Related papers: Optimal Settings for Cryptocurrency Trading Pairs
Since its advent in 2009, Bitcoin, a cryptography-enabled peer-to-peer digital payment system, has been gaining increasing attention from both academia and industry. An effort designed to overcome a cluster of bottlenecks inherent in…
For centuries, financial institutions have responded to liquidity challenges by forming closed, centralized clearing clubs with strict rules and membership that allow them to collaborate on using the least money to discharge the most debt.…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…
We propose a pairs trading model that incorporates a time-varying volatility of the Constant Elasticity of Variance type. Our approach is based on stochastic control techniques; given a fixed time horizon and a portfolio of two…
Decentralization, which has backed the hyper growth of many blockchains, comes at the cost of scalability. To understand this fundamental limitation, this paper proposes a quantitative measure of blockchain decentralization, and discusses…
The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of…
Cryptocurrencies fluctuate in markets with high price volatility, posing significant challenges for investors. To aid in informed decision-making, systems predicting cryptocurrency market movements have been developed, typically focusing on…
Decentralized exchange markets leveraging blockchain have been proposed recently to provide open and equal access to traders, improve transparency and reduce systemic risk of centralized exchanges. However, they compromise on the privacy of…
Lending protocols are one of the main applications of Decentralized Finance (DeFi), enabling crypto-assets loan markets with a total value estimated in the tens of billions of dollars. Unlike traditional lending systems, these protocols…
We model the ultimate price paid by users of a decentralized ledger as resulting from a two-stage game where Miners (/Proposers/etc.) first purchase blockspace via a Tullock contest, and then price that space to users. When analyzing our…
Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…
Cryptocurrencies come with a variety of tokenomic policies as well as aspirations of desirable monetary characteristics that have been described by proponents as 'sound money' or even 'ultra sound money.' These propositions are typically…
The cross-blockchain transaction remains one of the most challenging problems in blockchains. The root cause of the challenge lies in the nondeterministic nature of blockchains: A $n$-party transaction across multiple blockchains might be…
We have designed an innovative portfolio rebalancing mechanism termed the Cascading Waterfall Round Robin Mechanism. This algorithmic approach recommends an ideal size and number of trades for each asset during the periodic rebalancing…
Unlike suggested during their early years of existence, Bitcoin and similar cryptocurrencies in fact offer significantly less privacy as compared to traditional banking. A myriad of privacy-enhancing extensions to those cryptocurrencies as…
The crypto ecosystem has evolved into a formidable channel for raising venture capital. Each new wave of capital inflows has been epitomized by a new type of investment vehicle, may it be ICOs, DAOs, or NFTs. Regrettably, none of these…
Inventory matching is a standard mechanism/auction for trading financial stocks by which buyers and sellers can be paired. In the financial world, banks often undertake the task of finding such matches between their clients. The related…
This study investigates three central questions in portfolio optimization. First, whether time-varying moment estimators outperform conventional sample estimators in practical portfolio construction. Second, whether incorporating a turnover…
Decentralized Finance (DeFi) money markets have seen explosive growth in recent years, with billions of dollars borrowed in various cryptocurrency assets. Key to the safety of money markets is the implementation of interest rates that…
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied. The corresponding dynamics…