Survey of stablecoins to reduce cryptocurrency volatility.
problem Reduction of cryptocurrency volatility during financial crises.
method Classification of stablecoin approaches and assessment of tradeoffs.
result Different stablecoin types offer varying tradeoffs and challenges.
Paper assesses risks of stablecoins, from lending to business-to-business.
problem Credit risks in decentralized stablecoin issuance.
method Examines mechanisms, risks, and mitigation strategies at each layer.
result Potential for scaling stablecoins while maintaining systemic health.
Silkswap models stablecoin trading with minimal price impact.
problem Efficient trading of fiat-pegged stablecoins with minimal price impact.
method Silkswap uses an invariant price impact curve for asymmetric trading, derived from a hybrid function.
result Silkswap outperforms Curve Finance in price impact for stablecoin trading.
This study synthesizes stablecoin systems and develops a performance evaluation framework.
problem Fragmented academic research on stablecoins across economics, law, and computer science.
method Multi-method research design including literature synthesis, performance evaluation framework, and case study.
result Unified taxonomy and performance evaluation framework for stablecoin design.
Algorithmic stablecoins optimize monetary policy to balance price stability.
problem Persistent inflation from centralized monetary policy.
method Propose and study a rule-based monetary policy model for algorithmic stablecoins.
result Optimal trade-off between price stability and supply stability.
Model explains how stablecoin runs are influenced by large sales and reserve quality.
problem Understanding and predicting stablecoin runs due to large sales and poor reserve quality.
method Global game model addressing both large sales and poor reserve quality, analyzing risk components.
result The probability of a run increases with large sales and decreases with precise public knowledge, but increases with precise private signals when fundamentals are weak.
Model explains deleveraging risks in non-custodial stablecoins.
problem Deleveraging risks in non-custodial stablecoins during market crises.
method Developed a stochastic model incorporating speculators' profit optimization and collateral liquidation costs.
result Identified deflationary deleveraging spirals and higher price variance in unstable domains.
Study develops hybrid model to mitigate stablecoin liquidity risk.
problem Increasing integration of stablecoins introduces liquidity risk during market stress.
method Hybrid monetary architecture with 100% reserve backing and liquidity facilities.
result Demonstrates significant reduction in peg deviations and stress persistence.
Paper proposes real-time risk metrics for stablecoin protocols.
problem Lack of risk management frameworks for stablecoins.
method Developed two risk metrics: capitalization and liquidity.
result Demonstrated practical benefits of real-time on-chain data.
Stablecoins offer efficient settlement but externalize costs and risks.
problem Comparing stablecoins to card networks in retail payments.
method Unified analytical framework (CLEAR) across five dimensions.
result Stablecoins are advantageous in closed-loop and high-friction contexts but structurally disadvantaged as open-loop instruments.
Stablecoins are reshaping global monetary systems, offering hybrid structures with public and private monies.
problem The evolution of stablecoins from crypto innovation to a global monetary component.
method Econometric analysis and hybrid system design modeling.
result Stablecoins maintain strong peg stability, and a hybrid system design ensures financial resilience.
Model predicts depegging dynamics of stablecoins like Tether and Bitcoin.
problem Understanding depegging effects of stablecoins on cryptocurrencies.
method Multivariate Hawkes process model.
result Numerical example shows model's effectiveness.
Human stablecoin transactions predict political risk in cryptocurrency markets.
problem Predicting political risk in cryptocurrency markets.
method Structural break analysis and surrogate-based robustness tests.
result Human-driven stablecoin transactions shift significantly before major political events.
Stablecoin liquidity was affected by the SVB collapse, with USDC's transparency leading to market reactions.
problem Impact of stablecoin transparency on liquidity during market turmoil.
method Adapted MCI measure to Uniswap, Difference-in-Differences analysis on MCI and TVL, measured liquidity concentration.
result USDC's transparency led to swift market reactions, while USDT's opacity provided a safety net.
This paper uses a mean-field game to model stablecoin market dynamics and recovery.
problem Understanding who restores the peg during de-pegging events of stablecoins.
method Dynamic, agent-based mean-field game framework for fiat-collateralized stablecoins.
result The equilibrium formulation endogenously maps market frictions into a price path and order flows, allowing for stress testing and attribution of peg-reverting pressure.
Developed concentrated liquidity in n-dimensional AMM with polar coordinates in Rust.
problem Risk of stacking too many stablecoin pools.
method Building concentrated liquidity positions with ticks in polar coordinates in Rust.
result Hedging risk of stacking stablecoin pools.
