TLMG4Eth combines language and graph models for Ethereum fraud detection.
problem Current fraud detection methods fail to consider semantic and similarity patterns in Ethereum transactions.
method TLMG4Eth uses a transaction language model and graph-based methods to capture semantic, similarity, and structural features.
result TLMG4Eth detects anomalies in Ethereum transactions more effectively than existing methods.
This research develops heuristics to detect CoinJoin transactions on Bitcoin blockchain.
problem Compromised privacy in Bitcoin transactions due to CoinJoin.
method Analyzed open-source CoinJoin implementations to develop heuristics.
result Refined heuristics for identifying CoinJoin transactions on the blockchain.
Investment strategy optimized in markets with transaction costs and search delays.
problem Maximizing wealth in an illiquid market with transaction costs and search frictions.
method Characterized no-trade region and provided asymptotic expansions of value function for small transaction costs.
result The effects of transaction costs are more pronounced in illiquid markets.
Transaction costs appear in financial markets in more than one form. There are several results in the literature on small proportional transaction cost and not that many on fixed transaction cost. In the present work, we heuristically study the effect of both types of transaction cost by focusing on a portfolio optimiz…
The study examines pricing American options with both exogenous and endogenous transaction costs.
problem Pricing American options with transaction costs and liquidity risks.
method Modeling liquidity risks as a mean-reverting process and transaction costs as proportional to trading amount. Two nonlinear PDEs are used to characterize option values. Numerical solution via ADI method and model calibration using maximum likelihood estimation.
result The model incorporating liquidity risks significantly outperforms the Leland model.
Study reveals dynamic causal relationships between Ethereum transaction fees and economic subsystems.
problem Historical gas fee volatility caused economic disequilibria and stakeholder challenges.
method Time-varying Granger causality analysis using data on active wallets and transaction volume.
result Dynamic bidirectional causal relationships between transaction fees and economic subsystems across Ethereum.
The paper bridges stochastic control and deep hedging for European call options with transaction costs.
problem Hedging and pricing European call options with proportional transaction costs.
method Complementary perspectives: stochastic control and deep hedging. Two architectures proposed: NTBN-Delta and WW-NTBN.
result WW-NTBN converges faster, matches no-transaction bands more closely, and generalizes well across transaction cost regimes.
New method improves blockchain analysis by handling temporal changes and scalability.
problem Limited focus on evolving nature and scalability of blockchain transaction networks.
method Incremental approach with Metropolis-Hastings random walks.
result Comparable performance in node classification tasks with reduced computational overhead.
In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using linear transaction costs. The reason lies in the specification of the budget constraint, which is no longer linear. We …
This survey analyzes knowledge discovery in cryptocurrency transactions.
problem Understanding user behaviors and collective actions in cryptocurrency transactions.
method Data mining techniques and literature review.
result Classified existing research into three aspects and discussed major findings.
Deep models for financial transactions are vulnerable to adversarial attacks, especially when adding transaction tokens.
problem Vulnerability of deep models to adversarial attacks on financial transaction records.
method Examine adversarial attacks and defenses on transaction records data, considering black-box attacks and adding transaction tokens.
result A few generated transactions can fool a deep-learning model, highlighting the need for robustness improvements.
Improved option pricing model with transaction costs.
problem Inaccurate option pricing without considering transaction costs.
method Developed a replicating strategy with exponentially decreasing transaction costs.
result Validated the effectiveness of the new model through simulations.
The paper optimizes portfolios with transaction costs in a large asset universe.
problem Optimizing portfolios with transaction costs in a large asset universe.
method Mean-variance optimization with nonconvex penalty for proportional and quadratic transaction costs.
result The proposed models show satisfactory performance and highlight the importance of transaction costs.
Study how transaction costs impact stock returns and holdings in equilibrium.
problem Impact of quadratic transaction costs on equilibrium stock returns and holdings.
method Developed a continuous-time risk-sharing model with FBSDEs to characterize equilibrium stock holdings and trading rates.
result Equilibrium stock holdings and trading rates are uniquely determined by FBSDEs, and equilibrium return by a system of coupled FBSDEs.
