Related papers: Optimal Settings for Cryptocurrency Trading Pairs
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
The focus of this paper is on identifying the most effective selling strategy for pairs trading of stocks. In pairs trading, a long position is held in one stock while a short position is held in another. The goal is to determine the…
More than ten years ago the blockchain was acclaimed as the solution to overcome centralised trusted third parties for online payments. Through the years the crypto-movement changed and evolved, although decentralisation remained the core…
We propose a modelling framework for the optimal selection of crypto assets. Crypto assets differ by two essential features: security (technological) and stability (governance). Investors make choices over crypto assets similarly to how…
Mining is a central operation of all proof-of-work (PoW) based cryptocurrencies. The vast majority of miners today participate in "mining pools" instead of "solo mining" in order to lower risk and achieve a more steady income. However, this…
This paper studies the problem of determining the optimal cut-off for pairs trading rules. We consider two correlated assets whose spread is modelled by a mean-reverting process with stochastic volatility, and the optimal pair trading rule…
Blockchain-based cryptocurrencies prioritize transactions based on their fees, creating a unique kind of fee market. Empirically, this market has failed to yield stable equilibria with predictable prices for desired levels of service. We…
This paper studies the optimal clearing problem for prosumers in peer-to-peer (P2P) energy markets. It is proved that if no trade weights are enforced and the communication structure between successfully traded peers is connected, then the…
Blockchain technology relies on decentralization to resist faults and attacks while operating without trusted intermediaries. Although industry experts have touted decentralization as central to their promise and disruptive potential, it is…
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics.…
In recent years, the tendency of the number of financial institutions including cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital assets to be included by asset managers. Although they have…
A cryptocurrency is a digital asset maintained by a decentralised system using cryptography. Investors in this emerging digital market are exploring the profitability potential of portfolios in place of single coins. Portfolios are…
Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own…
For decentralised P2P networks, it is very important to have a mechanism in place that allows the nodes to control resource usage and prevent flooding and denial-of-service attacks with spam. In this paper, we discuss and compare the…
Although Bitcoin was intended to be a decentralized digital currency, in practice, mining power is quite concentrated. This fact is a persistent source of concern for the Bitcoin community. We provide an explanation using a simple model to…
Pair trading is one of the most effective statistical arbitrage strategies which seeks a neutral profit by hedging a pair of selected assets. Existing methods generally decompose the task into two separate steps: pair selection and trading.…
Automated market makers are a popular mechanism used on decentralized exchange, through which users trade assets with each other directly and automatically through a liquidity pool and a fixed pricing function. The liquidity provider…
A cryptocurrency is a decentralized digital currency that is designed for secure and private asset transfer and storage. As a currency, it should be difficult to counterfeit and double-spend. In this paper, we review and analyze the major…
Transaction fee mechanism design is a new decentralized mechanism design problem where users bid for space on the blockchain. Several recent works showed that the transaction fee mechanism design fundamentally departs from classical…
We study the problem of preventing double spending in electronic payment schemes in a distributed fashion. This problem occurs, for instance, when the spending of electronic coins needs to be controlled by a large collection of nodes (eg.…