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This paper investigates the risk spillovers among AI ETFs, AI tokens, and green markets using the R2 decomposition method. We reveal several key insights. First, the overall transmission connectedness index (TCI) closely aligns with the…
We introduce a model for decentralized networks with collaborating peers. The model is based on the stable matching theory which is applied to systems with a global ranking utility function. We consider the dynamics of peers searching for…
Currently, the advantages of decentralization through blockchain technology in the financial sector are actively discussed. In this article, we investigate the decentralization in the governance of Decentralized Autonomous Organizations…
Opening up data produced by the Internet of Things (IoT) and mobile devices for public utilization can maximize their economic value. Challenges remain in the trustworthiness of the data sources and the security of the trading process,…
To maintain blockchain-based services with ensuring its security, it is an important issue how to decide a mining reward so that the number of miners participating in the mining increases. We propose a dynamical model of decision-making for…
We develop a mathematical framework to optimize leveraged staking ("loopy") strategies in Decentralized Finance (DeFi), in which a staked asset is supplied as collateral, the underlying is borrowed and re-staked, and the loop can be…
Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as lacking rhyme or reason. There has been great speculation…
Decentralized Finance (DeFi) services are moving traditional financial operations to the Internet of Value (IOV) by exploiting smart contracts, distributed ledgers, and clever heterogeneous transactions among different protocols. The…
This paper proposes a reinforcement learning--based framework for cryptocurrency portfolio management using the Soft Actor--Critic (SAC) and Deep Deterministic Policy Gradient (DDPG) algorithms. Traditional portfolio optimization methods…
Cryptocurrencies and blockchain networks have attracted tremendous attention from their volatile price movements and the promise of decentralization. However, most projects run on business narratives with no way to test and verify their…
Decentralized Finance (DeFi), propelled by Blockchain technology, has revolutionized traditional financial systems, improving transparency, reducing costs, and fostering financial inclusion. However, transaction activities in these systems…
We give an explicit definition of decentralization and show you that decentralization is almost impossible for the current stage and Bitcoin is the first truly noncentralized currency in the currency history. We propose a new framework of…
In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…
Since the invention of Bitcoin one decade ago, numerous cryptocurrencies have sprung into existence. Among these, proof-of-work is the most common mechanism for achieving consensus, whilst a number of coins have adopted "ASIC-resistance" as…
When users access shared resources in a selfish manner, the resulting societal cost and perceived users' cost is often higher than what would result from a centrally coordinated optimal allocation. While several contributions in mechanism…
The distributed ledger technology has been widely hailed as the break-through technology. It has realised a great number of application scenarios, and improved workflow of many domains. Nonetheless, there remain a few major concerns in…
Randomness beacons based on Verifiable Delay Functions (VDFs) are increasingly proposed for blockchains and distributed systems, promising publicly verifiable delay and bias resistance. Existing analyses, however, treat adversaries purely…
This paper proposes an important extension to Conditional Value-at-Risk (CoVaR), the popular systemic risk measure, and investigates its properties on the cryptocurrency market. The proposed Vulnerability-CoVaR (VCoVaR) is defined as the…
The cryptocurrency market surpassed the barrier of \$100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, however, a comprehensive analysis of the whole…
Proof of work cryptocurrencies began with the promise of a more egalitarian future with a decentralized monetary system with no powerful entities in charge. While this vision is far from realized, these cryptocurrencies are still touted to…