相关论文: Collateral Portfolio Optimization in Crypto-Backed…
Portfolio management is essential for any investment decision. Yet, traditional methods in the literature are ill-suited for the characteristics and dynamics of cryptocurrencies. This work presents a method to build an investment portfolio…
Memecoins, emerging from internet culture and community-driven narratives, have rapidly evolved into a unique class of crypto assets. Unlike technology-driven cryptocurrencies, their market dynamics are primarily shaped by viral social…
Collateral is an item of value serving as security for the repayment of a loan. In blockchain-based loans, cryptocurrencies serve as the collateral. The high volatility of cryptocurrencies implies a serious barrier of entry with a common…
We consider a stochastic game between a trader and a central bank in a target zone market with a lower currency peg. This currency peg is maintained by the central bank through the generation of permanent price impact, thereby aggregating…
We study the problem of predicting whether the price of the 21 most popular cryptocurrencies (according to coinmarketcap.com) will go up or down on day d, using data up to day d-1. Our C2P2 algorithm is the first algorithm to consider the…
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional…
Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on…
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…
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek [10] the author…
In this paper we analyse the effects of information flows in cryptocurrency markets. We first define a cryptocurrency trading network, i.e. the network made using cryptocurrencies as nodes and the Granger causality among their weekly log…
The global financial system stands at an inflection point. Stablecoins represent the most significant evolution in banking since the abandonment of the gold standard, positioned to enable "Banking 2.0" by seamlessly integrating…
U.S. dollar stablecoins are increasingly used as payment and settlement instruments beyond cryptocurrency markets. With the enactment of the GENIUS Act in 2025, the United States established the first comprehensive federal framework…
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…
Prediction markets have gained adoption as on-chain mechanisms for aggregating information, with platforms such as Polymarket demonstrating demand for stablecoin-denominated markets. However, denominating in non-interest-bearing stablecoins…
In this paper, we introduce a novel framework to model the exchange rate dynamics between two intrinsically linked cryptoassets, such as stablecoins pegged to the same fiat currency or a liquid staking token and its associated native token.…
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 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…
Lending protocols are one of the main applications of Decentralized Finance (DeFi), enabling crypto-assets loan markets with a total value estimated in the tens of billions of dollars. Unlike traditional lending systems, these protocols…
This paper examines the economic and security implications of Proof-of-Stake (POS) designs, providing a survey of POS design choices and their underlying economic principles in prominent POS-blockchains. The paper argues that…
Decentralized Finance (DeFi) refers to financial services that are not necessarily related to crypto-currencies. By employing blockchain for security and integrity, DeFi creates new possibilities that attract retail and institution users,…