相关论文: Understand Volatility of Algorithmic Stablecoin: M…
Poorly designed smart contracts are particularly vulnerable, as they may allow attackers to exploit weaknesses and steal the virtual currency they manage. In this study, we train a model using unsupervised learning to identify…
The philosophy of blockchain technology is concerned, among other things, with blockchain ontology, how it might be characterised, how it is being created, implemented, and adopted, how it operates in the world, and how it evolves over…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
A smart contract is a computer program which allows users to automate their actions on the blockchain platform. Given the significance of smart contracts in supporting important activities across industry sectors including supply chain,…
We propose a new financial model, the stochastic volatility model with sticky drawdown and drawup processes (SVSDU model), which enables us to capture the features of winning and losing streaks that are common across financial markets but…
Blockchain and Cryptocurrencies are gaining unprecedented popularity and understanding. Meanwhile, Ethereum is gaining a significant popularity in the blockchain community, mainly due to the fact that it is designed in a way that enables…
Blockchains are decentralized systems that provide trustable execution guarantees. Smart contracts are programs written in specialized programming languages running on blockchains that govern how tokens and cryptocurrency are sent and…
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets--risk-adjusted…
This study investigates the application of the Light Gradient Boosting Machine (LGBM) model for both deterministic and probabilistic forecasting of Bitcoin realized volatility. Utilizing a comprehensive set of 69 predictors -- encompassing…
Cryptocurrencies, such as Bitcoin, are becoming increasingly popular, having been widely used as an exchange medium in areas such as financial transaction and asset transfer verification. However, there has been a lack of solutions that can…
To maintain blockchain-based services with ensuring its security, it is an important issue how to decide a mining reward so that the number of miners participating in the mining increases. We propose a dynamical model of decision-making for…
We consider the dynamics of a smart grid system characterized by widespread distributed generation and storage devices. We assume that agents are free to trade electric energy over the network and we focus on the emerging market dynamics.…
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…
The stability analysis of model predictive control schemes without terminal constraints and/or costs has attracted considerable attention during the last years. We pursue a recently proposed approach which can be used to determine a…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
Cryptocurrency networks such as Bitcoin have emerged as a distributed alternative to traditional centralized financial transaction networks. However, there are major challenges in scaling up the throughput of such networks. Lightning…
A source encoder is stable if a small change in the source sequence (e.g., changing a few symbols) results in a small (or bounded) change in the output codeword. By this definition, the common technique of random binning is unstable;…
Stability is a key property of dynamical systems. In some cases, we want to change unstable system into stable one to achieve certain goals in engineering. Here, we present an example of a $3$ dimensional switched system that alternates…