Related papers: Optimal Settings for Cryptocurrency Trading Pairs
Decentralized exchange platforms such as Uniswap and Balancer operate on several pools where each pool contains two or more cryptocurrencies and constitutes direct trading pairs. The drawbacks here are that liquidity providing requires…
Perpetual swaps are derivative contracts that allow traders to speculate on, or hedge, the price movements of cryptocurrencies. Unlike futures contracts, perpetual swaps have no settlement or expiration in the traditional sense. The funding…
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…
We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for…
The growth potential of a crypto(currency) project can be measured by the use cases spurred by the underlying technology. However, these projects are usually distributed, with a weak feedback schemes. Hence, a metric that is widely used as…
Transaction fee markets are essential components of blockchain economies, as they resolve the inherent scarcity in the number of transactions that can be added to each block. In early blockchain protocols, this scarcity was resolved through…
In the context of investment analysis, we formulate an abstract online computing problem called a planning game and develop general tools for solving such a game. We then use the tools to investigate a practical buy-and-hold trading problem…
Blockchain technology has revolutionized financial markets by enabling decentralized exchanges (DEXs) that operate without intermediaries. Uniswap V2, a leading DEX, facilitates the rapid creation and trading of new tokens, which offer high…
We introduce systematic tests exploiting robust statistical and behavioral patterns in trading to detect fake transactions on 29 cryptocurrency exchanges. Regulated exchanges feature patterns consistently observed in financial markets and…
Blockchain-based cryptocurrencies received a lot of attention recently for their applications in many domains. IoT domain is one of such applications, which can utilize cryptocur-rencies for micro payments without compromising their payment…
Cryptocurrency networks such as Bitcoin have emerged as a distributed alternative to traditional centralized financial transaction networks. However, there are major challenges in scaling up the throughput of such networks. Lightning…
Bitcoin has become the leading cryptocurrency system, but the limit on its transaction processing capacity has resulted in increased transaction fees and delayed transaction confirmation. As such, it is pertinent to understand and probably…
Since the introduction of Bitcoin in 2008, many other cryptocurrencies have been introduced and gained popularity. Lack of interoperability and scalability amongst these cryptocurrencies was and still is, acting as a significant impediment…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
Decentralized marketplace applications demand fast, cheap and easy-to-use cryptocurrency payment mechanisms to facilitate high transaction volumes. The standard solution for off-chain payments, state channels, are optimized for frequent…
In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No…
We examine the problem of allocating a given total storage budget in a distributed storage system for maximum reliability. A source has a single data object that is to be coded and stored over a set of storage nodes; it is allowed to store…
Stochastic matching is the stochastic version of the well-known matching problem, which consists in maximizing the rewards of a matching under a set of probability distributions associated with the nodes and edges. In most stochastic…
Existing large-scale optimization schemes are challenged by both scalability and cyber-security. With the favorable scalability, adaptability, and flexibility, decentralized and distributed optimization paradigms are widely adopted in…
Dealers make money by providing liquidity to clients but face flow uncertainty and thus price risk. They can efficiently skew their prices and wait for clients to mitigate risk (internalization), or trade with other dealers in the open…