Related papers: Stylized facts in Web3
Tokenized U.S. Treasuries have emerged as a prominent subclass of real-world assets (RWAs), offering cryptographically secured, yield-bearing instruments issued across multi-chain Web3 infrastructures, with growing significance for…
We develop a model of coordination and allocation of decentralized multi-sided markets, in which our theoretical analysis is promisingly optimizing the decentralized transaction packaging process at high-throughput blockchains or Web 3.0…
Decentralized financial (DeFi) applications on the Ethereum blockchain are highly interoperable because they share a single state in a deterministic computational environment. Stakeholders can deposit claims on assets, referred to as…
Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyond simple monofractal models. In the context of digital…
Stablecoins have become a foundational component of the digital asset ecosystem, with their market capitalization exceeding 230 billion USD as of May 2025. As fiat-referenced and programmable assets, stablecoins provide low-latency,…
The past analyses of datasets of social networks have enabled us to make empirical findings of a number of aspects of human society, which are commonly featured as stylized facts of social networks, such as broad distributions of network…
This paper presents an in-depth analysis of stylized facts in the context of futures on German bonds. The study examines four futures contracts on German bonds: Schatz, Bobl, Bund and Buxl, using tick-by-tick limit order book datasets. It…
Decentralized finance (DeFi) has been the target of numerous profit-driven crimes, but the prevalence and cumulative impact of these crimes have not yet been assessed. This study provides a comprehensive assessment of profit-driven crimes…
It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical assumption of Gaussian log-returns behind the standard…
Distributed ledger technologies have opened up a wealth of fine-grained transaction data from cryptocurrencies like Bitcoin and Ethereum. This allows research into problems like anomaly detection, anti-money laundering, pattern mining and…
Decentralized Finance (DeFi) is a new paradigm in the creation, distribution, and utilization of financial services via the integration of blockchain technology. Our research conducts a comprehensive introduction and meticulous…
We present an agent based model of a single asset financial market that is capable of replicating several non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. While previous…
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…
Based on a recent theorem due to the authors, it is shown how the extreme tail dependence between an asset and a factor or index or between two assets can be easily calibrated. Portfolios constructed with stocks with minimal tail dependence…
The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of an underlying asset can be hedged using a third moment…
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US equity…
Cryptocurrencies and blockchain networks have attracted tremendous attention from their volatile price movements and the promise of decentralization. However, most projects run on business narratives with no way to test and verify their…
Decentralized exchanges (DEXes) have evolved dramatically since the introduction of Automated Market Makers (AMMs). In recent years, solver-based protocols have emerged as an alternative venue aiming to introduce competition for routing,…
This paper presents the first empirical analysis of how diverse token-based reward mechanisms impact platform dynamics and user behaviors. For this, we gather a unique, large-scale dataset from Farcaster. This blockchain-based,…
Decentralized physical infrastructure networks (DePINs) are an emerging vertical within "Web3" replacing the traditional method that physical infrastructures are constructed. Yet, the boundaries between DePIN and traditional method of…