New models reduce regional inequality by adjusting exchange range and asset distribution bias.
problem Reduction of regional inequality in economic systems.
method Proposed new asset exchange models with spatial exchange range and local support bias to adjust asset distribution and circulation rates.
result Achieved asset distribution from over-concentration to exponential and eventually normal, reducing Gini coefficient.
The study examines relationships between assets in foreign exchange markets using new measures.
problem Quantifying relationships between assets in non-stationary markets.
method Developed transformation equations for means and covariances under changing numeraire.
result Partial correlations between assets remain invariant under numeraire change.
A new method for pricing exchange options under stochastic volatility and jumps.
problem Pricing European and American exchange options with stochastic volatility and jumps.
method Equivalent martingale measure, numeraire choice, integral transforms, Kolmogorov backward equation, integral equations.
result Reduced exchange option pricing to a one-dimensional problem of a call option.
The logistic equation describes wealth condensation in a WAA-enhanced asset exchange model.
problem Analyzing wealth condensation in asset exchange models with wealth advantage.
method Introduced a continuous wealth advantage bias in the YSM, derived a logistic equation for the condensed wealth.
result Condensation of wealth follows a logistic equation in time.
How do individuals accumulate wealth as they interact economically? We outline the consequences of a simple microscopic model in which repeated pairwise exchanges of assets between individuals build the wealth distribution of a population. This distribution is determined for generic exchange rules --- transactions that…
Optimal design of automated market makers for decentralized exchanges.
problem Maximizing utility for liquidity providers in decentralized exchanges.
method Modeling a risk-averse liquidity provider's optimal strategy and the optimal design of automated market makers.
result The optimal unit trading fee increases with asset volatility.
Develops numerical methods for pricing exchange options in a market with limited liquidity.
problem Pricing European style exchange options in a market with finite liquidity.
method Integrates price impact into the dynamics of correlated assets using a controlled variate approach.
result Numerical pricing methods for exchange options are developed and validated.
CFMMs solve complex multi-asset trades via convex optimization.
problem Complex multi-asset trades in decentralized exchanges.
method Formulate multi-asset trades as convex optimization problems.
result Efficiently solve multi-asset trades using convex optimization.
It is known that asset exchange models with symmetric interaction between agents show either a Gibbs/log-normal distribution of assets among the agents or condensation of the entire wealth in the hands of a single agent, depending upon the rules of exchange. Here we explore the effects of introducing asymmetry in the i…
Study examines the impact of employment benefit costs on firm profitability.
problem Impact of employment benefit costs on firm profitability.
method Panel data regression analysis using E-Views.
result There is a significant positive relationship between employment benefit costs and firm profitability.
Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrowers with assets and debt in different currencies should be stronger than in the one-currency case. By combining well-known models by Merton …
SVAR-LiNGAM reveals causal order in crypto-asset markets.
problem Understanding the causal relationships between spot rates and crypto-assets.
method Applied SVAR-LiNGAM to analyze spot exchange rates and crypto-asset exchange rates.
result Causal order found: EUR_USD spot rate -> Bitcoin -> Ethereum -> Ripple.
We propose some kinetic models of wealth exchange and investigate their behavior on directed networks though numerical simulations. We observe that network topology and directedness yields a variety of interesting features in these models. The nature of asset distribution in such directed networks show varied results, …
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.
Numerical method for pricing exchange options with stochastic volatility and jumps.
problem Pricing exchange options under stochastic volatility and jump-diffusion dynamics.
method Method of lines (MOL) approach to simplify and solve the PDEs.
result Characterization of near-maturity American exchange option boundary and impact of model parameters.
Study shows SEC crypto classification led to significant market reactions.
problem Impact of SEC classification of crypto assets as securities.
method Event study methodology focusing on explicitly named crypto assets.
result Significant adverse market reactions, with returns plummeting 12% over one week.
Study exchange option pricing with stochastic volatility and correlation.
problem Pricing exchange options under stochastic volatility and correlation.
method Approximation using a closed-form solution with Taylor expansion.
result Numerical results show the effectiveness of the proposed method.
