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.
New machine learning model detects informal settlements in developing countries using low-res satellite data.
problem Lack of detailed maps for vulnerable populations in developing countries.
method Developed a new machine learning data set and demonstrated effective classification schemes for low-resolution satellite imagery.
result It is possible to detect informal settlements using low-resolution satellite data, making it more accessible for NGOs.
Solves superhedging for European options in a model with transient price impact and settlement requirements.
problem Superhedging European options in a model with transient price impact and settlement requirements.
method Analyzes geometric dynamic programming with reduced effective coordinates, considering non-linear price impact and resilience functions.
result Viscosity solutions describe minimal superhedging prices, governed by transient price impact and settlement specifications.
New model predicts informal settlements using street intersections data.
problem Identifying and predicting informal settlements in cities.
method Spatial statistics and machine learning (MNL and ANN).
result High validity and accuracy in identifying and predicting informality.
Detects and maps informal settlements using satellite data.
problem Mapping informal settlements for aid distribution.
method Combining satellite data and machine learning for roofing material detection.
result Effective aid distribution through accurate settlement mapping.
Detects and maps informal settlements in developing countries using satellite imagery.
problem Mapping informal settlements for aid delivery.
method Two methods: LR Sentinel-2 imagery and VHR satellite imagery.
result Successfully mapped informal settlements with LR satellite imagery.
Study cash-flow forecasting for derivatives, aligning with replication strategy and addressing timing frictions.
problem Inconsistencies in cash-flow forecasting under different measures and stochastic payment times.
method Use discounting sensitivities (funding-curve hedge ratios) for replication and propose a liquidity valuation adjustment.
result Aligns forecasting with replication strategy and avoids measure-mixing issues.
Prediction markets can be manipulated by traders who can move contract settlements, harming price discovery.
problem Manipulation of settlement times in prediction markets leads to unfair wealth transfer and harms price discovery.
method Developed a model showing how settlement manipulation transfers wealth and harms price discovery, and observed real-world effects on Polymarket's Bitcoin contract.
result Manipulators capture significant profits from retail traders, especially when settlement times are short.
The study examines how modernizing settlement infrastructure affects inside money elasticity and network efficiency.
problem Understanding the impact of modernizing settlement infrastructure on inside money elasticity and network efficiency.
method Constructed a panel dataset of 809 reform events across 24 advanced economies, decomposed into economic channels and phases, and used a T2S event-study and synthetic control method.
result Modernizing settlement infrastructure generates network-conditional balance sheet efficiencies, with an estimated +13.4 percent efficiency recovery from 2027-2032.
Gene expression programming predicts compression index of fine-grained soils efficiently.
problem Estimating the compression index of fine-grained soils is costly and time-consuming.
method Developed a gene expression programming model using soil parameters.
result The GEP model predicts the compression index more accurately than conventional methods.
The study analyzes how bonus-malus systems and delayed claims settlement affect insurance companies' financial stability.
problem Analyzing the impact of bonus-malus systems and delayed claims settlement on insurance companies' financial stability.
method Examined a discrete-time risk model with time-varying premiums, evaluating two types of claims and settlement delays.
result Delayed settlement of by-claims leads to lower ruin probabilities under specific assumptions.
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.
PredictionMarketBench benchmarks trading agents on prediction markets.
problem Evaluating trading agents on prediction markets with realistic conditions.
method Deterministic replay of historical data, execution-realistic simulator, agent interface.
result Fee-aware algorithmic strategies outperform naive agents in volatile episodes.
We depart from the usual methods for pricing contracts with the counterparty credit risk found in most of the existing literature. In effect, typically, these models do not account for either systemic effects or at-first-default contagion and postulate that the contract value at default equals either the risk-free valu…
This study categorizes RWA tokenization challenges and solutions.
problem Navigating the gap between on-chain deterministic code and off-chain probabilistic reality.
method Taxonomy and comparative analysis of RWA protocols, legal and technical standards.
result RWA tokenization requires overcoming legal and technical interoperability issues.
