Related papers: ETF construction on CRIX
Non-fungible tokens (NFTs) as a decentralized proof of ownership represent one of the main reasons why Ethereum is a disruptive technology. This paper presents the first systematic study of the interactions occurring in a number of NFT…
Stablecoins are one of the most widely capitalized type of cryptocurrency. However, their risks vary significantly according to their design and are often poorly understood. We seek to provide a sound foundation for stablecoin theory, with…
Distributed securities exchanges may become de facto fragmented if they span geographical regions with asymmetric computer infrastructure. First, we build an economic model of a decentralized exchange with two miner clusters, standing in…
Cryptocurrencies are an emerging economic force, but there are concerns about their security. This is due, in part, to complex collusion cases and new threat vectors that could be missed by conventional security assessment strategies. To…
We document stable cross-asset patterns in cryptocurrency limit-order-book microstructure: the same engineered order book and trade features exhibit remarkably similar predictive importance and SHAP dependence shapes across assets spanning…
Decentralized finance (DeFi) markets spread across Layer-1 (L1) and Layer-2 (L2) blockchains rely on arbitrage to keep prices aligned. Today most price gaps are closed against centralized exchanges (CEXes), whose deep liquidity and fast…
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including the cryptocurrency market, belong to the economical sphere…
Blockchain technology and, in particular, blockchain-based cryptocurrencies offer us information that has never been seen before in the financial world. In contrast to fiat currencies, all transactions of crypto-currencies and crypto-tokens…
Decentralized financial (DeFi) applications on the Ethereum blockchain are highly interoperable because they share a single state in a deterministic computational environment. Stakeholders can deposit claims on assets, referred to as…
Cryptocurrencies as a new way of transferring assets and securing financial transactions have gained popularity in recent years. Transactions in cryptocurrencies are publicly available, hence, statistical studies on different aspects of…
Over the last two decades, the danger of sharing resources between programs has been repeatedly highlighted. Multiple side-channel attacks, which seek to exploit shared components for leaking information, have been devised, mostly targeting…
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…
Given a universe of N assets, investors often form equally weighted portfolios (EWPs) by selecting subsets of assets. EWPs are simple, robust, and competitive out-of-sample, yet the uncertainty about which subset truly performs best is…
We propose a new way of building portfolios of cryptocurrencies that provide good diversification properties to investors. First, we seek to filter these digital assets by creating some clusters based on their path signature. The goal is to…
Liquidity providers (LPs) on decentralized exchanges (DEXs) can protect themselves from adverse selection risk by updating their positions more frequently. However, repositioning is costly, because LPs have to pay gas fees for each update.…
Cryptocurrencies (CCs) become more interesting for institutional investors' strategic asset allocation and will be a fixed component of professional portfolios in future. This asset class differs from established assets especially in terms…
The price volatility of cryptocurrencies is often cited as a major hindrance to their wide-scale adoption. Consequently, during the last two years, multiple so called stablecoins have surfaced---cryptocurrencies focused on maintaining…
We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models…
As cryptocurrencies gain popularity and credibility, marketplaces for cryptocurrencies are growing in importance. Understanding the dynamics of these markets can help to assess how viable the cryptocurrnency ecosystem is and how design…
This paper studies the forecasting ability of cryptocurrency time series. This study is about the four most capitalized cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple. Different Bayesian models are compared, including models with…