Related papers: ETF construction on CRIX
This document analyzes price discovery in cryptocurrency markets by comparing centralized and decentralized exchanges, as well as spot and futures markets. The study focuses first on Ethereum (ETH) and then applies a similar approach to…
The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part…
This study examines the interdependence between cryptocurrencies and international financial indices, such as MSCI World and MSCI Emerging Markets. We compute the value at risk, expected shortfall (ES), and range value at risk (RVaR) and…
Tokens have proliferated across blockchains in terms of number, market capitalisation and utility. Some tokens are tokenised versions of existing tokens -- known variously as wrapped tokens, fractional tokens, or shares. The repeated…
Cryptocurrencies are digital tokens built on blockchain technology, with thousands actively traded on centralized exchanges (CEXs). Unlike stocks, which are backed by real businesses, cryptocurrencies are recognized as a distinct class of…
Blockchain technology facilitates the development of decentralized systems that ensure trust and transparency without the need for expensive centralized intermediaries. However, existing blockchain architectures particularly consortium…
This paper examines factors that influence prices of most common five cryptocurrencies such as Bitcoin, Ethereum, Dash, Litecoin, and Monero over 2010-2018 using weekly data. The study employs ARDL technique and documents several findings.…
This paper examines the dynamics of the cryptocurrency market and proposes a novel blockchain-based protocol for real estate transactions. Our analysis includes a detailed review of price trends, volatility, and correlations within the…
Smart contracts are increasingly being used to manage large numbers of high-value cryptocurrency accounts. There is a strong demand for automated, efficient, and comprehensive methods to detect security vulnerabilities in a given contract.…
In this paper, we analyze traders' behavior within both centralized exchanges (CEXs) and decentralized exchanges (DEXs), focusing on the volatility of Bitcoin prices and the trading activity of investors engaged in perpetual future…
Precise short-term price prediction in the highly volatile cryptocurrency market is critical for informed trading strategies. Although Temporal Fusion Transformers (TFTs) have shown potential, their direct use often struggles in the face of…
EIP-1559 is a proposal to make several tightly coupled additions to Ethereum's transaction fee mechanism, including variable-size blocks and a burned base fee that rises and falls with demand. This report assesses the game-theoretic…
Sharding distributed ledgers is a promising on-chain solution for scaling blockchains but lacks formal grounds, nurturing skepticism on whether such complex systems can scale blockchains securely. We fill this gap by introducing the first…
The world economy is experiencing the novel adoption of distributed currencies that are free from the control of central banks. Distributed currencies suffer from extreme volatility, and this can lead to catastrophic implications during…
The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger…
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market…
Ethereum has undergone a recent change called \textit{the Merge}, which made Ethereum a Proof-of-Stake blockchain, shifting closer to BFT consensus. Ethereum, which wished to keep the best of the two protocol designs (BFT and…
Algorithmic trading is well studied in traditional financial markets. However, it has received less attention in centralized cryptocurrency exchanges. The Commodity Futures Trading Commission (CFTC) attributed the $2010$ flash crash, one of…
Elliptic Curve Cryptography (ECC) is a fundamental component of modern public-key cryptosystems that enable efficient and secure digital signatures, key exchanges, and encryption. Its core operation, scalar multiplication, denoted as $k…
Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own…