相关论文: A Normative Dual-value Theory for Bitcoin and othe…
This paper studies the optimal liquidation of stocks in the presence of temporary and permanent price impacts, and we focus in the case of cryptocurrencies. We start by presenting analytical solutions to the problem with linear temporary…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…
In recent years cryptocurrency trading has captured the attention of practitioners and academics. The volume of the exchange with standard currencies has known a dramatic increasing of late. This paper addresses to the need of models…
Since the creation of Bitcoin, transaction tracking is one of the prominent means for following the movement of Bitcoins involved in illegal activities. Although every Bitcoin transaction is recorded in the blockchain database, which is…
Cryptocurrencies such as Bitcoin and Ethereum have recently gained a lot of popularity, not only as a digital form of currency but also as an investment vehicle. Online marketplaces and exchanges allow users across the world to convert…
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…
Motivated by the great success and adoption of Bitcoin, a number of cryptocurrencies such as Litecoin, Dogecoin, and Ethereum are becoming increasingly popular. Although existing blockchain-based cryptocurrency schemes can ensure reasonable…
We discuss numerous justifications for why crypto-currencies would be highly conducive for the smooth functioning of today's society. We provide several comparisons between cryptocurrencies issued by blockchain projects, crypto, and…
We survey recent results on the mathematical stability of Bitcoin protocol. Profitability and probability of a double spend are estimated in closed form with classical special functions. The stability of Bitcoin mining rules is analyzed and…
A digital currency is money in a digital form. In this model, maintaining integrity of the supply is a core concern, therefore protections against double-spending are often at the heart of a secure digital money scheme. Quantum money…
A term structure model in which the short rate is zero is developed as a candidate for a theory of cryptocurrency interest rates. The price processes of crypto discount bonds are worked out, along with expressions for the instantaneous…
BitCoin transactions are malleable in a sense that given a transaction an adversary can easily construct an equivalent transaction which has a different hash. This can pose a serious problem in some BitCoin distributed contracts in which…
Bitcoin transactions include unspent transaction outputs (UTXOs) as their inputs and generate one or more newly owned UTXOs at specified addresses. Each UTXO can only be used as an input in a transaction once, and using it in two or more…
We assess the applicability of rough volatility models to Bitcoin realized volatility using the normalised p-variation framework of Cont and Das (2024). Applying this model-free estimator to high-frequency Bitcoin data from 2017 to 2024…
Bitcoin is a decentralised digital currency that relies on cryptography rather than trusted third parties such as central banks for its security. Underpinning the operation of the currency is a peer-to-peer (P2P) network that facilitates…
In the cryptographic currency Bitcoin, all transactions are recorded in the blockchain - a public, global, and immutable ledger. Because transactions are public, Bitcoin and its users employ obfuscation to maintain a degree of financial…
Bitcoins have recently become an increasingly popular cryptocurrency through which users trade electronically and more anonymously than via traditional electronic transfers. Bitcoin's design keeps all transactions in a public ledger. The…
Stablecoins are one of the most widely capitalized type of cryptocurrency. However, their risks vary significantly according to their design and are often poorly understood. We seek to provide a sound foundation for stablecoin theory, with…
Non-Fungible Tokens (NFTs) are a new development in blockchain technology. News around NFTs is surrounded by skepticism because unrealistically high prices are being paid online for these NFTs which are in the form of apparently simple…
Two of the most important technological advancements currently underway are the advent of quantum technologies, and the transitioning of global financial systems towards cryptographic assets, notably blockchain-based cryptocurrencies and…