Related papers: Optimal Settings for Cryptocurrency Trading Pairs
Blockchains have block-size limits to ensure the entire cluster can keep up with the tip of the chain. These block-size limits are usually single-dimensional, but richer multidimensional constraints allow for greater throughput. The…
Self-stabilizing distributed control is often modeled by token abstractions. A system with a single token may implement mutual exclusion; a system with multiple tokens may ensure that immediate neighbors do not simultaneously enjoy a…
Computational task offloading based on edge computing can deal with the performance bottleneck of traditional cloud-based systems for Internet of things (IoT). To further optimize computing efficiency and resource allocation, collaborative…
Cryptocurrency is a cryptography-based digital asset with extremely volatile prices. Around USD 70 billion worth of cryptocurrency is traded daily on exchanges. Trading cryptocurrency is difficult due to the inherent volatility of the…
Cryptocurrencies are considered relevant assets and they are currently used as an investment or to carry out transactions. However, specific characteristics commonly associated with the cryptocurrencies such as irreversibility,…
We develop a model of coordination and allocation of decentralized multi-sided markets, in which our theoretical analysis is promisingly optimizing the decentralized transaction packaging process at high-throughput blockchains or Web 3.0…
Proof of work cryptocurrencies began with the promise of a more egalitarian future with a decentralized monetary system with no powerful entities in charge. While this vision is far from realized, these cryptocurrencies are still touted to…
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a non-tradable index. The correlation…
Cryptocurrencies (CCs) have risen rapidly in market capitalization over the last years. Despite striking price volatility, their high average returns have drawn attention to CCs as alternative investment assets for portfolio and risk…
Pairs trading, a strategy that capitalizes on price movements of asset pairs driven by similar factors, has gained significant popularity among traders. Common practice involves selecting highly cointegrated pairs to form a portfolio, which…
At present, cryptocurrencies have become a global phenomenon in financial sectors as it is one of the most traded financial instruments worldwide. Cryptocurrency is not only one of the most complicated and abstruse fields among financial…
We consider a simplified model for optimizing a single-asset portfolio in the presence of transaction costs given a signal with a certain autocorrelation and cross-correlation structure. In our setup, the portfolio manager is given two…
Optimal simple rules for the monetary policy of the first stochastically dominant crypto-currency are derived in a Dynamic Stochastic General Equilibrium (DSGE) model, in order to provide optimal responses to changes in inflation, output,…
Automated Market Makers (AMMs) are decentralized applications that allow users to exchange crypto-tokens without the need for a matching exchange order. AMMs are one of the most successful DeFi use cases: indeed, major AMM platforms process…
The state-of-the-art techniques for processing cross-blockchain transactions take a simple centralized approach: when the assets on blockchain $X$, say $X$-coins, are exchanged with the assets on blockchain $Y$---the $Y$-coins, those…
Gold and bitcoin are not new to us, but with limited cash and time, given only the past stream of the daily price of gold and bitcoin, it is a kind of new problem for us to develop a certain model and determine the best strategy to get the…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
Crypto Currencies have recently gained enormous popularity amongst the general public. With each passing day, more and more companies are radically accepting crypto cur-rencies in their payment systems, paving way for an economic…
Does the proof-of-work protocol serve its intended purpose of supporting decentralized cryptocurrency mining? To address this question, we develop a game-theoretical model where miners first invest in hardware to improve the efficiency of…
Cryptocurrency trading has attracted tremendous attention from both retail and institutional investors. However, most traders fail to scale their assets under management due to fragile strategies that collapse during adverse markets. The…