Stablecoins promise to bridge fiat currencies with the world of cryptocurrencies. They provide a way for users to take advantage of the benefits of digital currencies, such as ability to transfer assets over the internet, provide assurance on minting schedules and scarcity, and enable new asset classes, while also part…
We develop a model of stable assets, including non-custodial stablecoins backed by cryptocurrencies. Such stablecoins are popular methods for bootstrapping price stability within public blockchain settings. We derive fundamental results about dynamics and liquidity in stablecoin markets, demonstrate that these markets …
This paper explores BTC-denominated prediction markets to avoid stablecoin opportunity costs.
problem Opportunity costs and loss of BTC exposure when converting to stablecoins.
method Analyzes three methods of liquidity provision: cross-market making, automated market making, and DeFi redirection.
result Cross-market making provides the best user risk profile but requires active liquidity.
MiCA regulation led to a shift in stablecoin dominance.
problem Impact of MiCA regulation on stablecoin trading.
method Comparative analysis of regulated and non-regulated exchanges.
result USDC gained market share and trading volume post-MiCA regulation.
Tether's dominance in U.S. Treasury bills lowers bond yields by 24 basis points.
problem Impact of Tether's market share on U.S. Treasury bill yields.
method Baseline semi-log time trend model and threshold regression analysis.
result Tether's market share reduces 1-month yields by 24 basis points.
Study examines crypto-backed stable derivatives in DeFi, focusing on DAI.
problem Stability of crypto-backed stablecoins in DeFi.
method Introduced a belief parameter to simulate DAI, proposed a mathematical model, analyzed risk factors.
result Belief parameter improves simulation of DAI price stability.
Stablecoins are unstable, but some are more stable than others.
problem Inconsistency in stability of stablecoins and high transaction costs.
method Analysis of market shares, transaction volumes, and exchange activity.
result USD Coin, Tether, and Dai are the most stable, but overall failure rate remains high.
The price volatility of cryptocurrencies is often cited as a major hindrance to their wide-scale adoption. Consequently, during the last two years, multiple so called stablecoins have surfaced---cryptocurrencies focused on maintaining stable exchange rates. In this paper, we systematically explore and analyze the stabl…
Optimal control of reserve assets for stablecoins to maintain peg stability.
problem Balancing immediate liquidity and yield on reserve assets for stablecoin peg maintenance.
method Developed a stochastic model predictive control framework with moment closure for event intensities, incorporating a soft-thresholding structure for rebalancing.
result Optimal policy shifts predictably toward cash as expected outflows intensify or windows lengthen, preserving most bill carry in calm markets and quickly building cash during stress.
Stablecoin system improves resilience to extreme market events.
problem Vulnerability of stablecoins to extreme volatility and adversarial attacks.
method MVF-Composer uses multi-agent simulations to stress-test and down-weight manipulative signals.
result Reduces peak peg deviation by 57% and mean recovery time by 3.1x under adversarial conditions.
Debt-financed collateral in DeFi increases stability risks.
problem Financial stability risks in DeFi ecosystems due to debt-financed collateral.
method Categorization and classification algorithm to measure debt-financed collateral.
result Wide-spread use of stablecoins as debt-financed collateral increases financial stability risks.
Optimizes Ethena's yield strategy by controlling stETH and ETH futures positions.
problem Maximizes Ethena's yield while managing price impacts.
method Formulates and solves stochastic control problems for Ethena's yield-generating strategy.
result Explicitly determines optimal control rates for stETH and ETH futures.
Our study proposes a new currency system to protect wealth from over-issued fiat and stablecoins.
problem The over-issuance of fiat and stablecoins undermines the stability of currency purchasing power.
method We introduce a parallel monetary system based on redeemable self-decaying money (RSDM) to provide a stable currency alternative.
result A parallel monetary system including RSDM, domestic fiat, and major reserve currencies can safeguard wealth and prevent the reverse Gresham law.
Study examines cryptoasset service providers in Austria, revealing global integration and distinct responses to market shocks.
problem Understanding cryptoasset integration and stress behavior in national economies.
method Directly identified on-chain addresses of Austrian crypto-asset service providers, reconstructing transaction activity across multiple cryptocurrencies.
result Austrian crypto-asset service providers are globally integrated, with distinct responses to market shocks.
The paper analyzes liquidity in decentralized finance, deriving impact functions and de-pegging risks.
problem Understanding and quantifying market impact and de-pegging risk in decentralized finance.
method Derives market impact functions for optimal-growth liquidity providers, views Constant Product Market Maker as a Carnot engine, and links de-pegging risks to catastrophe bonds.
result New insights into liquidity models and de-pegging risks in decentralized finance.
Novel AMM model for pegged cryptoassets using nested OU processes.
problem Liquidity and risk management in markets for pegged cryptoassets.
method Multi-level nested Ornstein-Uhlenbeck (OU) processes for exchange rate dynamics, calibrated and filtered AMM model.
result Consistent efficient quotes and improved liquidity provision for pegged cryptoassets.
