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Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own…

Computational Finance · Quantitative Finance 2020-07-30 Wolfgang Karl Härdle , Campbell R. Harvey , Raphael C. G. Reule

The rise of blockchain technology within a few years has attracted researchers across the world. The prime reason for worldwide attention is undoubtedly due to its feature of immutability along with the decentralized approach of data…

Computers and Society · Computer Science 2020-12-08 Saqib Hakak , Wazir Zada Khan , Gulshan Amin Gilkar , Basem Assiri , Mamoun Alazab , Sweta Bhattacharya , G Thippa Reddy

Stablecoins have turned out to be the "killer" use case of the growing digital asset space. However, risk management frameworks, including regulatory ones, have been largely absent. In this paper, we address the critical question of…

Risk Management · Quantitative Finance 2024-01-25 Marcel Bluhm , Adrian Cachinero Vasiljević , Sébastien Derivaux , Søren Terp Hørlück Jessen

This paper introduces JANUS, a Stablecoin 3.0 protocol designed to address the stablecoin trilemma--simultaneously improving decentralization (D), capital efficiency (E), and safety-stability (S). Building upon insights from previous…

Computational Engineering, Finance, and Science · Computer Science 2024-12-25 Stylianos Kampakis

This paper examines the dynamics of Tether, the stablecoin with the largest market capitalization. We show that the distributional and dynamic properties of Tether/USD rates have been evolving from 2017 to 2021. We use local analysis…

Econometrics · Economics 2023-01-03 Antoine Djobenou , Emre Inan , Joann Jasiak

Blockchain is an emerging decentralized data collection, sharing and storage technology, which have provided abundant transparent, secure, tamper-proof, secure and robust ledger services for various real-world use cases. Recent years have…

Distributed, Parallel, and Cluster Computing · Computer Science 2022-08-18 Xiao Li , Weili Wu

Cryptocurrencies have recently been in the spotlight of public debate due to their embrace by the new US President, with crypto fans expecting a 'bull run'. The global cryptocurrency market capitalisation is more than \$3.50 trillion, with…

Computational Engineering, Finance, and Science · Computer Science 2025-11-12 Marco Venturini , Daniel García-Costa , Elena Álvarez-García , Francisco Grimaldo , Flaminio Squazzoni

Stablecoins, digital assets pegged to a specific currency or commodity value, are heavily involved in transactions of major cryptocurrencies. The effects of deviations from their desired fixed values (depeggings) on the cryptocurrencies for…

Statistical Finance · Quantitative Finance 2022-05-16 Connor Oxenhorn

Global illicit fund flows exceed an estimated $3.1 trillion annually, with stablecoins emerging as a preferred laundering medium due to their liquidity. While decentralized protocols increasingly adopt zero-knowledge proofs to obfuscate…

Cryptography and Security · Computer Science 2026-02-23 Luciano Juvinski , Haochen Li , Alessio Brini

To draw a roadmap of current research activities of the blockchain community, we first conduct a brief overview of state-of-the-art blockchain surveys published in the recent 5 years. We found that those surveys are basically studying the…

Distributed, Parallel, and Cluster Computing · Computer Science 2020-12-02 Huawei Huang , Wei Kong , Sicong Zhou , Zibin Zheng , Song Guo

In recent years, the tendency of the number of financial institutions including cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital assets to be included by asset managers. Although they have…

Trading and Market Microstructure · Quantitative Finance 2022-01-31 Fan Fang , Carmine Ventre , Michail Basios , Leslie Kanthan , Lingbo Li , David Martinez-Regoband , Fan Wu

Bitcoin and other similar digital currencies on blockchains are not ideal means for payment, because their prices tend to go up in the long term (thus people are incentivized to hoard those currencies), and to fluctuate widely in the short…

Computers and Society · Computer Science 2019-05-17 Kenji Saito , Mitsuru Iwamura

Central Bank Digital Currencies (CBDCs) are proposed as a public response to the uptake of privately run digital payments, with the digital euro, under development by the European Central Bank (ECB), serving as a prominent example. This…

Cryptography and Security · Computer Science 2026-03-18 Judith Senn , Aljosha Judmayer , Nicholas Stifter , Rainer Böhme

The `Black Thursday' crisis in cryptocurrency markets demonstrated deleveraging risks in over-collateralized non-custodial stablecoins. We develop a stochastic model that helps explain deleveraging crises in these over-collateralized…

Trading and Market Microstructure · Quantitative Finance 2022-08-02 Ariah Klages-Mundt , Andreea Minca

Bitcoin is the first and undoubtedly most successful cryptocurrecny to date with a market capitalization of more than 100 billion dollars. Today, Bitcoin has more than 100,000 supporting merchants and more than 3 million active users.…

Cryptography and Security · Computer Science 2019-11-19 Emmanouil Karampinakis , Michalis Pachilakis , Panagiotis Papadopoulos , Antonis Krithinakis , Evangelos P. Markatos

Blockchain has received much attention recently, due to its promises of verifiable, permanent, decentralized, and efficient data handling. In 2017-2019 blockchain and associated technologies such as smart contracts has progressed beyond…

Computers and Society · Computer Science 2020-06-11 Artyom Kosmarski

Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…

Mathematical Finance · Quantitative Finance 2018-02-28 Carey Caginalp , Gunduz Caginalp

This research paper provides a comprehensive analysis of Bitcoin, delving into its evolution, adoption, and potential future implications. As the pioneering cryptocurrency, Bitcoin has sparked significant interest and debate in recent…

Cryptography and Security · Computer Science 2023-04-07 Neelesh Mungoli

Since its inception, the blockchain technology has shown promising application prospects. From the initial cryptocurrency to the current smart contract, blockchain has been applied to many fields. Although there are some studies on the…

Cryptography and Security · Computer Science 2020-11-05 Xiaoqi Li , Peng Jiang , Ting Chen , Xiapu Luo , Qiaoyan Wen

Blockchains have become immensely popular and are high on the list of national and international research and innovation agenda's. This is partly caused by the numerous interesting applications, combined with the promise of full…

Distributed, Parallel, and Cluster Computing · Computer Science 2021-03-03 Maarten van Steen , Andrew Chien , Patrick Eugster