Related papers: Optimal Settings for Cryptocurrency Trading Pairs
This research introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies. To identify the most suitable pairs, the study employs linear and non-linear cointegration tests along with a correlation…
Stablecoins, which are primarily intended to function as a global reserve of value are insubstantial in their design and present many failure points. The primary mechanism to enable these coins to hold on to a fixed value is by backing them…
Decentralized Finance (DeFi), in which digital assets are exchanged without trusted intermediaries, has grown rapidly in value in recent years. The global DeFi ecosystem is fragmented into multiple blockchains, fueling the demand for…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…
We consider the problem of optimally executing an order involving multiple crypto-assets, sometimes called tokens, on a network of multiple constant function market makers (CFMMs). When we ignore the fixed cost associated with executing an…
Decentralized blockchain platforms have enabled the secure exchange of crypto-assets without the intermediation of trusted authorities. To this purpose, these platforms rely on a peer-to-peer network of byzantine nodes, which…
This paper presents a simple method for a posteriori (historical) multi-variate multi-stage optimal trading under transaction costs and a diversification constraint. Starting from a given amount of money in some currency, we analyze the…
Extreme valuation and volatility of cryptocurrencies require investors to diversify often which demands secure exchange protocols. A cross-chain swap protocol allows distrusting parties to securely exchange their assets. However, the…
We formulate the design of a threshold signature scheme as made possible on cryptocurrency protocols like Bitcoin. The funds are secured by an m-of-n threshold signature, where at least m signatures are needed to unlock the funds. A user…
The internet era has generated a requirement for low cost, anonymous and rapidly verifiable transactions to be used for online barter, and fast settling money have emerged as a consequence. For the most part, e-money has fulfilled this…
Double auctions are widely used in financial markets, such as those for stocks, derivatives, currencies, and commodities, to match demand and supply. Once all buyers and sellers have placed their trade requests, the exchange determines how…
Auctions are widely used in exchanges to match buy and sell requests. Once the buyers and sellers place their requests, the exchange determines how these requests are to be matched. The two most popular objectives used while determining the…
This paper considers the problem of stabilizing cooperative data exchange with selfish users. In this setting, each user has a subset of packets in the ground set $X$, and wants all other packets in $X$. The users can exchange their packets…
The evolution of cryptocurrency and decentralized finance (DeFi) marks a significant shift in the financial landscape, making it more accessible, inclusive, and participative for various societal groups. However, this transition from…
Decentralized Exchanges (DEXes) enable users to create markets for exchanging any pair of cryptocurrencies. The direct exchange rate of two tokens may not match the cross-exchange rate in the market, and such price discrepancies open up…
Blockchains are widely used for secure transaction processing, but their scalability remains limited, and existing multichain designs are typically static even as demand and capacity shift. We cast blockchain configuration as a multiagent…
Permissionless blockchain consensus protocols have been designed primarily for defining decentralized economies for the commercial trade of assets, both virtual and physical, using cryptocurrencies. In most instances, the assets being…
Bitcoin is a "crypto currency", a decentralized electronic payment scheme based on cryptography which has recently gained excessive popularity. Scientific research on bitcoin is less abundant. A paper at Financial Cryptography 2012…
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…
Payment channels effectively move the transaction load off-chain thereby successfully addressing the inherent scalability problem most cryptocurrencies face. A major drawback of payment channels is the need to ``top up'' funds on-chain when…