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The optimal design of multi-target rendezvous and flyby missions is challenging due to the combination of traditional spacecraft trajectory optimization and high-dimensional combinatorial problems. This often requires large-scale global…
We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency…
We present an iterative inverse reinforcement learning algorithm to infer optimal cost functions in continuous spaces. Based on a popular maximum entropy criteria, our approach iteratively finds a weight improvement step and proposes a…
Many cryptocurrency brokers nowadays offer a variety of derivative assets that allow traders to perform hedging or speculation. This paper proposes an effective algorithm based on neural networks to take advantage of these investment…
We apply empirical Bayes (EB) to mine data on 136,000 long-short strategies constructed from accounting ratios, past returns, and ticker symbols. This ``high-throughput asset pricing'' matches the out-of-sample performance of top journals…
This research aims to demonstrate a dynamic cointegration-based pairs trading strategy, including an optimal look-back window framework in the cryptocurrency market, and evaluate its return and risk by applying three different scenarios. We…
Minimizing execution costs for large orders is a fundamental challenge in finance. Firms often depend on brokers to manage their trades due to limited internal resources for optimizing trading strategies. This paper presents a methodology…
A non-trivial probability structure is evident in the binary data extracted from the up/down price movements of very high frequency data such as tick-by-tick data for USD/JPY. In this paper, we analyze the Sony bank USD/JPY rates, ignoring…
Cryptocurrencies such as Bitcoin and Ethereum have recently gained a lot of popularity, not only as a digital form of currency but also as an investment vehicle. Online marketplaces and exchanges allow users across the world to convert…
In this brief, we conduct a complex-network analysis of the Bitcoin transaction network. In particular, we design a new sampling method, namely random walk with flying-back (RWFB), to conduct effective data sampling. We then conduct a…
Blockchain-based cryptocurrencies prioritize transactions based on their fees, creating a unique kind of fee market. Empirically, this market has failed to yield stable equilibria with predictable prices for desired levels of service. We…
This paper opts to mitigate the energy-inefficiency of the Blockchain Proof-of-Work (PoW) consensus algorithm by rationally repurposing the power spent during the mining process. The original PoW mining scheme is designed to consider one…
This paper investigates the temporal patterns of activity in the cryptocurrency market with a focus on Bitcoin, Ethereum, Dogecoin, and WINkLink from January 2020 to December 2022. Market activity measures - logarithmic returns, volume, and…
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied. The corresponding dynamics…
In recent years, as the demand for low energy and high performance computing has steadily increased, heterogeneous computing has emerged as an important and promising solution. Because most workloads can typically run most efficiently on…
The range-minimum query (RMQ) problem is a fundamental data structuring task with numerous applications. Despite the fact that succinct solutions with worst-case optimal $2n+o(n)$ bits of space and constant query time are known, it has been…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
Because of the revolution and the success of the technique IBE (Identification Based Encryption) in the recent years. The need is growing to have a standardization to this technology to streamline communication based on it. But this…
Smart contracts are full-fledged programs that run on blockchains (e.g., Ethereum, one of the most popular blockchains). In Ethereum, gas (in Ether, a cryptographic currency like Bitcoin) is the execution fee compensating the computing…
Advances in computational optimization allow for the organization of large combinatorial markets. We aim for allocations and competitive equilibrium prices, i.e. outcomes that are in the core. The research is motivated by the design of…