A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study finds significant price declines and capital reallocation from centralized to decentralized exchanges after FTX collapse.
Centralized exchanges influence staking behavior and decentralization in Proof of Stake blockchain ecosystems.
Model estimates foreign exchange reserve compositions of undisclosed central banks.
Central bank strategy to maintain currency exchange rate within limits.
Study finds recurring patterns in cryptocurrency volatility and liquidity.
The exchange algorithm is studied for its convergence and asymptotic variance.
This study compares price discovery in ETH and BTC markets between centralized and decentralized exchanges.
Framework for systemic risk modeling using jointly exchangeable arrays.
Study compares costs and arbitrage in CEXs vs DEXs, finding DEXs better for large trades.
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads to a proportional cost whose instantaneous marginal value depends on the current …
Study compares Web3 tokens to traditional assets, finding similar statistical properties.
Automated market-making for CBDCs and stable coins on blockchain.
Algorithmic trading is well studied in traditional financial markets. However, it has received less attention in centralized cryptocurrency exchanges. The Commodity Futures Trading Commission (CFTC) attributed the flash crash, one of the most turbulent periods in the history of financial markets that saw the Dow…
This study aims to identify the leading of inflation indicators of monetary policy in DRC. The results reveal that the most relevant inflation indicators usually come from the monetary origin than the real sector. Variance decomposition analyzes place in the foreground the rate of exchange, the money supply and the pub…
We investigate topology and temporal evolution of the foreign currency exchange market viewed from a weighted network perspective. Based on exchange rates for a set of 46 currencies (including precious metals), we construct different representations of the FX network depending on a choice of the base currency. Our resu…
Study reveals centralization in Bitcoin transactions involving retail users.
Exchanges acquire excess processing capacity to accommodate trading activity surges associated with zero-sum high-frequency trader (HFT) "duels." The idle capacity's opportunity cost is an externality of low-latency trading. We build a model of decentralized exchanges (DEX) with flexible capacity. On DEX, HFTs acquire …
This paper presents a model of capital accumulation for a large number of heterogenous producer-consumers in an exchange space in which interactions depend on agents' positions. Each agent is described by his production, consumption, stock of capital, as well as the position he occupies in this abstract space. Each age…
Using data from 92 indices of stock exchanges worldwide, I analize the cluster formation and evolution from 2007 to 2010, which includes the Subprime Mortgage Crisis of 2008, using asset graphs based on distance thresholds. I also study the survivability of connections and of clusters through time and the influence of …
Study shows multifractality emerging in decentralized cryptocurrency trading.
Study analyzes risks and opportunities in blockchain currency markets.
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership. This settlement latency slows cross-exchange trading, exposing arbitrageurs to price risk. Off-chain settlement, instead, exposes arbitrageurs to costly default risk. We show with Bitcoin network an…
This study examines how DEXs impact traders' behavior in perpetual futures contracts.
This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference between currency substitution and money demand sensitivity to exchange rate variatio…
We select n stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the k trading days of our database from the stock price time series. We analyze each ensemble of stock returns by extracting its first four central moments. We observe that these moments are fl…
This paper investigates - on the basis of the Cont-Bouchaud model - whether a Tobin tax can stabilize foreign exchange markets. Compared to earlier studies, this paper explicitly recognizes that a transaction tax-induced reduction in market depth may increase the price responsiveness of a given order. We find that the …
Quantum computers can optimize foreign exchange reserves management.
We address the problem of optimal Central Bank intervention in the exchange rate market when interventions create feedback in the rate dynamics. In particular, we extend the work done on optimal impulse control by Cadenillas and Zapatero to incorporate temporary market reactions, of random duration and level, to Bank i…
Modeling gas fee competition in decentralized exchanges to optimize arbitrage profits.
In this paper we analyse the structure of Warsaw's stock market using complex systems methodology together with network science and information theory. We find minimal spanning trees for log returns on Warsaw's stock exchange for yearly times series between 2000 and 2013. For each stock in those trees we calculate its …
Simple models outperformed sophisticated ones in forecasting Turkish lira exchange rates.
Optimal design of automated market makers for decentralized exchanges.
On Jan. 1, 1999 the European Union introduced a common currency Euro (), to become the legal currency in all eleven countries which form the . In order to test the behavior and understand various features, the exchange rate is artificially extrapolated back to 1993 by a linear superposition of the…
Stablecoins are unstable, but some are more stable than others.
This study analyzes how cryptocurrency networks adapt to financial disruptions.
Recent research on Bitcoin Transaction Networks reveals a growing, sparse, and core-periphery structure.
Reciprocating interactions represent a central feature of all human exchanges. They have been the target of various recent experiments, with healthy participants and psychiatric populations engaging as dyads in multi-round exchanges such as a repeated trust task. Behaviour in such exchanges involves complexities relate…
We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price acc…
CFMMs solve complex multi-asset trades via convex optimization.
EXFormer predicts foreign exchange returns with high accuracy using a multi-scale self-attention mechanism and dynamic variable selection.
Non-atomic arbitrage exploits price differences on Ethereum and other blockchains, accounting for over 10% of Ethereum's block value.
We consider the fully decentralized machine learning scenario where many users with personal datasets collaborate to learn models through local peer-to-peer exchanges, without a central coordinator. We propose to train personalized models that leverage a collaboration graph describing the relationships between user per…
Uniswap analyzes liquidity provider risk and impermanent loss.
QLAMMP optimizes fees on AMMs using Q-Learning.
The transition probability of a Cox-Ingersoll-Ross process can be represented by a non-central chi-square density. First we prove a new representation for the central chi-square density based on sums of powers of generalized Gaussian random variables. Second we prove Marsaglia's polar method extends to this distributio…
We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group together all the exchange rates with a common base currency and study each group separa…
Study liquidity provision in decentralized exchanges considering risk aversion and replication costs.
The nature of monetary arrangements is often discussed without any reference to its detailed construction. We present a graph representation that allows for a clear understanding of modern monetary systems. First, we show that systems based on commodity money are incompatible with credit. We then study the current char…