Related papers: Information Structures in Stablecoin Markets
We study a single-buyer pricing problem with unreliable side information, motivated by the increasing use of AI-assisted decision-making and LLM-based predictions. The seller observes a private sample that may be either accurate (coinciding…
In the current environment of financial distress, many governments are likely to soon become major holders of financial assets, but the policy debate focuses only on the likelihood and extent of short-term market stabilization. This paper…
When people receive new information, sometimes they revise their beliefs too much, and sometimes too little. In this paper, we show that a key driver of whether people overinfer or underinfer is the strength of the information. Based on a…
In this paper we consider multi-agent coalitional games with uncertain value functions for which we establish distribution-free guarantees on the probability of allocation stability, i.e., agents do not have incentives to defect from the…
The world of cryptocurrency is not transparent enough though it was established for innate transparent tracking of capital flows. The most contributing factor is the violation of securities laws and scam in Initial Coin Offering (ICO) which…
Social learning is a fundamental mechanism shaping decision-making across numerous social networks, including social trading platforms. In those platforms, investors combine traditional investing with copying the behavior of others.…
Memecoins, emerging from internet culture and community-driven narratives, have rapidly evolved into a unique class of crypto assets. Unlike technology-driven cryptocurrencies, their market dynamics are primarily shaped by viral social…
Over the past few years, the futures market has been successfully developing in the North-West region. Futures markets are one of the most effective and liquid-visible trading mechanisms. A large number of buyers are forced to compete with…
Two-sided matching markets describe a large class of problems wherein participants from one side of the market must be matched to those from the other side according to their preferences. In many real-world applications (e.g. content…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
Proof of work cryptocurrencies began with the promise of a more egalitarian future with a decentralized monetary system with no powerful entities in charge. While this vision is far from realized, these cryptocurrencies are still touted to…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
We propose a picture of stock market crashes as critical points in a hierachical system with discrete scaling. The critical exponent is then complex, leading to log-periodic fluctuations in stock market indexes. We present ``experimental''…
Opacity is a generic security property, that has been defined on (non probabilistic) transition systems and later on Markov chains with labels. For a secret predicate, given as a subset of runs, and a function describing the view of an…
Self-stabilization is a strong property that guarantees that a network always resume correct behavior starting from an arbitrary initial state. Weaker guarantees have later been introduced to cope with impossibility results: probabilistic…
There has been a long-standing and at times fractious debate whether complex and large systems can be stable. In ecology, the so-called `diversity-stability debate' arose because mathematical analyses of ecosystem stability were either…
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…
We consider a revenue optimizing seller selling a single item to a buyer, on whose private value the seller has a noisy signal. We show that, when the signal is kept private, arbitrarily more revenue could potentially be extracted than if…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…