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arXiv research

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.

168,694 papers · 148 categories

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3 results for “depegging”

Detecting Depegs: Towards Safer Passive Liquidity Provision on Curve Financeq-fin.CP

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.

Curve Finance StableSwap Depeg Detection Bayesian Online Changepoint Detection Liquidity Providers

2023-06-18abs ↗pdf ↗

A Multivariate Hawkes Process Model for Stablecoin-Cryptocurrency Depegging Event Dynamicsq-fin.ST

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.

Hawkes process stablecoins depegging cryptocurrencies

2022-05-12abs ↗pdf ↗

Information Structures in Stablecoin Marketsq-fin.TR

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.

Stablecoins Runs Large Sales Reserve Quality Precise Signals

2024-07-23abs ↗pdf ↗