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Long-duration energy storage (LDES) is a key component for fully renewable, sector-coupled energy systems based on wind and solar. While capacity expansion planning has begun to take into account interannual weather variability, it often…
Validators in permissionless, large-scale blockchains, such as Ethereum, are typically payoff-maximizing, rational actors. Ethereum relies on in-protocol incentives, like rewards for correct and timely votes, to induce honest behavior and…
The scalability problem has been one of the most significant barriers limiting the adoption of blockchains. Blockchain sharding is a promising approach to this problem. However, the sharding mechanism introduces a significant number of…
In September 2022, Ethereum transitioned from Proof-of-Work (PoW) to Proof-of-Stake (PoS) during "the merge" - making it the largest PoS cryptocurrency in terms of market capitalization. With this work, we present a comprehensive…
Leveraged ETFs (L-ETFs) are exchange-traded funds that achieve price movements several times greater than an index by holding index-linked futures such as Nikkei Stock Average Index futures. It is known that when the price of an L-ETF…
Proof of Stake (PoS) is a burgeoning Sybil resistance mechanism that aims to have a digital asset ("token") serve as security collateral in crypto networks. However, PoS has so far eluded a comprehensive threat model that encompasses both…
We consider assets for which price $X_t$ and squared volatility $Y_t$ are jointly driven by Heston joint stochastic differential equations (SDEs). When the parameters of these SDEs are estimated from $N$ sub-sampled data $(X_{nT}, Y_{nT})$,…
This paper proposes a novel approach to hedging portfolios of risky assets when financial markets are affected by financial turmoils. We introduce a completely novel approach to diversification activity not on the level of single assets but…
We study the valuation and hedging problem of European options in a market subject to liquidity shocks. Working within a Markovian regime-switching setting, we model illiquidity as the inability to trade. To isolate the impact of such…
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a great variety of commodities, ranging from precious metals to…
Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a robust framework for dynamic minimum-variance hedging that…
We present a reinforcement-learning (RL) framework for dynamic hedging of equity index option exposures under realistic transaction costs and position limits. We hedge a normalized option-implied equity exposure (one unit of underlying…
Maximal Extractable Value (MEV) represents a pivotal challenge within the Ethereum ecosystem; it impacts the fairness, security, and efficiency of both Layer 1 (L1) and Layer 2 (L2) networks. MEV arises when miners or validators manipulate…
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…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
Concentrated liquidity (CL) provisioning is a way how to improve the capital efficiency of Automated Market Makers (AMM). Allowing liquidity providers to use leverage is a step towards even higher capital efficiency. A number of…
A methodology for substantially increasing the magnitude of the electrokinetic streaming potential (Vs) from ~ 0.02 V to as large as ~ 1.6 V is proposed. This is done through deploying textured, liquid-filled surfaces (LFS), filled with low…
Limited scalability and transaction costs are, among others, some of the critical issues that hamper a wider adoption of distributed ledger technologies (DLT). That is particularly true for the Ethereum blockchain, which, so far, has been…
Existing modeling approaches for long-duration energy storage (LDES) are often based either on an oversimplified representation of power system operations or limited representation of storage technologies, e.g., evaluation of only a single…
Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long and short futures positions. The empirical analysis of perpetual bitcoin futures on BitMEX…