We prove the existence of an equilibrium in a model with transaction costs and price impact where two agents are incentivized to trade towards a target. The two types of frictions -- price impact and transaction costs -- lead the agents to two distinct changes in their optimal investment approach: price impact causes a…
Bank transactions help predict macroeconomic indexes faster and more accurately.
problem Lag in macroeconomic index availability and autoregressive models' limitations in complex scenarios.
method Use financial transactions data to estimate macroeconomic indexes using neural networks and smart sampling.
result Neural network approach outperforms baseline methods on hand-crafted features based on transactions.
Ethereum block builders can earn up to $14M/month by reordering transactions, harming users.
problem Block builders can exploit transaction reordering to earn significant profits, harming users.
method Estimation of MEV payments and analysis of reordering effects.
result Block builders can earn up to $14M/month by reordering transactions, skewing the distribution.
Generative model predicts NFT collection transactions based on early history.
problem Predict future transactions of newly minted NFT collections.
method Unsupervised learning to extract contexts, then generate future transactions.
result Projected market value of new NFT collections.
We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. Following the mixture of distributions hypothesis, we use trading volumes and the number of transactions as proxy for the rate of information arrivals affecting stock volatilit…
Unified asymptotics for investment in markets with transaction costs and search frictions.
problem Investment in markets with transaction costs and search frictions.
method Power-utility maximization problem with proportional transaction costs and Poisson-triggered trades, analyzed using a novel asymptotic framework.
result Explicit asymptotics for the no-trade region and value function derived.
Investigates how trading boundaries change with transaction costs in portfolio selection.
problem Investigates how trading boundaries vary with transaction costs in portfolio selection.
method Analyzes Merton's problem with proportional transaction costs, showing monotonicity of trading boundaries.
result Cost-adjusted trading boundaries are monotone in transaction costs, with implications for the Merton line.
The M and A transactions represent a wide range of unique business optimization opportunities in the corporate transformation deals, which are usually characterized by the high level of total risk. The M and A transactions can be successfully implemented by taking to an account the size of investments, purchase price, …
Cohort analysis speeds up Bitcoin blockchain data queries.
problem Efficiently querying Bitcoin blockchain data for economic insights.
method Cohort analysis applied to Bitcoin transaction data.
result Creation of datasets and visualizations for key Bitcoin transaction indicators.
We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are the maximum between proportional transaction costs and a fixed transaction costs. We prove that in the continuous time Black--Scholes (BS) mo…
Money flow models are essential tools to understand different economical phenomena, like saving propensities and wealth distributions. In spite of their importance, most of them are based on synthetic transaction networks with simple topologies, e.g. random or scale-free ones, as the characterisation of real networks i…
LineMVGNN improves AML detection by integrating multi-view graph learning.
problem Ineffective and scalable AML systems using rule-based methods.
method LineMVGNN combines multi-view graph neural networks with line-graph features.
result LineMVGNN outperforms state-of-the-art methods in detecting money laundering.
Study on-chain peak shaving to reduce Ethereum transaction costs.
problem Reducing transaction costs in blockchain networks, especially during congested periods.
method Analyzing transaction-level data from multiple firms across various industries to understand scheduling responses and cost management strategies.
result Firms' scheduling responses to congestion vary, leading to different fee savings and residual costs.
A digital euro protocol offers complete privacy and offline transactions using Groth-Sahai proofs.
problem Fragile digital payment solutions with privacy and offline transaction issues.
method Design and implementation of a Central Bank Digital Currency (CBDC) using Groth-Sahai zero-knowledge proofs.
result Complete privacy and offline transaction capability with retroactive double-spending detection.
We consider a Nash equilibrium between two high-frequency traders in a simple market impact model with transient price impact and additional quadratic transaction costs. Extending a result by Schöneborn (2008), we prove existence and uniqueness of the Nash equilibrium and show that for small transaction costs the high-…
This paper examines challenges in analyzing NFT transaction data.
problem Challenges in analyzing NFT transaction data due to non-fungible nature and blockchain.
method Analysis of transaction history of eight NFT collections.
result Illustrates challenges such as price differentiation, lateral swaps, and volatility.