In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call symmetry property and the duality principle in option pricing. A particular atten…
The study assesses music as an investment asset class using discounted cashflow models.
problem Quantifying the risk and return characteristics of music royalty assets.
method Fitting three discounted cashflow models to Royalty Exchange platform transactions and backtesting performance.
result Life of Rights music assets had risk and return characteristics comparable to stocks in the S\&P500 over 5 years.
This paper compares AMMs and LOBs in exchange mechanisms, formalizing complexity vs. expressiveness trade-offs.
problem Designing efficient exchange mechanisms between assets.
method Formalizes a complexity-approximation trade-off for CFMMs and LOBs, introducing an exchange complexity measure.
result Optimally expressive mechanisms can be designed with minimal complexity, allowing for arbitrary demand curves.
Study compares Web3 tokens to traditional assets, finding similar statistical properties.
problem Understanding statistical properties of Web3 tokens compared to traditional financial assets.
method Statistical analysis of various Web3 tokens across multiple time scales, comparing with traditional financial assets.
result Most Web3 tokens exhibit similar stylized facts to traditional financial assets, including heavy tails and volatility clustering.
New dynamic curves improve cryptocurrency exchange liquidity.
problem Low liquidity and arbitrage opportunities in existing AMMs.
method Dynamic curves adjust AMM function based on market prices.
result Maintains liquidity and total LP value over wide market price ranges.
Automated market-making for CBDCs and stable coins on blockchain.
problem Creating fair exchange rates for digital assets on blockchain.
method Developed an innovative approach for generating fair exchange rates.
result Illustrated the approach's efficacy on G-10 currency exchange rates.
The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the …
This paper addresses AMMs for expiring assets, ensuring liquidity and risk management.
problem AMMs struggle with assets that expire, leading to liquidity issues and risk exposure.
method Combines AMM and limit-order book features, ensuring liveness and dynamic price adjustment.
result A DEX for expiring assets maintains liquidity and risk management.
This study examines how DEXs impact traders' behavior in perpetual futures contracts.
problem Understanding trader behavior in decentralized exchanges.
method Categorizing DEX models and analyzing their impact on trading patterns.
result DEXs, particularly those using VAMM, show differential effects on long and short positions.
This study interprets AMM fees as implied volatility, validating their relevance in digital asset markets.
problem Understanding the volatility of fees in decentralized exchange systems.
method Reinterpreting AMM fees as implied volatility and applying fixed-for-floating swaps to quote and validate these volatilities.
result The implied volatilities of digital assets can be accurately quoted using AMM fees, validating the approach.
Study shows environmental spending positively impacts company profitability.
problem Impact of environmental spending on company profitability.
method Panel data regression analysis using E-Views.
result Environmental spending positively impacts profitability metrics.
Derives Black-Scholes model without stochastic calculus or PDEs.
problem Deriving the Black-Scholes model without advanced math.
method Continuum limit of Binomial tree approach.
result Derives Black-Scholes model and exchange-option generalization.
In recent work, Boltzmann and Fokker-Planck equations were derived for the "Yard-Sale Model" of asset exchange. For the version of the model without redistribution, it was conjectured, based on numerical evidence, that the time-asymptotic state of the model was oligarchy -- complete concentration of wealth by a single …
This paper revisits mean-variance portfolio theory, addressing limitations in diversification models.
problem Current diversification models assume exchangeable asset returns and ignore risk-free assets.
method Analyzes diversification under full information about asset returns and risk, considering both risky and risk-free assets.
result The conventional wisdom of mean-variance portfolio theory is not universally valid, especially when asset returns are not exchangeable.
Optimizes cryptocurrency exchanges' risk management by reducing positions based on leverage.
problem Managing risk in cryptocurrency futures exchanges during large price moves.
method Formulates ADL as an optimization problem to minimize risk of loss, using a water-filling rule to equalize leverage.
result The optimal ADL policy minimizes maximum leverage among participants, providing a transparent and implementable benchmark.
Blockchain trading faces limits due to time-consuming settlement, exposing arbitrageurs to price risk.
problem Time-consuming settlement in blockchain trading limits arbitrage opportunities.
method Analysis of Bitcoin network and order book data.
result Cross-exchange price differences coincide with high settlement latency and low default risk.
