Related papers: Price Discovery in Cryptocurrency Markets
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the…
This study provides a practical introduction to high-frequency trading in blockchain-based currency markets. These types of markets have some specific characteristics that differentiate them from the stock markets, such as a large number of…
An important virtue of distributed ledger technologies is their acclaimed higher level of decentralisation compared to traditional financial systems. Empirical literature, however, suggests that many systems tend towards centralisation as…
Digital currencies have become popular in the last decade due to their non-dependency and decentralized nature. The price of these currencies has seen a lot of fluctuations at times, which has increased the need for prediction. As their…
The rise of Ethereum and other blockchains that support smart contracts has led to the creation of decentralized exchanges (DEXs), such as Uniswap, Balancer, Curve, mStable, and SushiSwap, which enable agents to trade cryptocurrencies…
This paper studies the market structure impact of cheaper and faster chains on the Uniswap v3 Protocol. The Uniswap Protocol is the largest decentralized application on Ethereum by both gas and blockspace used, and user behaviors of the…
In decentralized finance, any individual can pool their assets into an automated market maker (AMM) -- herein we focus on the constant product market maker (CPMM) -- in exchange for a claim on a fraction of future pool assets and fees…
The cryptocurrency options market is notable for its high volatility and lower liquidity compared to traditional markets. These characteristics introduce significant challenges to traditional option pricing methodologies. Addressing these…
Cryptocurrencies as a new way of transferring assets and securing financial transactions have gained popularity in recent years. Transactions in cryptocurrencies are publicly available, hence, statistical studies on different aspects of…
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…
Accurate forecasting of Bitcoin (BTC) has always been a challenge because decentralized markets are non-linear, highly volatile, and have temporal irregularities. Existing deep learning models often struggle with interpretability and…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
The aim of this work is to study the use of decentralization and smart contracts on blockchain networks. We investigate the implementation and use of smart contracts on the platforms Bitcoin, Ethereum and Hyperledger Fabric. Additionally,…
With rising concerns about the security of IoT devices, network operators need better ways to handle potential risks. Luckily, IoT devices show consistent patterns in how they communicate. But despite previous efforts, it remains unclear…
The detection of outliers within cryptocurrency limit order books (LOBs) is of paramount importance for comprehending market dynamics, particularly in highly volatile and nascent regulatory environments. This study conducts a comprehensive…
An effective distribution electricity market (DEM) is required to manage the rapidly growing small-scale distributed energy resources (DERs) in distribution systems (DSs). This paper proposes a day-ahead DEM clearing and pricing mechanism…
In the dynamic landscape of the Web, we are witnessing the emergence of the Web3 paradigm, which dictates that platforms should rely on blockchain technology and cryptocurrencies to sustain themselves and their profitability.…
This study investigates the rapid centralization of the Ethereum builder market under the Proposer-Builder Separation (PBS) architecture. We argue that existing research, by focusing predominantly on influential order flows, lacks a…
Futures market contracts with varying maturities are traded concurrently and the speed at which they process information is of value in understanding the pricing discovery process. Using price discovery measures, including Putnins (2013)…
This work introduces a framework for evaluating onchain order flow auctions (OFAs), emphasizing the metric of price improvement. Utilizing a set of open-source tools, our methodology systematically attributes price improvements to specific…