相关论文: Understand Volatility of Algorithmic Stablecoin: M…
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…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
The emerging blockchain technology supports decentralized computing paradigm shift and is a rapidly approaching phenomenon. While blockchain is thought primarily as the basis of Bitcoin, its application has grown far beyond cryptocurrencies…
We model the dynamics of the cryptocurrency (CC) asset class via a stochastic volatility with correlated jumps (SVCJ) model with rolling-window parameter estimates. By analyzing the time-series of parameters, stylized patterns are…
Stablecoins have emerged as a significant component of global financial infrastructure, with aggregate market capitalization surpassing USD250 billion in 2025. Their increasing integration into payment and settlement systems has…
Decentralized Finance (DeFi), in which digital assets are exchanged without trusted intermediaries, has grown rapidly in value in recent years. The global DeFi ecosystem is fragmented into multiple blockchains, fueling the demand for…
This paper delves into the spectrum of credit risks associated with decentralized stablecoin issuance, ranging from overcollateralized lending to business-to-business credit. It examines the mechanisms, risks, and mitigation strategies at…
Machine learning and AI-assisted trading have attracted growing interest for the past few years. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal…
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…
Crowdfunding platforms face high transaction fees, need for more transparency, and trust deficits. These issues deter contributors and entrepreneurs from effectively leveraging crowdfunding for innovation and growth. Blockchain technology…
In the dynamic landscape of the Web, we are witnessing the emergence of the Web3 paradigm, which dictates that platforms should rely on blockchain technology and cryptocurrencies to sustain themselves and their profitability.…
Fair classification has been a topic of intense study in machine learning, and several algorithms have been proposed towards this important task. However, in a recent study, Friedler et al. observed that fair classification algorithms may…
We develop quantum algorithms for pricing Asian and barrier options under the Heston model, a popular stochastic volatility model, and estimate their costs, in terms of T-count, T-depth and number of logical qubits, on instances under…
We consider the problem of stable matching with dynamic preference lists. At each time step, the preference list of some player may change by swapping random adjacent members. The goal of a central agency (algorithm) is to maintain an…
The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger…
Smart contract (SC) platforms form blocks of transactions into a chain and execute them via user-defined smart contracts. In conventional platforms like Bitcoin and Ethereum, the transactions within a block are executed \emph{sequentially}…
An appropriate calibration and forecasting of volatility and market risk are some of the main challenges faced by companies that have to manage the uncertainty inherent to their investments or funding operations such as banks, pension funds…
Increasing popularity of trading digital assets can lead to significant delays in Blockchain networks when processing transactions. When transaction fees become miners' primary revenue, an imbalance in reward may lead to miners adopting…
This paper studies the forecasting ability of cryptocurrency time series. This study is about the four most capitalized cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple. Different Bayesian models are compared, including models with…
The blockchain constitutes a technology-based, rather than social or regulation based, means to lower uncertainty about one another in order to exchange value. However, its use may very well also lead to increased complexity resulting from…