Related papers: Information Structures in Stablecoin Markets
We study the design of mechanisms -- e.g., auctions -- when the designer does not control information flows between mechanism participants. A mechanism equilibrium is leakage-proof if no player conditions their actions on leaked…
The stability of a complex system generally decreases with increasing system size and interconnectivity, a counterintuitive result of widespread importance across the physical, life, and social sciences. Despite recent interest in the…
We study the mean field approximation of a recent model of cascades on networks relevant to the investigation of systemic risk control in financial networks. In the model, the hypothesis of a trend reinforcement in the stochastic process…
We examine the issue of stability of probability in reasoning about complex systems with uncertainty in structure. Normally, propositions are viewed as probability functions on an abstract random graph where it is implicitly assumed that…
We create a formal framework for the design of informative securities in prediction markets. These securities allow a market organizer to infer the likelihood of events of interest as well as if he knew all of the traders' private signals.…
The seller of an asset has the option to buy hard information about the value of the asset from an intermediary. The seller can then disclose the acquired information before selling the asset in a competitive market. We study how the…
This paper contextualises the common queries of "why is crypto crashing?" and "why is crypto down?", the research transcends beyond the frequent market fluctuations to unravel how cryptocurrencies fundamentally work and the step-by-step…
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…
Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that…
Supply chains are the backbone of the global economy. Disruptions to them can be costly. Centrally managed supply chains invest in ensuring their resilience. Decentralized supply chains, however, must rely upon the self-interest of their…
We study decentralized cryptocurrency protocols in which the participants do not deplete physical scarce resources. Such protocols commonly rely on Proof of Stake, i.e., on mechanisms that extend voting power to the stakeholders of the…
The paper examines decentralized cryptocurrency protocols that are based on the use of internal tokens as identity tools. An analysis of security problems with popular Proof-of-stake consensus protocols is provided. A new protocol,…
A model of open economics composed of producers and speculators is investigated by numerical simulations. The capital flows from the environment to the producers and from them to the speculators. The price fluctuations are suppressed by the…
In settings with incomplete information, players can find it difficult to coordinate to find states with good social welfare. For example, in financial settings, if a collection of financial firms have limited information about each other's…
Although classical economic theory is based on the concept of stable equilibrium, real economic systems appear to be always out of equilibrium. Indeed, they share many of the dynamical features of other complex systems, e.g., ecological…
Stable coins are not very stable. Cash collateralized coins are more stable, but the overall failure rate is similar to tokens that are not designed to be stable. USD Coin, Tether and Dai have the largest Ethereum market shares, and they…
National football teams increasingly issue tradeable blockchain-based fan tokens to strategically enhance fan engagement. This study investigates the impact of 2022 World Cup matches on the dynamic performance of each team's fan token. The…
Stablecoins promise par convertibility, yet issuers must balance immediate liquidity against yield on reserves to keep the peg credible. We study this treasury problem as a continuous-time control task with two instruments: reallocating…
Institutional allocators often evaluate structured strategies on the basis of marketed backtests -- hypothetical track records constructed by applying a strategy's rules to historical data prior to any live trading, also referred to as…
Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…