Related papers: Exploring the Impact: How Decentralized Exchange D…
Investors commonly exhibit the disposition effect - the irrational tendency to sell their winning investments and hold onto their losing ones. While this phenomenon has been observed in many traditional markets, it remains unclear whether…
Decentralized exchanges (DEXs) form a cornerstone of the decentralized finance (DeFi) ecosystem, processing token trades worth billions of dollars daily. Yet, a significant fraction of these trades are suboptimal: alternative routing paths…
Decentralized perpetuals protocols have collectively reached billions of dollars of daily trading volume, yet are still not serious competitors on the basis of trading volume with centralized venues such as Binance. One of the main reasons…
We find an approximate Nash equilibrium in a game between decentralized exchanges (DEXs) that compete for order flow by setting dynamic trading fees. We characterize the equilibrium via a coupled system of partial differential equations and…
Over the past decade, the blockchain technology and its Bitcoin cryptocurrency have received considerable attention. Bitcoin has experienced significant price swings in daily and long-term valuations. In this paper, we propose a partial…
Inspired by Bitcoin, many different kinds of cryptocurrencies based on blockchain technology have turned up on the market. Due to the special structure of the blockchain, it has been deemed impossible to directly trade between traditional…
This study provides a practical introduction to high-frequency trading in blockchain-based currency markets. These types of markets have some specific characteristics that differentiate them from the stock markets, such as a large number of…
Stablecoins, digital assets pegged to a specific currency or commodity value, are heavily involved in transactions of major cryptocurrencies. The effects of deviations from their desired fixed values (depeggings) on the cryptocurrencies for…
We develop a dynamic model of the Bitcoin market where users set fees themselves and miners decide whether to operate and whom to validate based on those fees. Our analysis reveals how, in equilibrium, users adjust their bids in response to…
This paper presents a pioneering approach for simulation of economic activity, policy implementation, and pricing of goods in token economies. The paper proposes a formal analysis framework for wealth distribution analysis and simulation of…
We present the first in-depth empirical characterization of the costs of trading on a decentralized exchange (DEX). Using quoted prices from the Uniswap Labs interface for two pools -- USDC-ETH (5bps) and PEPE-ETH (30bps) -- we evaluate the…
In peer-to-peer (P2P) energy trading, a secured infrastructure is required to manage trade and record monetary transactions. A central server/authority can be used for this. But there is a risk of central authority influencing the energy…
The paper presents two new approaches to modeling the interaction of small and medium pricetaking traders with a stock exchange. In the framework of these approaches, the traders can form and manage their portfolios of financial instruments…
Bitcoin and its decentralized computing paradigm for digital currency trading are one of the most disruptive technology in the 21st century. This paper presents a novel approach to developing a Bitcoin transaction forecast model,…
Financial options are fundamental to traditional markets, enabling strategies ranging from hedging to speculating. Yet, while the Automated Market Maker paradigm has revolutionized decentralized spot markets, no equivalent standard has…
We study the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market. Since the survival probability in the continuous-time random walk theory is applied to the bond futures transaction, the form of the decay…
This paper studies the effects of unexpected changes in US monetary policy on digital asset returns. We use event study regressions and find that monetary policy surprises negatively affect BTC and ETH, the two largest digital assets, but…
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strategy with dual objectives - to minimise both the variance of…
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market…
Currently cryptocurrencies and Decentralized Finance (DeFi), which enable financial services on public blockchains, represents a new growing trend in finance. In contrast to financial markets, ruled by traditional corporations, DeFi is…