Related papers: Liquidity Risks in Lending Protocols: Evidence fro…
The Ripple credit network has emerged as a payment backbone with key advantages for financial institutions and the remittance industry. Its path-based IOweYou (IOU) settlements across different (crypto)currencies conceptually distinguishes…
In a previous paper, it was discussed whether Bitcoin and/or its blockchain could be considered a complex system and, if so, whether a chaotic one, a positive response raising concerns about the likelihood of Bitcoin/blockchain entering a…
For preserving privacy, blockchains can be equipped with dedicated mechanisms to anonymize participants. However, these mechanism often take only the abstraction layer of blockchains into account whereas observations of the underlying…
The adoption of decentralized, tamper-proof ledger systems is paving the way for new applications and opportunities in different contexts. While most research aims to improve their scalability, privacy, and governance issues,…
We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the "tail risk" of a risky position in scenarios where one or more market participants is experiencing financial…
With rise of blockchain popularity, more and more people seek to implement blockchain technology into their projects. Most common way is to take existing blockchain stack, such as Azure Blockchain Workbench or Oracle Blockchain Platform.…
Accountability, the ability to provably identify protocol violators, gained prominence as the main economic argument for the security of proof-of-stake (PoS) protocols. Rollups, the most popular scaling solution for blockchains, typically…
We present a general framework for measuring the liquidity risk. The theoretical framework defines a class of risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement…
Decentralized lending protocols within the decentralized finance ecosystem enable the lending and borrowing of crypto-assets without relying on traditional intermediaries. Interest rates in these protocols are set algorithmically and…
The increasing uptake of distributed energy resources (DERs) in distribution systems and the rapid advance of technology have established new scenarios in the operation of low-voltage networks. In particular, recent trends in…
This paper proposes an important extension to Conditional Value-at-Risk (CoVaR), the popular systemic risk measure, and investigates its properties on the cryptocurrency market. The proposed Vulnerability-CoVaR (VCoVaR) is defined as the…
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…
We study the loan contracts offered by decentralised loan protocols (DLPs) through the lens of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transactions between option buyers (i.e. borrowers) and option…
Relay Mining presents a scalable solution employing probabilistic mechanisms, crypto-economic incentives, and new cryptographic primitives to estimate and prove the volume of Remote Procedure Calls (RPCs) made from a client to a server.…
Motivated by the great success and adoption of Bitcoin, a number of cryptocurrencies such as Litecoin, Dogecoin, and Ethereum are becoming increasingly popular. Although existing blockchain-based cryptocurrency schemes can ensure reasonable…
Blockchain technology, a foundational distributed ledger system, enables secure and transparent multi-party transactions. Despite its advantages, blockchain networks are susceptible to anomalies and frauds, posing significant risks to their…
The entry of new technological infrastructures into the financial markets poses serious concerns about the misuse of the economic system for illicit purposes, such as money laundering and financing of terrorism. Although there are cases in…
Large Language Models (LLMs) have emerged as powerful tools across various domains within cyber security. Notably, recent studies are increasingly exploring LLMs applied to the context of blockchain security (BS). However, there remains a…
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
Blockchain is a popular method to ensure security for trusted systems. The benefits include an auditable method to provide decentralized security without a trusted third party, but the drawback is the large computational resources needed to…