The paper categorizes and analyzes various event-linked perpetual futures contracts.
problem Developing a risk-design framework for complex event-linked perpetual futures.
method Formal taxonomy of seven pure-form canonical variants, organized along four design axes.
result Detailed analysis of microstructure properties and limitations of various variants.
In his book with Alan Jolis, Vers un monde sans pauvreté (1997) Yunus gives the example of a microcredit loan of 1000BDT reimbursed via 50 weekly settlements of 22BDT and correctly claims that this corresponds to the annual interest rate of 20%. But this is without taking into account that if the borrower has good reas…
Actuaries tackle loss of earning capacity in Denmark, balancing public benefits and private insurance.
problem Balancing public benefits and private insurance for loss of earning capacity in Denmark.
method Innovative approaches from researchers and practitioners, leveraging actuarial expertise.
result Development of equitable, data-driven solutions to mitigate risk and enhance societal well-being.
Paper introduces Cycles Protocol to integrate trade credit into market clearing.
problem Liquidity embedded in trade credit outside formal settlement infrastructures.
method Distributed, multilateral clearing mechanism based on double-entry accounting.
result Cycles Protocol maximizes balance sheet compression without redistributing counterparty risk.
Axient handles debt-free finality for leveraged binary event markets.
problem Managing debt and finality in leveraged event positions with uncertain outcomes.
method Axient separates leverage maturity from claim maturity, using a protocol to select smallest sale covering debt.
result Proves robust ex-ante debt clearing and debt-free-finality invariants, maximal residual spot exposure, and payout-vector invariance.
Axient creates a blockchain protocol for managing leveraged event markets, separating roles and formalizing capital management.
problem Managing credit and losses in leveraged event markets on a blockchain.
method Develops a venue-agnostic on-chain credit architecture, formalizing roles and capital management.
result Establishes a balanced accounting system, settlement-confirmed debt priority, and loss-allocation mechanisms.
Panoptic trades options without oracles on Ethereum.
problem Trading options without relying on oracles.
method Perpetual, trustless, instant-settlement protocol on Ethereum.
result Trustless, permissionless trading of options on Uniswap v3.
Develop gradient boosting for estimating covariate-dependent GP distributions in insurance.
problem Estimating covariate-dependent Generalized Pareto distributions in insurance.
method Developing a statistical learning theory for gradient boosting.
result Deriving non-asymptotic error bounds for the boosting estimator.
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.
Model for commodity forward prices with stochastic volatility and decorrelation.
problem Capturing dynamics of commodity forward prices and volatility.
method Two-factor model with stochastic volatility and decorrelation, numerical and Monte Carlo methods.
result Efficient pricing of various derivative payoffs.
Optimal market making improves liquidity in prediction markets.
problem Efficient price discovery in prediction markets.
method Stochastic control framework for optimal market making.
result Optimal market quotes improve downside protection and profit.
New model bridges pricing and reserving for insurance claims.
problem Incomplete claim data due to reporting and settlement delays.
method Develops an occurrence and development model to estimate both claims and premiums.
result Effective resolution of pricing and reserving inconsistencies.
Using open source data, we observe the fascinating dynamics of nighttime light. Following a global economic regime shift, the planetary center of light can be seen moving eastwards at a pace of about 60 km per year. Introducing spatial light Gini coefficients, we find a universal pattern of human settlements across dif…
We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary number of parties is involved and each of them is allowed to make a wide array of decisions at any time, not restricted to simply `exercising t…
Polymarket-v1 Database tracks 1.2B trades across 1.3M markets with 100% ground-truth direction.
problem Lack of ground-truth data in prediction markets archives.
method Ground-truth archive of 1.2B trades from Polymarket's CTF Exchange.
result Ground-truth data reveals systematic errors in microstructure metrics.
FluxLayer solves cross-chain liquidity fragmentation for better MEV capture.
problem Cross-chain fragmented liquidity and MEV optimization.
method Three-layer framework integrating settlement, intent, and leverage mechanisms.
result FluxLayer enhances cross-chain MEV by capturing more arbitrage opportunities.
