Related papers: Optimal Settings for Cryptocurrency Trading Pairs
Designed to compete with fiat currencies, bitcoin proposes it is a crypto-currency alternative. Bitcoin makes a number of false claims, including: solving the double-spending problem is a good thing; bitcoin can be a reserve currency for…
Stablecoins - crypto tokens whose value is pegged to a real-world asset such as the US Dollar - are an important component of the DeFi ecosystem as they mitigate the impact of token price volatility. In crypto-backed stablecoins, the peg is…
We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximize revenues, the broker considers trading in a currency triplet which consists of the…
This work is about optimal order execution, where a large order is split into several small orders to maximize the implementation shortfall. Based on the diversity of cryptocurrency exchanges, we attempt to extract cross-exchange signals by…
Cryptocurrencies came to the world in the recent decade and attempted to offer a new order where the financial system is not governed by a centralized entity, and where you have complete control over your account without the need to trust…
Sending money in cryptocurrencies is majorly based on public keys or their hashed forms -- "addresses." These long random-looking strings are user unfriendly for transferring by other means than via copy-and-paste or QR codes. Replacing…
Multifractality is a concept that helps compactly grasping the most essential features of the financial dynamics. In its fully developed form, this concept applies to essentially all mature financial markets and even to more liquid…
Cryptocurrencies are poised to revolutionize the modern economy by democratizing commerce. These currencies operate on top of blockchain-based distributed ledgers. Existing permissionless blockchain-based protocols offer unparalleled…
One of the exciting recent developments in decentralized finance (DeFi) has been the development of decentralized cryptocurrency exchanges that can autonomously handle conversion between different cryptocurrencies. Decentralized exchange…
This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…
The last decade has experienced a vast interest in Blockchain-based cryptocurrencies with a specific focus on the applications of this technology. However, slow confirmation times of transactions and unforeseeable high fees hamper their…
Currently, one of the most widely used protocols to secure cryptocurrency assets in centralized exchanges is categorizing wallets into cold and hot. While cold wallets hold user deposits, hot} wallets are responsible for addressing…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…
Bitcoin mining presents a significant economic incentive for efficient hashing and broadcast of data, both parameters stemming from the Proofs of Work used to advance the network. This incentive has led to the development of Bitcoin…
The successful amalgamation of cryptocurrency and consumer Internet of Things (IoT) devices can pave the way for novel applications in machine-to-machine economy. However, the lack of scalability and heavy resource requirements of initial…
We propose Ping-Pong Swaps: A secure pure peer-to-peer crosschain swap mechanism of tokens or cryptocurrencies that does not require escrow nor an intermediate trusted third party. The only technical requirement is to be able to open…
Price stability has often been cited as a key reason that cryptocurrencies have not gained widespread adoption as a medium of exchange and continue to prove incapable of powering the economy of decentralized applications (DApps)…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…