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Many prominent smart-contract applications such as payment channels, auctions, and voting systems often involve a mechanism in which some party must respond to a challenge or appeal some action within a fixed time limit. This pattern of…
Payment channel networks (PCNs) are a promising technology that alleviates blockchain scalability by shifting the transaction load from the blockchain to the PCN. Nevertheless, the network topology has to be carefully designed to maximise…
Real time operation of the power grid and synchronism of its different elements require accurate estimation of its state variables. Errors in state estimation will lead to sub-optimal Optimal Power Flow (OPF) solutions and subsequent…
Wash trading, the practice of simultaneously placing buy and sell orders for the same asset to inflate trading volume, has been prevalent in cryptocurrency markets. This paper investigates whether wash traders in Bitcoin act deliberately to…
This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the cryptoworld, accounting for more than 90\% of the total…
In this paper, we study the Maximum Profit Pick-up Problem with Time Windows and Capacity Constraint (MP-PPTWC). Our main results are 3 polynomial time algorithms, all having constant approximation factors. The first algorithm has an…
The scaling laws for recommender systems have been increasingly validated, where MetaFormer-based architectures consistently benefit from increased model depth, hidden dimensionality, and user behavior sequence length. However, whether…
This article demonstrates the possibility of constructing indicators of critical and crisis phenomena in the volatile market of cryptocurrency. For this purpose, the methods of the theory of complex systems such as recurrent analysis of…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…
Academics increasingly acknowledge the predictive power of social media for a wide variety of events and, more specifically, for financial markets. Anecdotal and empirical findings show that cryptocurrencies are among the financial assets…
The LHCb experiment stores around $10^{11}$ collision events per year. A typical physics analysis deals with a final sample of up to $10^7$ events. Event preselection algorithms (lines) are used for data reduction. Since the data are stored…
Blockchains are significantly easing trade finance, with billions of dollars worth of assets being transacted daily. However, analyzing these networks remains challenging due to the sheer volume and complexity of the data. We introduce a…
When executing their orders, investors are proposed different strategies by brokers and investment banks. Most orders are executed using VWAP algorithms. Other basic execution strategies include POV (also called PVol) -- for percentage of…
We examine volume computation of general-dimensional polytopes and more general convex bodies, defined as the intersection of a simplex by a family of parallel hyperplanes, and another family of parallel hyperplanes or a family of…
Financial speculators often seek to increase their potential gains with leverage. Debt is a popular form of leverage, and with over 39.88B USD of total value locked (TVL), the Decentralized Finance (DeFi) lending markets are thriving.…
The primary objective of this paper is to conceive and develop a new methodology to detect notable changes in liquidity within an order-driven market. We study a market liquidity model which allows us to dynamically quantify the level of…
Covariance matrices estimated from short, noisy, and non-Gaussian financial time series are notoriously unstable. Empirical evidence suggests that such covariance structures often exhibit power-law scaling, reflecting complex, hierarchical…
In this paper we develop a linear expectile hidden Markov model for the analysis of cryptocurrency time series in a risk management framework. The methodology proposed allows to focus on extreme returns and describe their temporal evolution…
We introduce a new framework for the convergence analysis of a class of distributed constrained non-convex optimization algorithms in multi-agent systems. The aim is to search for local minimizers of a non-convex objective function which is…
We demonstrate that future market correlation structure can be predicted with high out-of-sample accuracy using a multiplex network approach that combines information from social media and financial data. Market structure is measured by…