This study compares CeFi and DeFi, finding some DeFi assets are not truly decentralized.
problem Understanding the differences and boundaries between CeFi and DeFi.
method Systematic analysis covering legal, economic, security, privacy, and market manipulation aspects.
result Certain DeFi assets may not be truly decentralized and pose security risks.
We explore inverse and quanto inverse crypto options, their pricing, and applications.
problem Market incompleteness in crypto options trading.
method Comparison of direct and inverse options, and introduction of currency-protected 'quanto' options.
result Pricing and hedging characteristics of inverse and quanto inverse options in a Black-Scholes framework.
Uniswap V3 struggles with price accuracy during sudden market drops.
problem Price inaccuracies on Uniswap V3 during abrupt price drops.
method Empirical study of Uniswap V3's performance during market shocks.
result Liquidity providers lack agility and incentives in volatile conditions.
Detects potential depegs in Curve's StableSwap pools to protect LPs.
problem Detecting and alerting LPs to potential depegs in Curve's StableSwap pools.
method Constructed metrics based on price and trading data, fine-tuned BOCD algorithm.
result Model detects USDC depeg 5 hours before price dip, with few false alarms.
Paper offers a fast method to assess DeFi liquidation risk.
problem Assessing liquidation risk in DeFi stablecoin lending.
method Modeling collateral exchange rate as zero-drift geometric Brownian motion.
result Derives an exact formula for liquidation probability.
Study analyzes crypto asset risk exposures using a divide-and-conquer approach.
problem Lack of high-frequency macro-financial proxies for estimating risk.
method Two-stage divide-and-conquer approach: first stage estimates idiosyncratic and market risk, second stage identifies latent economy-wide factors.
result Heterogeneous exposures to idiosyncratic and systematic risk across crypto assets.
Study quantifies events leading to Terra project failure in 2022.
problem Terra project's fragility and dependency on Anchor protocol.
method Systematic review of social media news, hourly and transaction data analysis, network science techniques.
result Identified trigger events and analyzed dependency structures using network science.
This paper develops a new framework to assess crypto portfolio risk using simulation methods.
problem Traditional financial risk models fail to capture crypto market characteristics like volatility and contagion.
method The framework integrates four components: volatility stress testing, hedging, contagion modeling, and Monte Carlo simulation.
result The framework robustly assesses crypto portfolio risk and is validated with real data.
Bitcoin reacts positively to USDT minting but not burning, showing state-dependence.
problem Understanding Bitcoin's response to Tether's supply changes.
method Analyzing Bitcoin's intraday price movements in response to USDT minting and burning events.
result Bitcoin's response to USDT minting events declines after 60 minutes and is influenced by investor sentiment and public announcements.
DeFi doesn't fully remove trust, showing run risk and personal character's importance.
problem The need for trust in DeFi despite its code-based approach.
method Natural experiment revealing identities of DeFi participants, including a criminal.
result DeFi doesn't fully remove trust, showing run risk and personal character's relevance.
Decentralized finance uses blockchain for $70B in assets, differing from traditional finance.
problem Ensuring compliance and security in decentralized finance.
method Systematic analysis of legal, economic, security, and privacy aspects.
result Decentralized finance offers unique economic effects and security features.
Study analyzes financial intermediation costs in decentralized lending protocols.
problem Understanding the cost of financial intermediation in decentralized lending protocols.
method Analysis of publicly available data on rates, supply, borrow activity, and accounts.
result Ex-post margins are 1% and lower for stablecoin markets.
Study forecasts cryptocurrency returns using LOB data and Hawkes model.
problem Predicting cryptocurrency returns due to their chaotic nature.
method Hawkes model applied to LOB data with COE model.
result Outperforms benchmarks in cryptocurrency return sign forecasting.
DeFi exploits lead to reduced CP spreads, contrary to contagion hypothesis.
problem Vulnerabilities in DeFi destabilize traditional short-term funding markets.
method Analysis of commercial paper spreads and regulatory segmentation.
result DeFi exploits lead to a 'Flight-to-Quality' pattern, narrowing rather than widening CP spreads.
MakerDAO's governance is centralized despite its decentralized claim.
problem Decentralization illusion in Decentralized Finance (DeFi) governance.
method Empirical analysis using financial, transaction, network, and sentiment indicators.
result Centralized governance impacts Maker protocol and voting power distribution.
Ethereum transition to PoS reduces energy consumption and decentralizes the network.
problem Transitioning from proof-of-work to proof-of-stake to reduce energy consumption and decentralize the network.
method Analyzed the impact of the Ethereum transition to proof-of-stake on network performance, competing platforms, and transaction fees.
result The transition to PoS has reduced energy consumption by 99.98% and decreased network concentration.