Related papers: Same Returns, Different Risks: How Cryptocurrency …
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX) measures market expectations of future volatility, but…
While catastrophic attacks on Ethereum persist, vulnerability research remains fixated on implementation-level smart contract bugs, creating a gap between academic understanding of vulnerabilities and the root causes of high-impact,…
This study investigates whether cryptocurrency whitepaper narratives align with empirically observed market factor structure. We construct a pipeline combining zero-shot NLP classification of 38 whitepapers across 10 semantic categories…
The distribution of consensus power is a cornerstone of decentralisation, influencing the security, resilience, and fairness of blockchain networks while ensuring equitable impact among participants. This study provides a rigorous…
Portfolio backtesting is the primary tool for evaluating investment strategies before deployment, yet practitioners implicitly assume that different engines produce identical results for the same strategy. we formalise implementation risk,…
This paper investigates how changes in investor base is related to idiosyncratic volatility in cryptocurrency markets. For each cryptocurrency, we set change in its subreddit followers as a proxy for the change in its investor base, and…
In today's global economy, supply chain (SC) entities have become increasingly interconnected with demand and supply relationships due to the need for strategic outsourcing. Such interdependence among firms not only increases efficiency but…
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…
This work aims to analyse the predictability of price movements of cryptocurrencies on both hourly and daily data observed from January 2017 to January 2021, using deep learning algorithms. For our experiments, we used three sets of…
In an economy with asymmetric information, the smart contract in the blockchain protocol mitigates uncertainty. Since, as a new trading platform, the blockchain triggers segmentation of market and differentiation of agents in both the sell…
This paper analyses the high-frequency intraday Bitcoin dataset from 2019 to 2022. During this time frame, the Bitcoin market index exhibited two distinct periods, 2019-20 and 2021-22, characterized by an abrupt change in volatility. The…
We propose a new measure of systemic risk to analyze the impact of the major financial market turmoils in the stock markets from 2000 to 2023 in the USA, Europe, Brazil, and Japan. Our Implied Volatility Realized Volatility Systemic Risk…
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…
Blockchain systems run consensus rules as code to agree on the state of the distributed ledger and secure the network. Changing these rules can be risky and challenging. In addition, it can often be controversial and take much effort to…
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…
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…
Forecasting cryptocurrencies as a financial issue is crucial as it provides investors with possible financial benefits. A small improvement in forecasting performance can lead to increased profitability; therefore, obtaining a realistic…
The pump and dump scheme is a form of market manipulation attack in which coordinated actors drive up the price of an asset in order to sell at a higher price. Due in part to a lack of enforcement, these schemes are widespread within the…
We study the economics of transaction reverts on Ethereum rollups and show that they are not accidental failures but equilibrium outcomes of MEV strategies. Using execution traces from major L2s, we find that over 80% of reverted…