相关论文: On profitability of stubborn mining

In this paper we consider a scenario where there are several algorithms for solving a given problem. Each algorithm is associated with a probability of success and a cost, and there is also a penalty for failing to solve the problem. The…

Bitcoin-NG is among the first blockchain protocols to approach the \emph{near-optimal} throughput by decoupling blockchain operation into two planes: leader election and transaction serialization. Its decoupling idea has inspired a new…

We develop a formalism for reasoning about trading on decentralized exchanges on blockchains and a formulation of a particular form of maximal extractable value (MEV) that represents the total arbitrage opportunity extractable from on-chain…

Additive tree functionals represent the cost of many divide-and-conquer algorithms. We derive the limiting distribution of the additive functionals induced by toll functions of the form (a) n^\alpha when \alpha > 0 and (b) log n (the…

We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…

A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…

Scalability problems in programmable blockchains have created a strong demand for secure methods that move the bulk of computation outside the blockchain. One of the preferred solutions to this problem involves off-chain computers that…

Bitcoin is a "crypto currency", a decentralized electronic payment scheme based on cryptography which has recently gained excessive popularity. Scientific research on bitcoin is less abundant. A paper at Financial Cryptography 2012…

Proof-of-Stake blockchains based on a longest-chain consensus protocol are an attractive energy-friendly alternative to the Proof-of-Work paradigm. However, formal barriers to "getting the incentives right" were recently discovered, driven…

The price volatility of cryptocurrencies is often cited as a major hindrance to their wide-scale adoption. Consequently, during the last two years, multiple so called stablecoins have surfaced---cryptocurrencies focused on maintaining…

Bitcoin is currently subject to a significant pay-for-speed trade-off. This is caused by lengthy and highly variable transaction confirmation times, especially during times of congestion. Users can reduce their transaction confirmation…

We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two…

We study the bandit problem where arms are associated with stationary phi-mixing processes and where rewards are therefore dependent: the question that arises from this setting is that of recovering some independence by ignoring the value…

Stochastic Network Calculus is a probabilistic method to compute performance bounds in networks, such as end-to-end delays. It relies on the analysis of stochastic processes using formalism of (Deterministic) Network Calculus. However,…

In blockchain-based order book systems, buyers and sellers trade assets, while it is miners to match them and include their transactions in the blockchain. It is found that many miners behave selfishly and myopically, prioritizing…

This paper develops a model to evaluate the viability of blockchain markets as the sole venue for price formation. Blockchains clear at discrete intervals called block time, and transactions are executed sequentially according to priority…

We present improved algorithms with worst-case regret guarantees for the stochastic linear bandit problem. The widely used "optimism in the face of uncertainty" principle reduces a stochastic bandit problem to the construction of a…

Using Wilf-Zeilberger algorithmic proof theory, we continue pioneering work of Meni Rosenfeld (followed up by interesting work by Cyril Grunspan and Ricardo Perez-Marco) and study the probability and duration of successful bitcoin attacks,…

We propose a framework for threshold cryptosystems under a permissionless-economic model in which the participants are rational profit-maximizing entities. To date, threshold cryptosystems have been considered under permissioned settings…

Rather than directly predicting future prices or returns, we follow a more recent trend in asset management and classify the state of a market based on labels. We use numerous standard labels and even construct our own ones. The labels rely…