Related papers: Information Structures in Stablecoin Markets
This paper examines a government's strategic resource allocation choices when facing an opposing group whose military power is uncertain. We investigate how this uncertainty affects the government's decision to divide resources in a way…
Can unstructured text data from social media help explain the drivers of large asset price fluctuations? This paper investigates how social forces affect asset prices, by using machine learning tools to extract beliefs and positions of…
Fiat-pegged stablecoins are by nature exposed to spillover effects during market turmoil in Traditional Finance (TradFi). We observe a difference in TradFi market shocks impact between various stablecoins, in particular, USD Coin (USDC) and…
Every interaction of a living organism with its environment involves the placement of a bet. Armed with partial knowledge about a stochastic world, the organism must decide its next step or near-term strategy, an act that implicitly or…
Models of auctions or tendering processes are introduced. In every round of bidding the players select their bid from a probability distribution and whenever a bid is unsuccessful, it is discarded and replaced. For simple models, the…
In contrast with robust systems that resist noise or fragile systems that break with noise, antifragility is defined as a property of complex systems that benefit from noise or disorder. Here we define and test a simple measure of…
Deception plays critical roles in economics and technology, especially in emerging interactions in cyberspace. Holistic models of deception are needed in order to analyze interactions and to design mechanisms that improve them. Game theory…
Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model's implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision…
Multiple scales in metapopulations can give rise to paradoxical behaviour: in a conceptual model for a public goods game, the species associated with a fitness cost due to the public good production can be stabilised in the well-mixed limit…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…
We consider the problem of decomposing monetary risk in the presence of a fully traded market in {\it some} risks. We show that a mark-to-market approach to pricing leads to such a decomposition if the risk measure is time-consistent in the…
This paper analyzes the emerging memecoin phenomenon on the Solana blockchain, focusing on the Pump$.$fun platform during Q4 2024. Using on-chain data, it is explored how retail-focused token creation platforms are reshaping blockchain…
Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…
This paper investigates the impact of dark pools on price discovery (the efficiency of prices on stock exchanges to aggregate information). Assets are traded in either an exchange or a dark pool, with the dark pool offering better prices…
Results from the communication complexity literature have demonstrated that stable matching requires communication: one cannot find or verify a stable match without having access to essentially all of the ordinal preference information held…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
We develop formal privacy mechanisms for releasing statistics from data with many outlying values, such as income data. These mechanisms ensure that a per-record differential privacy guarantee degrades slowly in the protected records'…
Dynamically distributed inflation is a common mechanism used to guide a blockchain's staking rate towards a desired equilibrium between network security and token liquidity. However, the high sensitivity of the annual percentage yield to…
Many protocols in distributed computing rely on a source of randomness, usually called a random beacon, both for their applicability and security. This is especially true for proof-of-stake blockchain protocols in which the next miner or…