Related papers: NFT Bubbles
Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative noise. The derived hyperbolic stochastic…
High-frequency trading (HFT) accounts for almost half of equity trading volume, yet it is not identified in public data. We develop novel data-driven measures of HFT activity that separate strategies that supply and demand liquidity. We…
Thanks to the high potential for profit, trading has become increasingly attractive to investors as the cryptocurrency and stock markets rapidly expand. However, because financial markets are intricate and dynamic, accurately predicting…
The past decade has witnessed the burgeoning and continuous development of blockchain and its applications. Besides various cryptocurrencies, an industry that has quickly embraced this trend is gaming. Thanks to the support of blockchain,…
We consider a constructive model for asset price bubbles, where the market price $W$ is endogenously determined by the trading activity on the market and the fundamental price $W^F$ is exogenously given, as in the work of Jarrow, Protter…
Cryptocurrency, the most controversial and simultaneously the most interesting asset, has attracted many investors and speculators in recent years. The visibly significant market capitalization of cryptos also motivates modern financial…
Financial systems have a growing reliance on computer-based and distributed systems, making FinTech systems vulnerable to advanced and quickly emerging cyber-criminal threats. Traditional security systems and fixed machine learning systems…
Blockchain has been considered as an important technique to enable secure management of virtual network functions and network slices. To understand such capabilities of a blockchain, e.g. transaction confirmation time, demands a thorough…
Statistical analysis of financial data most focused on testing the validity of Brownian motion (Bm). Analysis performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many…
In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since in reality historical volatility is not observable, its…
Non-fungible tokens(NFTs) are on the rise. They can represent artworks exhibited for marketing purposes on webpages of companies or online stores -- analogously to physical artworks. Lending of NFTs is an attractive form of passive income…
With the rise of cryptocurrency and NFTs in the past decade, blockchain technology has been an area of increasing interest to both industry and academic experts. In this paper, we discuss the feasibility of such systems through the lens of…
Among the earliest projects to combine the Metaverse and non-fungible tokens (NFTs) we find Decentraland, a blockchain-based virtual world that touts itself as the first to be owned by its users. In particular, the platform's virtual…
We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the core hold a bubbly asset. The banks in the periphery have not…
Wash trading in decentralized markets remains a significant concern magnified by the pseudonymous and public nature of blockchains. In this paper we introduce an innovative methodology designed to detect wash trading activities beyond…
The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
In the past decade, Bitcoin as an emerging asset class has gained widespread public attention because of their extraordinary returns in phases of extreme price growth and their unpredictable massive crashes. We apply the log-periodic power…
Conventional financial models fail to explain the economic and monetary properties of cryptocurrencies due to the latter's dual nature: their usage as financial assets on the one side and their tight connection to the underlying blockchain…
In shaping the Internet of Money, the application of blockchain and distributed ledger technologies (DLTs) to the financial sector triggered regulatory concerns. Notably, while the user anonymity enabled in this field may safeguard privacy…