to difficulties due to the discrete…
Increasing popularity of trading digital assets can lead to significant delays in Blockchain networks when processing transactions. When transaction fees become miners' primary revenue, an imbalance in reward may lead to miners adopting…
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…
This paper studies the pricing problem in which the underlying asset follows a non-Markovian stochastic volatility model. Classical partial differential equation methods face significant challenges in this context, as the option prices…
Extreme volatility, nonlinear dependencies, and systemic fragility are characteristics of cryptocurrency markets. The assumptions of normality and centralized control in traditional financial risk models frequently cause them to miss these…
We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery…
This paper considers robust stability analysis of a large network of interconnected uncertain systems. To avoid analyzing the entire network as a single large, lumped system, we model the network interconnections with integral quadratic…
Financial markets exhibit temporal organization that is not fully captured by volatility measures or linear correlation structure. We study a null validated topological approach for quantifying market complexity and apply it to Bitcoin…
We investigate the behaviour of cryptocurrencies using data for bitcoin, ethereum and ripple which account for over 70% of the cryptocurrency market. We demonstrate that $\alpha$-stable distribution is an appropriately sufficient model for…
This paper develops a formal game-theoretic model to examine how protocol mutability disrupts cooperative mining behaviour in blockchain systems. Using a repeated game framework with stochastic rule shocks, we show that even minor…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
Based on the cryptocurrency market dynamics, this study presents a general methodology for analyzing evolving correlation structures in complex systems using the $q$-dependent detrended cross-correlation coefficient \rho(q,s). By extending…