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Although Bitcoin was intended to be a decentralized digital currency, in practice, mining power is quite concentrated. This fact is a persistent source of concern for the Bitcoin community. We provide an explanation using a simple model to…
We document the first systematic evidence of negative spillover effects in crypto asset returns across blockchains. Using on-chain data from Ethereum, Solana, Binance Smart Chain, Arbitrum, and Avalanche (2022-2025), we show that surges on…
Scalability has been a bottleneck for major blockchains such as Bitcoin and Ethereum. Despite the significantly improved scalability claimed by several high--profile blockchain projects, there has been little effort to understand how their…
In the past few years, "metaverse" and "non-fungible tokens (NFT)" have become buzzwords, and the prices of related assets have exhibited large fluctuations. Are those characteristic of a speculative bubble? In this paper, we attempt to…
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market…
In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock market data. In contrast to popular…
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.…
The rapid expansion of the non-fungible token (NFT) market has catalyzed new opportunities for artists, collectors, and investors, yet it has also unveiled critical challenges related to the storage and distribution of associated metadata.…
This paper investigates the impact of sanctions on Tornado Cash, a smart contract protocol designed to enhance transaction privacy. Following the U.S. Department of the Treasury's sanctions against Tornado Cash in August 2022, platform…
The vast majority of applications at this moment rely on centralized servers to relay messages between clients, where these servers are considered trusted third-parties. With the rise of blockchain technologies over the last few years,…
We investigate the behavior of liquidity providers (LPs) by modeling a decentralized cryptocurrency exchange (DEX) based on Uniswap v3. LPs with heterogeneous characteristics choose optimal liquidity positions subject to uncertainty…
Lending protocols in decentralized finance enable the permissionless exchange of capital from lenders to borrowers without relying on a trusted third party for clearing or market-making. Interest rates are set by the supply and demand of…
We present FairTraDEX, a decentralized exchange (DEX) protocol based on frequent batch auctions (FBAs), which provides formal game-theoretic guarantees against extractable value. FBAs when run by a trusted third-party provide unique…
This paper studies the optimal liquidation of stocks in the presence of temporary and permanent price impacts, and we focus in the case of cryptocurrencies. We start by presenting analytical solutions to the problem with linear temporary…
In recent days, the proliferation of several existing and new cyber-attacks pose an axiomatic threat to the stability of financial services. It is hard to predict the nature of attacks that can trigger a serious financial crisis. The…
Non-Fungible Token (NFT) markets are one of the fastest growing digital markets today, with the sales during the third quarter of 2021 exceeding $10 billions! Nevertheless, these emerging markets - similar to traditional emerging…
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…
The Non-Fungible-Token (NFT) market has experienced explosive growth in recent years. According to DappRadar, the total transaction volume on OpenSea, the largest NFT marketplace, reached 34.7 billion dollars in February 2023. However, the…
EOSIO, as one of the most representative blockchain 3.0 platforms, involves lots of new features, e.g., delegated proof of stake consensus algorithm and updatable smart contracts, enabling a much higher transaction per second and the…
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…