Related papers: Exploring the Impact: How Decentralized Exchange D…
The decentralized exchange (DEX) leverages smart contracts to trade digital assets for users on the blockchain. Developers usually develop several smart contracts into one project, implementing complex logic functions and multiple…
As of August 2022, blockchain-based assets boast a combined market capitalisation exceeding one trillion USD, among which the most prominent are the decentralised autonomous organisation (DAO) tokens associated with decentralised finance…
The number of users approaching the world of cryptocurrencies exploded in the last years, and consequently the daily interactions on their underlying distributed ledgers have intensified. In this paper, we analyze the flow of these digital…
The development of blockchain technologies has enabled the trustless execution of so-called smart contracts, i.e. programs that regulate the exchange of assets (e.g., cryptocurrency) between users. In a decentralized blockchain, the state…
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure. Inspired by recent developments in…
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…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
In financial markets, abnormal trading behaviors pose a serious challenge to market surveillance and risk management. What is worse, there is an increasing emergence of abnormal trading events that some experienced traders constitute a…
Trading in Over-The-Counter (OTC) markets is facilitated by broker-dealers, in comparison to public exchanges, e.g., the New York Stock Exchange (NYSE). Dealers play an important role in stabilizing prices and providing liquidity in OTC…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
The prosperity of the cryptocurrency ecosystem drives the need for digital asset trading platforms. Beyond centralized exchanges (CEXs), decentralized exchanges (DEXs) are introduced to allow users to trade cryptocurrency without…
We define a class of pure exchange Edgeworth trading processes that under minimal assumptions converge to a stable set in the space of allocations, and characterise the Pareto set of these processes. Choosing a specific process belonging to…
Decentralized exchanges, such as those employing constant product market makers (CPMMs) like Uniswap V2, play a crucial role in the blockchain ecosystem by enabling peer-to-peer token swaps without intermediaries. Despite the increasing…
This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of…
The functioning of the cryptocurrency Bitcoin relies on the open availability of the entire history of its transactions. This makes it a particularly interesting socio-economic system to analyse from the point of view of network science.…
The need for data trading promotes the emergence of data market. However, in conventional data markets, both data buyers and data sellers have to use a centralized trading platform which might be dishonest. A dishonest centralized trading…
A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX risk. Specifically, a misinformed decision to convert Bitcoin to fiat currency could, by itself, cost USD millions. In…
This paper presents a Double Deep Q-Network algorithm for trading single assets, namely the E-mini S&P 500 continuous futures contract. We use a proven setup as the foundation for our environment with multiple extensions. The features of…
The VSTOXX index tracks the expected 30-day volatility of the EURO STOXX 50 equity index. Futures on the VSTOXX index can, therefore, be used to hedge against economic uncertainty. We investigate the effect of trader inventory on the price…
In this paper, we analyze various Decentralized Finance (DeFi) protocols in terms of their token distributions. We propose an iterative mapping process that allows us to split aggregate token holdings from custodial and escrow contracts and…