Proposes a new method for completing swap cycles in decentralized exchanges.
problem Completing swap cycles in decentralized exchanges efficiently and without slippage.
method Introduces an asset matrix formulation to verify and complete CoW cycles using graph traversal and imbalance correction.
result Demonstrates efficient discovery and insertion of synthetic orders for atomic cycle closure.
Analytical results bound the approach to oligarchy in a modified asset exchange model.
problem Analyzing economic inequality in a modified asset exchange model.
method Analytical results using Gini coefficient and differential inequalities.
result The Gini coefficient is bounded by a first-order differential inequality.
Complex contagion model explains financial fire sales through continuous asset prices.
problem Modeling financial fire sales with a continuum of asset prices.
method Developed a threshold model of continuous-state cascades using real values for asset prices.
result Discretization approach accurately replicates the distribution of defaulted banks and asset prices.
This paper introduces a new metric to improve the performance of AMMs over centralised exchanges.
problem Lack of a precise metric to compare AMM performance with centralised exchanges.
method Introduces Rebalancing-versus-Rebalancing (RVR) to measure AMM performance more accurately.
result AMMs can offer superior execution and rebalancing efficiency compared to centralised exchanges, even with low fees.
We look at how asset exchange models can be mapped to random iterated function systems (IFS) giving new insights into the dynamics of wealth accumulation in such models. In particular, we focus on the "yard-sale" (winner gets a random fraction of the poorer players wealth) and the "theft-and-fraud" (winner gets a rando…
Bayesian methods improve Quanto option pricing accuracy.
problem Improving Quanto option pricing accuracy using Bayesian methods.
method Bayesian estimation of parameters and Monte Carlo simulation.
result Bayesian methods outperform other methods in Quanto option pricing.
Model estimates foreign exchange reserve compositions of undisclosed central banks.
problem Limited information on central bank reserve compositions hinders analysis.
method Hidden Markov Model relating portfolio valuation to exchange rates.
result China's reserve composition likely matches global average, while Singapore holds fewer US dollars.
We study two kinds of economic exchange, additive and multiplicative, in a system of N agents. The work is divided in two parts, in the first one, the agents are free to interact with each other. The system evolves to a Boltzmann-Gibbs distribution with additive exchange and condenses with a multiplicative one. If bank…
Pareto law, which states that wealth distribution in societies have a power-law tail, has been a subject of intensive investigations in statistical physics community. Several models have been employed to explain this behavior. However, most of the agent based models assume the conservation of number of agents and wealt…
This paper optimizes crypto portfolios and valuates crypto options.
problem High volatility and lack of standard pricing models for crypto assets.
method Optimization techniques to minimize tail risk, dynamic pricing model for crypto assets, Esscher transform for fair valuation.
result Optimized crypto portfolios outperform major stock indices.
We use the correlation matrix of stocks returns in order to create maps of the São Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data reffer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of thr…
Study collective pricing and hedging with admissible risk exchanges forming a finitely generated convex cone.
problem Collective pricing and hedging with exchanges forming a finitely generated convex cone.
method Extend collective First Fundamental Theorem of Asset Pricing and pricing-hedging duality.
result No collective arbitrage implies the closedness of the aggregate feasibility cone.
Study examines trading costs on Uniswap, finding adversarial slippage is significant for large trades and certain assets.
problem Analyzing costs and slippage in decentralized exchanges (DEXs).
method Empirical evaluation of Uniswap's USDC-ETH and PEPE-ETH pools, calculating slippage and reordering slippage.
result Adversarial slippage is significant for large trades and certain assets like PEPE.
A new method for choosing strike conventions in exchange option pricing is proposed.
problem Choosing appropriate strikes for implied volatility inputs in exotic multi-asset derivatives.
method Constructing an optimal log-linear strike convention using Malliavin Calculus.
result The optimal strike convention minimizes the difference between Margrabe computed price and true option price.
This paper develops models for cryptocurrency trading and evaluates Bitcoin options.
problem Evaluating European options on Bitcoin with realistic models.
method Jump-diffusion models for cryptocurrency dynamics.
result Models accurately predict Bitcoin option prices.