Related papers: Information Structures in Stablecoin Markets
The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…
Blockchain based systems allow various kinds of financial transactions to be executed in a decentralized manner. However, these systems often rely on a trusted third party (oracle) to get correct information about the real-world events,…
We study the problem of robust performance of quantum systems under structured uncertainties. A specific feature of closed (Hamiltonian) quantum systems is that their poles lie on the imaginary axis and that neither a coherent controller…
Fire sales are among the major drivers of market instability in modern financial systems. Due to iterated distressed selling and the associated price impact, initial shocks to some institutions can be amplified dramatically through the…
Traders in a market typically have widely different, private information on the return of an asset. The equilibrium price of the asset may reflect this information more accurately if the number of traders is large enough compared to the…
Soft colloids allow to explore high density states well beyond random close packing. An important open question is whether softness controls the dynamics under these dense conditions. While experimental works reported conflicting results,…
In this paper, we develop a theory of market crashes resulting from a deleveraging shock. We consider two representative investors in a market holding different opinions about the public available information. The deleveraging shock forces…
This study identifies and quantifies a significant informational friction embedded in the SEC Form 144 disclosure regime, characterized as predictive decoupling. Drawing on a theoretical foundation of welfare economics, the article argues…
This paper studies the role of hard information in contractual and market settings in which the receiver can flexibly adjust allocations and transfers in response to the sender's disclosure. These settings include monopoly pricing,…
Decentralized prediction markets (DePMs) allow open participation in event-based wagering without fully relying on centralized intermediaries. We review the history of DePMs which date back to 2011 and includes hundreds of proposals.…
In the dynamic landscape of the Web, we are witnessing the emergence of the Web3 paradigm, which dictates that platforms should rely on blockchain technology and cryptocurrencies to sustain themselves and their profitability.…
An important feature of a dynamic game is its monitoring structure namely, what the players effectively see from the played actions. We consider games with arbitrary monitoring structures. One of the purposes of this paper is to know to…
Throughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic…
This paper considers robust stability analysis of a large network of interconnected uncertain systems. To avoid analyzing the entire network as a single large, lumped system, we model the network interconnections with integral quadratic…
We show that a simple model of a spatially resolved evolving economic system, which has a steady state under simultaneous updating, shows stable oscillations in price when updated asynchronously. The oscillations arise from a gradual…
We deal with coalitional games possessing strictly positive values. Individually rational allocations of such a game has clear fractional interpretations. Many concepts, including the long-existing core and other stability notions more…
Simulations of a stochastic fixed-energy sandpile in one and two dimensions reveal slow relaxation of the order parameter, even far from the critical point. The decay of the activity is best described by a stretched-exponential form. The…
Algorithmic stablecoins (AS) are one special type of stablecoins that are not backed by any asset (equiv. without collateral). They stand to revolutionize the way a sovereign fiat operates. As implemented, these coins are poorly stabilized…
For the class of noisy time-delay linear consensus networks, we obtain explicit formulas for risk of large fluctuations of a scalar observable as a function of Laplacian spectrum and its eigenvectors. It is shown that there is an intrinsic…
Empirically, many strategic settings are characterized by stable outcomes in which players' decisions are publicly observed, yet no player takes the opportunity to deviate. To analyze such situations in the presence of incomplete…