Related papers: Optimal Settings for Cryptocurrency Trading Pairs
The Foreign Exchange (Forex) is a large decentralized market, on which trading analysis and algorithmic trading are popular. Research efforts have been focusing on proof of efficiency of certain technical indicators. We demonstrate,…
We analyze the market quality of centralized crypto exchanges (CEXs) and decentralized blockchain-based venues (DEXs) using a unique and comprehensive dataset. Focusing on two fundamental aspects, transaction costs and deviations from the…
Blockchain systems often employ proof-of-work consensus protocols to validate and add transactions into hashchains. These protocols stimulate competition among miners in solving cryptopuzzles (e.g. SHA-256 hash computation in Bitcoin) in…
Cryptocurrencies such as Bitcoin are realized using distributed systems and hence critically rely on the performance and security of the interconnecting network. The requirements on these networks and their usage, however can differ…
Cryptocurrency exchanges are frequently targeted and compromised by cyber-attacks, which may lead to significant losses for the depositors and closure of the affected exchanges. These risks threaten the viability of the entire public…
Transaction fees represent a major incentive in many blockchain systems as a way to incentivize processing transactions. Unfortunately, they also introduce an enormous amount of incentive asymmetry compared to alternatives like fixed block…
While many researchers adopt a sharding approach to design scaling blockchains, few works have studied the transaction placement problem incurred by sharding protocols. The widely-used hashing placement algorithm renders an overwhelming…
Decentralized exchanges are widely used platforms for trading crypto assets. The most common types work with automated market makers (AMM), allowing traders to exchange assets without needing to find matching counterparties. Thereby,…
Cryptocurrencies offer an alternative to traditional methods of electronic value exchange, promising anonymous, cash-like electronic transfers, but in practice they fall short for several key reasons. We consider the false choice between…
This paper studies what Bitcoin (BTC) premiums in peer-to-peer (P2P) markets measure. Using transaction-level data from LocalBitcoins, we construct BTC premiums for 80 currencies relative to the U.S. dollar and relate them to blockchain…
Traditional blockchain design gives miners or validators full control over transaction ordering, i.e., they can freely choose which transactions to include or exclude, as well as in which order. While not an issue initially, the emergence…
The Bitcoin payment system involves two agent types: Users that transact with the currency and pay fees and miners in charge of authorizing transactions and securing the system in return for these fees. Two of Bitcoin's challenges are (i)…
Automated market makers with concentrated liquidity capabilities are programmable at the tick level. The maximization of earned fees, plus depreciated reserves, is a convex optimization problem whose vector solution gives the best provision…
Improving transaction throughput is one of the main challenges in decentralized payment systems. Attempts to improve transaction throughput in cryptocurrencies are usually a trade-off between throughput and security or introduce a central…
Bitcoin brings a new type of digital currency that does not rely on a central system to maintain transactions. By benefiting from the concept of decentralized ledger, users who do not know or trust each other can still conduct transactions…
In spite of the growing consideration for optimal execution in the financial mathematics literature, numerical approximations of optimal trading curves are almost never discussed. In this article, we present a numerical method to…
Increasing the transactional throughput of decentralized blockchains in a secure manner has been the holy grail of blockchain research for most of the past decade. This paper introduces a scheme for scaling blockchains while retaining…
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…
Decentralized, offline, and privacy-preserving e-cash could fulfil the need for both scalable and byzantine fault-resistant payment systems. Existing offline anonymous e-cash schemes are unsuitable for distributed environments due to a…
Trading on decentralized exchanges has been one of the primary use cases for permissionless blockchains with daily trading volume exceeding billions of U.S.~dollars. In the status quo, users broadcast transactions and miners are responsible…