Related papers: ETF construction on CRIX
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a great variety of commodities, ranging from precious metals to…
High-frequency trading (HFT) uses computer algorithms to make trading decisions in short time scales (e.g., second-level), which is widely used in the Cryptocurrency (Crypto) market (e.g., Bitcoin). Reinforcement learning (RL) in financial…
The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the equally-weighted portfolio, the entropy-weighted portfolio,…
Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order to study this problem, we start from an empty graph with no…
This paper measures price differences between Hegic option quotes on Arbitrum and a model-based benchmark built on Black--Scholes model with regime-sensitive volatility estimated via a two-regime MS-AR-(GJR)-GARCH model. Using option-level…
Cryptocurrency blockchain networks safeguard digital assets using cryptographic keys, with wallets playing a critical role in generating, storing, and managing these keys. Wallets, typically categorized as hot and cold, offer varying…
Proof-of-work computation used in cryptocurrencies has witnessed significant growth in the U.S. and many other regions around the world. One of the most significant bottlenecks for the scalable deployment of such computation is its energy…
The recent surge in federated data management applications has brought forth concerns about the security of underlying data and the consistency of replicas in the presence of malicious attacks. A prominent solution in this direction is to…
The wide success of Bitcoin has led to a huge surge of alternative cryptocurrencies (altcoins). Most altcoins essentially fork Bitcoin's code with minor modifications, such as the number of coins to be minted, the block size, and the block…
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)…
Blockchain systems are designed, built and operated in the presence of failures. There are two dominant failure models, namely crash fault and Byzantine fault. Byzantine fault tolerance (BFT) protocols offer stronger security guarantees,…
We design a novel calibration procedure that is designed to handle the specific characteristics of options on cryptocurrency markets, namely large bid-ask spreads and the possibility of missing or incoherent prices in the considered data…
We introduce the Clockwork Finance Framework (CFF), a general purpose, formal verification framework for mechanized reasoning about the economic security properties of composed decentralized-finance (DeFi) smart contracts. CFF features…
Cryptocurrency blockchains, beyond their primary role as distributed payment systems, are increasingly used to store and share arbitrary content, such as text messages and files. Although often non-financial, this hidden content can impact…
Reentrancy is a well-known source of smart contract bugs on Ethereum, leading e.g. to double-spending vulnerabilities in DeFi applications. But less is known about this problem in other blockchains, which can have significantly different…
Poorly designed smart contracts are particularly vulnerable, as they may allow attackers to exploit weaknesses and steal the virtual currency they manage. In this study, we train a model using unsupervised learning to identify…
There is growing interest in providing programmatic access to the value locked in Bitcoin, which famously offers limited programmability itself. Various approaches have been put forth in recent years, with the vast majority of proposed…
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…
Participation in permissionless blockchains results in competition over system resources, which needs to be controlled with fees. Ethereum's current fee mechanism is implemented via a first-price auction that results in unpredictable fees…
Blockchain technology relies on decentralization to resist faults and attacks while operating without trusted intermediaries. Although industry experts have touted decentralization as central to their promise and disruptive potential, it is…