Related papers: A Multivariate Hawkes Process Model for Stablecoin…
Multivariate point processes are widely applied to model event-type data such as natural disasters, online message exchanges, financial transactions or neuronal spike trains. One very popular point process model in which the probability of…
Stablecoins have become a foundational component of the digital asset ecosystem, with their market capitalization exceeding 230 billion USD as of May 2025. As fiat-referenced and programmable assets, stablecoins provide low-latency,…
The stochastic block model (SBM) is one of the most widely used generative models for network data. Many continuous-time dynamic network models are built upon the same assumption as the SBM: edges or events between all pairs of nodes are…
Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyond simple monofractal models. In the context of digital…
The order flow in high-frequency financial markets has been of particular research interest in recent years, as it provides insights into trading and order execution strategies and leads to better understanding of the supply-demand…
The Hawkes process has garnered attention in recent years for its suitability to describe the behavior of online information cascades. Here, we present a fully tractable approach to analytically describe the distribution of the number of…
Our study provides a survey on how existing stablecoins-- cryptocurrencies aiming at price stabilization-- peg their value to other assets, from the perspective of Decentralized Payment Systems (DPSs). This attempt is important because…
Recently, the notion of cryptocurrencies has come to the fore of public interest. These assets that exist only in electronic form, with no underlying value, offer the owners some protection from tracking or seizure by government or…
We prove a law of large numbers and a functional central limit theorem for multivariate Hawkes processes observed over a time interval $[0,T]$ in the limit $T \rightarrow \infty$. We further exhibit the asymptotic behaviour of the…
We present a stability study of the class of multivariate self-excited Hawkes point processes, that can model natural and social systems, including earthquakes, epileptic seizures and the dynamics of neuron assemblies, bursts of exchanges…
Temporal networks observed continuously over time through timestamped relational events data are commonly encountered in application settings including online social media communications, financial transactions, and international relations.…
A Hawkes process model with a time-varying background rate is developed for analyzing the high-frequency financial data. In our model, the logarithm of the background rate is modeled by a linear model with a relatively large number of…
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek [10] the author…
Centralized monetary policy, leading to persistent inflation, is often inconsistent, untrustworthy, and unpredictable. Algorithmic stablecoins enabled by blockchain technology are promising in solving this problem. Algorithmic stablecoins…
Univariate marked Hawkes processes are used to model a range of real-world phenomena including earthquake aftershock sequences, contagious disease spread, content diffusion on social media platforms, and order book dynamics. This paper…
This paper provides an overview on stablecoins and introduces a novel terminology to help better identify stablecoins with truly disruptive potential. It provides a compact definition for stablecoins, identifying the unique features that…
Cryptocurrencies have gained popularity across various sectors, especially in finance and investment. Despite their growing popularity, cryptocurrencies can be a high-risk investment due to their price volatility. The inherent volatility in…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
We develop a model of stable assets, including non-custodial stablecoins backed by cryptocurrencies. Such stablecoins are popular methods for bootstrapping price stability within public blockchain settings. We derive fundamental results…
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to…