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We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
Over the last few years there has been a growing interest in using financial trading networks to understand the microstructure of financial markets. Most of the methodologies developed so far for this purpose have been based on the study of…
Cryptocurrency markets present unique prediction challenges due to their extreme volatility, 24/7 operation, and hypersensitivity to news events, with existing approaches suffering from key information extraction and poor sideways market…
Decentralized finance (DeFi) has revolutionized the financial landscape, with protocols like Uniswap offering innovative automated market-making mechanisms. This article explores the development of a backtesting framework specifically…
Proof-of-work computation used in cryptocurrencies has witnessed significant growth in the U.S. and many other regions around the world. One of the most significant bottlenecks for the scalable deployment of such computation is its energy…
The cryptocurrency market is a very huge market without effective supervision. It is of great importance for investors and regulators to recognize whether there are market manipulation and its manipulation patterns. This paper proposes an…
Financial analyses of stock markets rely heavily on quantitative approaches in an attempt to predict subsequent or market movements based on historical prices and other measurable metrics. These quantitative analyses might have missed out…
This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of…
This paper analyzes realized return behavior across a broad set of crypto assets by estimating heterogeneous exposures to idiosyncratic and systematic risk. A key challenge arises from the latent nature of broader economy-wide risk sources:…
Crypto enthusiasts claim that buying and holding crypto assets yields high returns, often citing Bitcoin's past performance to promote other tokens and fuel fear of missing out. However, understanding the real risk-return trade-off and what…
Illicit crypto-mining leverages resources stolen from victims to mine cryptocurrencies on behalf of criminals. While recent works have analyzed one side of this threat, i.e.: web-browser cryptojacking, only commercial reports have partially…
In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic change of volume is described by a weighted-indexed semi-Markov…
This paper studies the long-term energy management of a microgrid coordinating hybrid hydrogen-battery energy storage. We develop an approximate semi-empirical hydrogen storage model to accurately capture the power-dependent efficiency of…
Pumped storage hydro units (PSHU) are great sources of flexibility in power systems. This is especially valuable in modern systems with increasing shares of intermittent renewable resources. However, the flexibility from PSHUs, particularly…
We study the probabilistic distribution of the confirmation time of Bitcoin transactions, conditional on the current memory pool (i.e., the queue of transactions awaiting confirmation). The results of this paper are particularly interesting…
We propose a mathematically rigorous framework for identifying and completing Coincidence of Wants (CoW) cycles in decentralized exchange (DEX) aggregators. Unlike existing auction based systems such as CoWSwap, our approach introduces an…
We consider a Kyle-type model where insider trading takes place among a potentially large population of liquidity traders and is subject to legal penalties. Insiders exploit the liquidity provided by the trading masses to "camouflage" their…
Blockchain is a technology that provides a distributed ledger that stores previous records while maintaining consistency and security. Bitcoin is the first and largest decentralized electronic cryptographic system that uses blockchain…
We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analysing high-frequency market-microstructure observables with different information theoretic measures for dynamical…
Cryptocurrencies, as decentralized digital assets, have experienced rapid growth and adoption, with over 23,000 cryptocurrencies and a market capitalization nearing \$1.1 trillion (about \$3,400 per person in the US) as of 2023. This…