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.
Digital money could reduce germ spread during coronavirus.
Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected Shortfall properties for the major digital currencies, Bitcoin, Ethereum, Litecoin, and Ripple. The methodology used i…
SFC aims to protect the Amazon with a digital currency and smart contracts.
Study assesses impact of CBDC on financial stability in dual-currency economy.
Automated market-making for CBDCs and stable coins on blockchain.
New digital currency aims for equal wealth distribution.
Paper develops security model and pricing for stable digital currency in quantum blockchain network.
This paper explores IT governance for CBDC adoption in financial markets.
The production and consumption of information about Bitcoin and other digital-, or 'crypto'-, currencies have grown together with their market capitalisation. However, a systematic investigation of the relationship between online attention and market dynamics, across multiple digital currencies, is still lacking. Here,…
The paper reveals the hidden costs of digitizing commodity money and proposes a new stable-coin system.
Digital currencies exhibit multifractality due to heavy-tailed returns and temporal correlations.
A new method streamlines digital payment programming using smart contracts.
We introduce blockchains and distributed ledgers and describe their potential applications to money and banking. The analysis compares public and private ledgers and outlines the suitability of various types of ledgers for different purposes. Furthermore, a few historical prototypes of blockchains and distributed ledge…
Trading bubbles form when traders adapt to price mismatches.
The abstract covers various aspects of eBusiness and eGovernment, including digital currencies, m-government services, gender inclusivity, eLearning, export performance, SME digitalization, and banking customer behavior.
We investigate 17 digital currencies making an analogy with quantum systems and develop the concept of eigenportfolios. We show that the density of states of the correlation matrix of these assets shows a behavior between that of the Wishart ensemble and one whose elements are Cauchy distributed. A metric for the parti…
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…
Examines various types of cryptocurrencies and their economic properties.
India's tax on crypto income sparks debate on its future.
In this paper, we will describe a concept of a cryptocurrency issuance protocol which supports digital currencies in a Proof-of-Work (< PoW >) like manner. However, the methods assume alternative utilization of assets used for cryptocurrency creation (rather than purchasing electricity necessary for < mining >).
This research predicts Bitcoin prices using wavelet and deep stacking approach.
Interest surrounding cryptocurrencies, digital or virtual currencies that are used as a medium for financial transactions, has grown tremendously in recent years. The anonymity surrounding these currencies makes investors particularly susceptible to fraud---such as "pump and dump" scams---where the goal is to artificia…
Study examines Trump's crypto influence on markets, revealing conflicts and vulnerabilities.
A digital euro protocol offers complete privacy and offline transactions using Groth-Sahai proofs.
This paper examines how wash traders exploit market conditions in Bitcoin, finding strategic timing and spillover effects.
This paper is the first attempt to formalize a new field of economics; studding the Intangibles Goods available on the Internet. We are taking advantage of the digital world's specific rules, in particular the zero marginal cost, to propose a theory of trading & sharing unified. A function based money is created as a w…
What is the role of social interactions in the creation of price bubbles? Answering this question requires obtaining collective behavioural traces generated by the activity of a large number of actors. Digital currencies offer a unique possibility to measure socio-economic signals from such digital traces. Here, we foc…
FTX's failure linked to Terra-Luna collapse and Binance's influence.
Model predicts depegging dynamics of stablecoins like Tether and Bitcoin.
There are no solid arguments to sustain that digital currencies are the future of online payments or the disruptive technology that some of its former participants declared when used to face critiques. This paper aims to solve the cryptocurrency puzzle from a behavioral finance perspective by finding the parallelism be…
Study option pricing in sideways markets and target zones.
It is assumed that under suitable economic and information-theoretic conditions, market exchange rates are free from arbitrage. Commodity markets in which trades occur over a complete graph are shown to be trivial. We therefore examine the vector space of no-arbitrage exchange rate ensembles over an arbitrary connected…
A shallow Bi-LSTM model forecasts Bitcoin prices using engineered features.
Survey of stablecoins to reduce cryptocurrency volatility.
Algorithmic stablecoins optimize monetary policy to balance price stability.
Debt-financed collateral in DeFi increases stability risks.
The efficient market hypothesis has far-reaching implications for financial trading and market stability. Whether or not cryptocurrencies are informationally efficient has therefore been the subject of intense recent investigation. Here, we use permutation entropy and statistical complexity over sliding time-windows of…
We present a simplistic model of the competition between different currencies. Each individual is free to choose the currency that minimizes his transaction costs, which arise whenever his exchanging relations have chosen a different currency. We show that competition between currencies does not necessarily converge to…
By analyzing the foreign exchange market data of various currencies, we derive a hierarchical taxonomy of currencies constructing minimal-spanning trees. Clustered structure of the currencies and the key currency in each cluster are found. The clusters match nicely with the geographical regions of corresponding countri…
Paper examines pricing and hedging for cross-currency swaps referencing backward-looking rates.
Bitcoins have emerged as a possible competitor to usual currencies, but other crypto-currencies have likewise appeared as competitors to the Bitcoin currency. The expanding market of crypto-currencies now involves capital equivalent to US Dollars, providing academia with an unusual opportunity to study the em…
Abstract framework for cross-currency interest rate contracts.
Brazil proposes a new BRICS trade currency to dominate international trade.
We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or halfway between the old allowed prices. This generates price barriers where the best …
World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign exchange rates within the basket of 60 currencies in the period December 1998 -- M…
Develops a new model for cross-currency derivatives pricing.
A large set of daily FOREX time series is analyzed. The corresponding correlation matrices (CM) are constructed for USD, EUR and PLZ used as the base currencies. The triangle rule is interpreted as constraints reducing the number of independent returns. The CM spectrum is computed and compared with the cases of shuffle…
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…