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Humans have rich understanding of liquid containers and their contents; for example, we can effortlessly pour water from a pitcher to a cup. Doing so requires estimating the volume of the cup, approximating the amount of water in the…
This paper tests whether intraday momentum signals derived from open-high-low-close-volume (OHLCV) data produce a statistically significant trading edge in Micro E-mini Nasdaq 100 futures (MNQ) under realistic execution constraints. Using…
The trustless nature of permissionless blockchains renders overcollateralization a key safety component relied upon by decentralized finance (DeFi) protocols. Nonetheless, factors such as price volatility may undermine this mechanism. In…
Cryptocurrency trading increasingly depends on timely integration of heterogeneous web information and market microstructure signals to support short-horizon decision making under extreme volatility. However, existing trading systems…
Uniswap is a Constant Product Market Maker built around liquidity pools, where pairs of tokens are exchanged subject to a fee that is proportional to the size of transactions. At the time of writing, there exist more than 6,000 pools…
Few assets in financial history have been as notoriously volatile as cryptocurrencies. While the long term outlook for this asset class remains unclear, we are successful in making short term price predictions for several major crypto…
Cryptoassets such as cryptocurrencies and tokens are increasingly traded on decentralized exchanges. The advantage for users is that the funds are not in custody of a centralized external entity. However, these exchanges are prone to…
Hyperledger Fabric (HLF) is a modular, permissioned blockchain widely adopted in enterprise settings. Enhancing its throughput and latency remains challenging, as optimization decisions made in one phase of the transaction lifecycle can…
This paper will propose a novel machine learning based portfolio management method in the context of the cryptocurrency market. Previous researchers mainly focus on the prediction of the movement for specific cryptocurrency such as the…
Concurrency control algorithms are key determinants of the performance of in-memory databases. Existing algorithms are designed to work well for certain workloads. For example, optimistic concurrency control (OCC) is better than…
We present a hybrid systems framework for distributed multi-agent optimization in which agents execute computations in continuous time and communicate in discrete time. The optimization algorithm is analogous to a continuous-time form of…
This paper explores neural network-based approaches for algorithmic trading in cryptocurrency markets. Our approach combines multi-timeframe trend analysis with high-frequency direction prediction networks, achieving positive risk-adjusted…
Algorithmic trading is well studied in traditional financial markets. However, it has received less attention in centralized cryptocurrency exchanges. The Commodity Futures Trading Commission (CFTC) attributed the $2010$ flash crash, one of…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
Blockchain technology has revolutionized financial markets by enabling decentralized exchanges (DEXs) that operate without intermediaries. Uniswap V2, a leading DEX, facilitates the rapid creation and trading of new tokens, which offer high…
We develop a new framework to detect wash trading in crypto assets through real-time liquidity fluctuation. We propose that short-term price jumps in crypto assets results from wash trading-induced liquidity fluctuation, and construct two…
Autonomous crypto trading systems often spend most of their design effort on finding entries, while exits are left to fixed rules that are rarely tested in a systematic way. This paper examines whether better stop-loss and take-profit…
We investigate the behavior of liquidity providers (LPs) by modeling a decentralized cryptocurrency exchange (DEX) based on Uniswap v3. LPs with heterogeneous characteristics choose optimal liquidity positions subject to uncertainty…
The growing attention on cryptocurrencies has led to increasing research on digital stock markets. Approaches and tools usually applied to characterize standard stocks have been applied to the digital ones. Among these tools is the…
Cryptocurrencies fluctuate in markets with high price volatility, posing significant challenges for investors. To aid in informed decision-making, systems predicting cryptocurrency market movements have been developed, typically focusing on…