Related papers: The four types of stablecoins: A comparative analy…
In decentralized finance (DeFi), stablecoins like DAI are designed to offer a stable value amidst the fluctuating nature of cryptocurrencies. We examine the class of crypto-backed stable derivatives, with a focus on mechanisms for price…
Stablecoins have emerged as a significant component of global financial infrastructure, with aggregate market capitalization surpassing USD250 billion in 2025. Their increasing integration into payment and settlement systems has…
Cryptocurrencies are considered relevant assets and they are currently used as an investment or to carry out transactions. However, specific characteristics commonly associated with the cryptocurrencies such as irreversibility,…
Blockchain smart contracts have emerged as a transformative force in the digital realm, spawning a diverse range of compelling applications. Since solidity smart contracts across various domains manage trillions of dollars in virtual coins,…
In this paper we extend the known methodology for fitting stable distributions to the multivariate case and apply the suggested method to the modelling of daily cryptocurrency-return data. The investigated time period is cut into 10…
Decentralized Finance (DeFi), in which digital assets are exchanged without trusted intermediaries, has grown rapidly in value in recent years. The global DeFi ecosystem is fragmented into multiple blockchains, fueling the demand for…
The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial…
Cryptocurrency is a novel exploration of a form of currency that proposes a decentralized electronic payment scheme based on blockchain technology and cryptographic theory. While cryptocurrency has the security characteristics of being…
The stability analysis of socioeconomic systems has been centered on answering whether small perturbations when a system is in a given quantitative state will push the system permanently to a different quantitative state. However, typically…
In recent years, the tendency of the number of financial institutions including cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital assets to be included by asset managers. Although they have…
We will look for stable structures in four situations and discuss what is known and unknown.
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets--risk-adjusted…
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
Crypto-coins (also known as cryptocurrencies) are tradable digital assets. Notable examples include Bitcoin, Ether and Litecoin. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption…
We study two classes of over-the-counter markets specified by systems of ODE's, in the spirit of Duffie-Garleanu-Pedersen, Econometrica, 2005. We first compute the steady states for many of these ODE's. Then we obtain the prices at which…
This paper is concerned with the stability of shares in a cryptocurrency where the new coins are issued according to the Proof of Stake protocol. We identify large, medium and small investors under various rewarding schemes, and show that…
Blockchain and its application on cryptocurrency transactions have gathered a lot of attention and popularity since the birth of the pioneer Bitcoin in 2009. More than 1500 cryptocurrencies are currently circulated in the market. The…
We review different classes of cryptocurrencies with emphasis on their economic properties. Pure-asset coins such as Bitcoin, Ethereum and Ripple are characterized by not being a liability of any economic agent and most resemble commodities…
In this paper, to cope with the shortage of sufficient theoretical support resulted from the fast-growing quantitative financial modeling, we investigate two classes of generalized stochastic volatility models, establish their…