Related papers: Understand Volatility of Algorithmic Stablecoin: M…
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical results. Finally, we provide an outlook on…
A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX risk. Specifically, a misinformed decision to convert Bitcoin to fiat currency could, by itself, cost USD millions. In…
A key property for systems subject to uncertainty in their operating environment is robustness, ensuring that unmodelled, but bounded, disturbances have only a proportionally bounded effect upon the behaviours of the system. Inspired by…
The theory of complex networks and of disordered systems is used to study the stability and dynamical properties of a simple model of material flow networks defined on random graphs. In particular we address instabilities that are…
Cryptocurrency markets present unique prediction challenges due to their extreme volatility, 24/7 operation, and hypersensitivity to news events, with existing approaches suffering from key information extraction and poor sideways market…
Liquid staking has become the largest category of decentralized finance protocols in terms of total value locked. However, few studies exist on its implementation designs or underlying risks. The liquid staking protocols allow for earning…
Digital currencies have become popular in the last decade due to their non-dependency and decentralized nature. The price of these currencies has seen a lot of fluctuations at times, which has increased the need for prediction. As their…
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quantitatives such as…
This study explores the use of Recurrent Neural Networks (RNN) for real-time cryptocurrency price prediction and optimized trading strategies. Given the high volatility of the cryptocurrency market, traditional forecasting models often fall…
In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional prices movements. The order flow is the microsecond stream of orders arriving at the exchange, driving…
Smart contracts are computer programs that are executed by a network of mutually distrusting agents, without the need of an external trusted authority. Smart contracts handle and transfer assets of considerable value (in the form of…
Designing a stabilizing controller for nonlinear systems is a challenging task, especially for high-dimensional problems with unknown dynamics. Traditional reinforcement learning algorithms applied to stabilization tasks tend to drive the…
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option…
Recently, cryptocurrencies have attracted a growing interest from investors, practitioners and researchers. Nevertheless, few studies have focused on the predictability of them. In this paper we propose a new and comprehensive study about…
A technique for on-line estimation of spot volatility for high-frequency data is developed. The algorithm works directly on the transaction data and updates the volatility estimate immediately after the occurrence of a new transaction.…
By investigating nonfungible tokens (NFTs), we provide the first systematic study of retail investor behavior through asset bubbles. Given that NFTs are recorded in public blockchains, we are able to track investor behavior over time,…
The existence of instabilities, for example in the form of adversarial examples, has given rise to a highly active area of research concerning itself with understanding and enhancing the stability of neural networks. We focus on a popular…
Quantum computers are not yet up to the task of providing computational advantages for practical stochastic diffusion models commonly used by financial analysts. In this paper we introduce a class of stochastic processes that are both…
Since the inception of Bitcoin in 2008, cryptocurrencies have played an increasing role in the world of e-commerce, but the recent turbulence in the cryptocurrency market in 2018 has raised some concerns about their stability and associated…
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…