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Public blockchains such as Ethereum and Bitcoin do not give enterprises the privacy they need for many of their business processes. Consequently consortiums are exploring private blockchains to keep their membership and transactions…
When online sellers use AI learning algorithms to automatically compete on e-commerce platforms, there is concern that they will learn to coordinate on higher than competitive prices. However, this concern was primarily raised in…
We consider a personalized pricing problem in which we have data consisting of feature information, historical pricing decisions, and binary realized demand. The goal is to perform off-policy evaluation for a new personalized pricing policy…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
A main focus in economics research is understanding the time series of prices of goods and assets. While statistical models using only the properties of the time series itself have been successful in many aspects, we expect to gain a better…
Price feeds of securities is a critical component for many financial services, allowing for collateral liquidation, margin trading, derivative pricing and more. With the advent of blockchain technology, value in reporting accurate prices…
As a trusted middleware connecting the blockchain and the real world, the blockchain oracle can obtain trusted real-time price information for financial applications such as payment and settlement, and asset valuation on the blockchain.…
The rise of algorithmic pricing in online retail platforms has attracted significant interest in how autonomous software agents interact under competition. This article explores the potential emergence of algorithmic collusion -…
This study empirically examines interdependencies between BitCoin and altcoin markets in the short- and long-run. We apply time-series analytical mechanisms to daily data of 17 virtual currencies (BitCoin + 16 alternative virtual…
Modern distributed data management systems face a new challenge: how can autonomous, mutually-distrusting parties cooperate safely and effectively? Addressing this challenge brings up questions familiar from classical distributed systems:…
Blockchains such as Bitcoin and Ethereum execute payment transactions securely, but their performance is limited by the need for global consensus. Payment networks overcome this limitation through off-chain transactions. Instead of writing…
Blockchain benefits are due to immutability, replication, and storage-and-execution of smart contracts on the blockchain. However, the benefits come at increased costs due to the blockchain size and execution. We address three fundamental…
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…
Machine learning and AI-assisted trading have attracted growing interest for the past few years. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal…
The smart grid vision entails advanced information technology and data analytics to enhance the efficiency, sustainability, and economics of the power grid infrastructure. Aligned to this end, modern statistical learning tools are leveraged…
Off-policy evaluation (OPE) holds the promise of being able to leverage large, offline datasets for both evaluating and selecting complex policies for decision making. The ability to learn offline is particularly important in many…
We propose an innovative data-driven option pricing methodology that relies exclusively on the dataset of historical underlying asset prices. While the dataset is rooted in the objective world, option prices are commonly expressed as…
A data marketplace is an online venue that brings data owners, data brokers, and data consumers together and facilitates commoditisation of data amongst them. Data pricing, as a key function of a data marketplace, demands quantifying the…
Smart contracts are dependent on oracle systems for their adoption and usability. We perform an empirical study of oracle systems' usage trends and adoption metrics to provide better insight into the health of the smart contract ecosystem.…
Mechanisms for decentralized finance on blockchains suffer from various problems, including suboptimal price execution for users, latency, and a worse user experience compared to their centralized counterparts. Recently, off-chain…