相关论文: Conditional beta and uncertainty factor in the cry…
The aim of this paper is to analyse the Bitcoin in order to shed some light on its nature and behaviour. We select 9 cryptocurrencies that account for almost 75\% of total market capitalisation and compare their evolution with that of a…
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…
This paper describes a novel approach to planning which takes advantage of decision theory to greatly improve robustness in an uncertain environment. We present an algorithm which computes conditional plans of maximum expected utility. This…
This paper studies the optimal transaction fee mechanisms for blockchains, focusing on the distinction between price-based ($\mathcal{P}$) and quantity-based ($\mathcal{Q}$) controls. By analyzing factors such as demand uncertainty,…
This paper studies what Bitcoin (BTC) premiums in peer-to-peer (P2P) markets measure. Using transaction-level data from LocalBitcoins, we construct BTC premiums for 80 currencies relative to the U.S. dollar and relate them to blockchain…
Cryptocurrencies have emerged as a novel financial asset garnering significant attention in recent years. A defining characteristic of these digital currencies is their pronounced short-term market volatility, primarily influenced by…
Consider a linear regression model with n-dimensional response vector, p-dimensional regression parameter beta and independent normally distributed errors. Suppose that the parameter of interest is theta = a^T beta where a is a specified…
Algorithmic transparency entails exposing system properties to various stakeholders for purposes that include understanding, improving, and contesting predictions. Until now, most research into algorithmic transparency has predominantly…
An important issue in concurrency is interference. This issue manifests itself in both shared-variable and communication-based concurrency --- this paper focusses on the former case where interference is caused by the environment of a…
Based on the existing literature, this article presents the different ways of choosing the parameters of stochastic volatility models in general, in the context of pricing financial derivative contracts. This includes the use of stochastic…
In many markets, like electricity or cloud computing markets, providers incur large costs for keeping sufficient capacity in reserve to accommodate demand fluctuations of a mostly fixed user base. These costs are significantly affected by…
In this paper, we analyze Twitter signals as a medium for user sentiment to predict the price fluctuations of a small-cap alternative cryptocurrency called \emph{ZClassic}. We extracted tweets on an hourly basis for a period of 3.5 weeks,…
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…
Contextual dynamic pricing aims to set personalized prices based on sequential interactions with customers. At each time period, a customer who is interested in purchasing a product comes to the platform. The customer's valuation for the…
Aleatoric uncertainty quantification seeks for distributional knowledge of random responses, which is important for reliability analysis and robustness improvement in machine learning applications. Previous research on aleatoric uncertainty…
Crypto-coins (also known as cryptocurrencies) are tradable digital assets. Notable examples include Bitcoin, Ether and Litecoin. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption…
As data plays an increasingly pivotal role in decision-making, the emergence of data markets underscores the growing importance of data valuation. Within the machine learning landscape, Data Shapley stands out as a widely embraced method…
The beta distribution is a basic distribution serving several purposes. It is used to model data, and also, as a more flexible version of the uniform distribution, it serves as a prior distribution for a binomial probability. The bivariate…
Uncertainty quantification of complex technical systems is often based on a computer model of the system. As all models such a computer model is always wrong in the sense that it does not describe the reality perfectly. The purpose of this…
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on…