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In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
The paper focuses on the numerical stability and accuracy of implicit time-domain integration (TDI) methods when applied for the solution of a power system model impacted by time delays. Such a model is generally formulated as a set of…
This paper is concerned with the matching stability problem across different decoder layers in DEtection TRansformers (DETR). We point out that the unstable matching in DETR is caused by a multi-optimization path problem, which is…
We provide new results showing identification of a large class of fixed-T panel models, where the response variable is an unknown, weakly monotone, time-varying transformation of a latent linear index of fixed effects, regressors, and an…
Stablecoins have gained significant popularity recently, with their market cap rising to over $180 billion. However, recent events have raised concerns about their stability. In this paper, we classify stablecoins into four types based on…
This work aims to analyse the predictability of price movements of cryptocurrencies on both hourly and daily data observed from January 2017 to January 2021, using deep learning algorithms. For our experiments, we used three sets of…
This paper introduces a unified parametric modeling approach for time-varying market betas that can accommodate continuous-time diffusion and discrete-time series models based on a continuous-time series regression model to better capture…
Stablecoins have become significant assets in modern finance, with a market capitalization exceeding USD 246 billion (May 2025). Yet, despite their systemic importance, a comprehensive and risk-oriented understanding of crucial aspects like…
Traditional blockchain systems, such as Ethereum, typically rely on a \emph{single volatile cryptocurrency for transaction fees}. This leads to fluctuating transaction fee prices and limits the flexibility of users' payment options. To…
We present a method and tool for evaluating the placement of Distributed Energy Resources (DER) on distribution circuits in order to control voltages and power flows. Our previous work described Phasor-Based Control (PBC), a novel control…
The recent emergence of cryptocurrencies such as Bitcoin and Ethereum has posed possible alternatives to global payments as well as financial assets around the globe, making investors and financial regulators aware of the importance of…
In the dynamic landscape of the Web, we are witnessing the emergence of the Web3 paradigm, which dictates that platforms should rely on blockchain technology and cryptocurrencies to sustain themselves and their profitability.…
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
We propose a Bayesian vector autoregressive (VAR) model for mixed-frequency data. Our model is based on the mean-adjusted parametrization of the VAR and allows for an explicit prior on the 'steady states' (unconditional means) of the…
A buffered double autoregressive (BDAR) time series model is proposed in this paper to depict the buffering phenomenon of conditional mean and conditional variance in time series. To build this model, a novel flexible regime switching…
The recent surge in valuations among AI related firms has renewed concerns that markets may be entering a new phase of speculative exuberance, especially in the technology and semiconductor sectors at the center of the AI investment wave.…
This paper empirically assesses predictions of Goodwin's model of cyclical growth regarding demand and distributive regimes when integrating the real and financial sectors. In addition, it evaluates how financial and employment shocks…
The theory of complex networks and of disordered systems is used to study the stability and dynamical properties of a simple model of material flow networks defined on random graphs. In particular we address instabilities that are…
This contribution is a follow-up of a recent paper by the authors on adaptive, non-linear time-frequency transforms, focusing on the STFT based transforms. The adaptivity is provided by a focus function, that depends on the analyzed…
Dollar-Cost Averaging (DCA) is a widely used technique to mitigate volatility in long-term investments of appreciating assets. However, the inefficiency of DCA arises from fixing the investment amount regardless of market conditions. In…