New tontine model with transaction costs for retirees.
problem Maximizing consumption and bequest utilities for retirees.
method Formulated as a stochastic and impulse control problem, characterized by viscosity solutions.
result V-shaped transaction region with two stages: smoothing and gambling.
The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the equally-weighted portfolio, the entropy-weighted portfolio, and the diversity-weighted portfolio) in the presence of dividends and transact…
This paper proposes a new method to optimize portfolio allocation with transaction costs using Wiener chaos expansion.
problem Optimizing portfolio allocation with transaction costs in multi-period settings.
method Wiener chaos expansion approach to represent and solve the optimization problem.
result The proposed method finds an optimal strategy for portfolio allocation with transaction costs.
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed transaction cost. The objective is to maximize the discounted revenue obtained b…
We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalization governed by transaction costs. We show how the ex ante incorporation of transaction costs shifts optimal portfolios towards regularized …
Modeling insider trading with transaction costs and fair pricing.
problem Maximizing profits for an informed trader in a market with transaction costs and fair pricing.
method Single auction model and continuous time analogue, analyzing equilibrium behavior with polynomial and differential equations.
result Equilibrium trading strategy and pricing rules are affected by transaction costs, revealing an information gap.
We study the arbitrage opportunities in the presence of transaction costs in a sequence of binary markets approximating the fractional Black-Scholes model. This approximating sequence was constructed by Sottinen and named fractional binary markets. Since, in the frictionless case, these markets admit arbitrage, we aim …
We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive exogenous, unspanned income and choose between consumption and investing into an annuity.…
Machine learning and data mining techniques have been used extensively in order to detect credit card frauds. However, most studies consider credit card transactions as isolated events and not as a sequence of transactions. In this framework, we model a sequence of credit card transactions from three different perspect…
Motivated by how transaction amount constrain trading volume and price volatility in stock market, we, in this paper, study the relation between volume and price if amount of transaction is given. We find that accumulative trading volume gradually emerges a kurtosis near the price mean value over a trading price range …
With the explosive growth of e-commerce and the booming of e-payment, detecting online transaction fraud in real time has become increasingly important to Fintech business. To tackle this problem, we introduce the TitAnt, a transaction fraud detection system deployed in Ant Financial, one of the largest Fintech compani…
We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance n−1 between trading times. We derive a non trivial hedging error for a class of European options with convex payoff in the…
Equilibrium found for multi-agent trading with transaction costs.
problem Designing a trading equilibrium for multiple agents with transaction costs.
method Proving the existence of a continuous-time Radner equilibrium with incentives and transaction costs.
result Each agent optimally trades for a specific time interval before stopping, influenced by transaction costs.
This study compares decentralized banks and finds some lack decentralization.
problem Decentralized banks do not fully decentralize transactions as expected.
method Network analysis of transaction data from four banks using core-periphery features.
result MakerDao and Compound are more decentralized than Aave and Liquity.
Credit networks represent a way of modeling trust between entities in a network. Nodes in the network print their own currency and trust each other for a certain amount of each other's currency. This allows the network to serve as a decentralized payment infrastructure---arbitrary payments can be routed through the net…
Study XRP network, propose Flow Index to analyze transaction frequencies.
problem Analyze transaction frequencies in XRP network.
method Analyze XRP transaction history, propose Flow Index.
result Flow Index reveals bow-tie/walnut structure in XRP network.
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this case the shortfall risk is a limit of similar terms in an appropriate sequence of binomial models. We also prove that in the continuous time …
Study analyzes market equilibrium returns with price impact and transaction costs.
problem Modeling equilibrium returns in markets with strategic order placement and transaction costs.
method Analyzes frictionless and transaction-cost markets, characterizes Nash equilibrium via FBSDEs.
result Equilibrium returns are affected by transaction costs, especially with noise traders.