Related papers: Microstructure and Manipulation: Quantifying Pump-…
In this review/tutorial article, we present recent progress on optimal control of partially observed Markov Decision Processes (POMDPs). We first present regularity and continuity conditions for POMDPs and their belief-MDP reductions, where…
We describe a Matlab routine that allows us to estimate the jumps in financial asset prices using the Threshold (or Truncation) method of Mancini (2009). The routine is designed for application to five-minute log-returns. The underlying…
Financial markets populated by human traders often exhibit "market impact", where the traders' quote-prices move in the direction of anticipated change, before any transaction has taken place, as an immediate reaction to the arrival of a…
We study the dynamics of token launched on Pump.fun, a Solana-based launchpad platform, to identify the determinants of the token success. Pump.fun employs a bonding curve mechanism to bootstrap initial liquidity possibly leading to…
The smart contract-based markets for non-fungible tokens (NFTs) on the Ethereum blockchain have seen tremendous growth in 2021, with trading volumes peaking at 3.5b in September 2021. This dramatic surge has led to industry observers…
We explore brokerage between traders in an online learning framework. At any round $t$, two traders meet to exchange an asset, provided the exchange is mutually beneficial. The broker proposes a trading price, and each trader tries to sell…
A coinjoin protocol aims to increase transactional privacy for Bitcoin and Bitcoin-like blockchains via collaborative transactions, by violating assumptions behind common analysis heuristics. Estimating the resulting privacy gain is a…
Many active funds hold concentrated portfolios. Flow-driven trading in these securities causes price pressure, which pushes up the funds' existing positions resulting in realized returns. We decompose fund returns into a price pressure…
The estimation of fill probabilities for trade orders represents a key ingredient in the optimization of algorithmic trading strategies. It is bound by the complex dynamics of financial markets with inherent uncertainties, and the…
How to quickly and automatically mine effective information and serve investment decisions has attracted more and more attention from academia and industry. And new challenges have arisen with the global pandemic. This paper proposes a…
It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both price and trading volume to economic fundamentals, and explored…
We study how the 2024 U.S. presidential election, viewed as a major political risk event, affected cryptocurrency markets by distinguishing human-driven peer-to-peer stablecoin transactions from automated algorithmic activity. Using…
We propose a mechanism embedded into the foundational infrastructure of a blockchain network, designed to improve the utility of idle network resources, whilst enhancing market microstructure efficiency during block production by leveraging…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
The cryptocurrency market is highly volatile compared to traditional financial markets. Hence, forecasting its volatility is crucial for risk management. In this paper, we investigate CryptoQuant data (e.g. on-chain analytics, exchange and…
Abnormal cryptocurrency transactions - such as mixing services, fraudulent transfers, and pump-and-dump operations -- pose escalating risks to financial integrity but remain notoriously difficult to detect due to class imbalance, temporal…
Market Microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In financial markets, where there is an abundance of recorded…
We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are…
To understand the convergence behavior of the Push-Pull method for decentralized optimization with stochastic gradients (Stochastic Push-Pull), this paper presents a comprehensive analysis. Specifically, we first clarify the algorithm's…
The efficient market hypothesis has far-reaching implications for financial trading and market stability. Whether or not cryptocurrencies are informationally efficient has therefore been the subject of intense recent investigation. Here, we…