High-value transactions between Australian banks are settled in the Reserve Bank Information and Transfer System (RITS) administered by the Reserve Bank of Australia. RITS operates on a real-time gross settlement (RTGS) basis and settles payments sourced from the SWIFT, the Austraclear, and the interbank transactions e…
Paper introduces a model to capture power option volatility.
problem Capturing the volatility of power options with overlapping futures.
method Additive two-factor model based on Normal Inverse Gaussian Lévy processes, calibrated to no-arbitrage constraints.
result Model accurately reproduces different IV profiles of power options.
This paper shows how we can build a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we are able to redefine concepts like account balance, yield curve and the law of diminishing returns. The model provides us with a …
In [1] we presented a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we were able to redefine concepts like account balance, yield curve and the law of diminishing returns. In this paper we establish a general equil…
Proposes a venture bank using equity default swaps to multiply VC capital.
problem Lack of public markets for venture investments and derivative instruments.
method Introduces equity default swaps and a clawback lien to create a new derivative instrument (EDCS).
result EDCS can multiply VC capital and provide full coverage, with a clawback feature to prevent failure incentives.
This study reviews decentralized prediction markets, identifying key design variants and open problems.
problem Designing and implementing decentralized prediction markets with desirable properties.
method Modular workflow comprising eight stages: infrastructure, market topic, share structure, pricing, market initialization, trading, resolution, settlement, and archiving. Analysis of design variants and trade-offs.
result Identification of open problems for researchers in the field of decentralized prediction markets.
Tokenized RWAs face liquidity issues despite promising markets.
problem Low trading volumes and limited investor participation in tokenized assets.
method Empirical analysis of tokenized real estate, private credit, and treasury funds.
result Most tokenized assets exhibit low transfer activity and limited secondary trading.
A novel framework combines deep metric learning and conditional random field for hyperspectral image classification.
problem Improving classification performance in hyperspectral image processing with limited labeled data.
method Combines spectrum-based deep metric learning and conditional random field. Uses center loss for spectrum-based features and Gaussian edge potentials for pixel-wise classification.
result Demonstrates advantages in classification accuracy and computation cost compared to classical methods.
SVMs improve forest fire detection accuracy on challenging datasets.
problem Rapid and accurate detection of forest fires.
method Training SVMs on labeled fire image datasets, focusing on data preprocessing, feature extraction, and model training.
result SVMs enhance detection accuracy on complex datasets, revealing key parameters affecting performance.
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.
Study finds discrepancies in open interest reporting for Bitcoin perpetual swaps.
problem Misquoted open interest in perpetual swaps leads to liquidity and solvency concerns.
method Analyzed tick-by-tick data from seven exchanges to identify discrepancies.
result Open interest reported by exchanges varies widely, some implausible.
Study reveals a hidden cost in derivatives markets through option-implied discount factors.
problem The hidden cost in derivatives markets, not visible in price space.
method Minute-level NBBO data on options, reduced-form specification linking carry gap to implementation risk, trading frictions, and financial conditions.
result An annualized carry gap exists, linked to implementation risk and financial conditions.
Optimizes insurance processing capacity to minimize costs.
problem Processing delays and backlogs in insurance claims.
method Optimal capacity selection to minimize delay-adjusted and fixed costs.
result Minimizes claims costs by balancing processing capacity and delays.
Recently, there has been a growing interest in network research, especially in these fields of biology, computer science, and sociology. It is natural to address complex financial issues such as the European sovereign debt crisis from the perspective of network. In this article, we construct a network model according t…
This paper explores IT governance for CBDC adoption in financial markets.
problem Adopting CBDC requires new IT governance models in financial markets.
method Systematic Literature Review (SLR) of 14 studies on IT resources and governance models.
result Many IT resources and preliminary IT designs for CBDC governance identified.
This paper explores blockchains and distributed ledgers, their applications, and historical prototypes.
problem Exploring the potential applications of blockchains and distributed ledgers in finance.
method Comparison of public and private ledgers, historical prototypes, and potential applications.
result Monetary circuits are natural applications for blockchains.
SynthETIC simulates insurance claims with customizable features.
problem Lack of synthetic data for insurance claim analysis.
method Develops a new simulator for individual insurance claims with customizable features.
result SynthETIC fills a gap in actuarial toolkit for synthetic data.