Related papers: Exploring the Impact: How Decentralized Exchange D…
We present a measurement study on compositions of Decentralized Finance protocols, which aim to disrupt traditional finance and offer services on top of distributed ledgers, such as Ethereum. DeFi compositions may impact the development of…
Mechanisms for decentralized finance on blockchains suffer from various problems, including suboptimal price execution for users, latency, and a worse user experience compared to their centralized counterparts. Recently, off-chain…
We adopt Deep Reinforcement Learning algorithms to design trading strategies for continuous futures contracts. Both discrete and continuous action spaces are considered and volatility scaling is incorporated to create reward functions which…
This study employs an event study methodology to investigate the market impact of the U.S. Securities and Exchange Commission's (SEC) classification of crypto assets as securities. It explores how SEC interventions influence asset returns…
The Uniswap is a Decentralized Exchange (DEX) protocol that facilitates automatic token exchange without the need for traditional order books. Every pair of tokens forms a liquidity pool on Uniswap, and each token can be paired with any…
We mine the leaked history of trades on Mt. Gox, the dominant Bitcoin exchange from 2011 to early 2014, to detect the triangular arbitrage activity conducted within the platform. The availability of user identifiers per trade allows us to…
This paper investigates the temporal patterns of activity in the cryptocurrency market with a focus on Bitcoin, Ethereum, Dogecoin, and WINkLink from January 2020 to December 2022. Market activity measures - logarithmic returns, volume, and…
The standard approach for compensating liquidity providers on many decentralized exchanges (DEX) for serving as counter-party to swaps is through charging a small percentage of fees. The expected payoff from the cash flow of this mode of…
Trading through decentralized exchanges (DEXs) has become crucial in today's blockchain ecosystem, enabling users to swap tokens efficiently and automatically. However, the capacity of miners to strategically order transactions has led to…
Model-based Systems Engineering (MBSE) has been widely utilized to formalize system artifacts and facilitate their development throughout the entire lifecycle. During complex system development, MBSE models need to be frequently exchanged…
The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…
Analyzing investors' trading behavior in cryptoasset markets provides new evidence supporting the theory that retail investors likely exhibit behavioral biases. We investigate the price discovery process between Thailand's most highly…
Decentralized Finance (DeFi) is increasingly studied and adopted for its potential to provide accessible and transparent financial services. Analyzing how investors use DeFi is important for reaching a better understanding of their usage…
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
The efficiency of decentralized exchanges (DEXs) and the influence of token routing algorithms on market performance and stakeholder outcomes remain underexplored. This paper introduces the concept of Standardized Total Arbitrage Profit…
We propose a mathematically rigorous framework for identifying and completing Coincidence of Wants (CoW) cycles in decentralized exchange (DEX) aggregators. Unlike existing auction based systems such as CoWSwap, our approach introduces an…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
We formulate and solve stochastic control problems that model the core yield-generating strategy of the Ethena protocol, a decentralized finance (DeFi) stablecoin that earns yield by combining a long position in staked Ethereum (stETH) with…
We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto pair).…
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a representative risk--neutral trader. Depending on the model, the…