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.
This research develops heuristics to detect CoinJoin transactions on Bitcoin blockchain.
New method improves blockchain analysis by handling temporal changes and scalability.
Cohort analysis speeds up Bitcoin blockchain data queries.
This study compares decentralized banks and finds some lack decentralization.
This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return vo…
Investment strategy optimized in markets with transaction costs and search delays.
Analyzes transaction costs for corporate bonds using a new analytical methodology.
We generalize the momentum indicator idea taking into account the volume of transactions as a multiplicative factor. We compare returns obtained following strategies based on the classical or the generalized technical analysis, taking into account a sort of risk investor criterion.
This paper creates a comprehensive BTC transaction network dataset spanning 15 years.
Study finds Aave token network has core-periphery structure, with high decentralization predicting better returns.
Using elementary arguments, we show how to derive -error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. For utilities with bounded risk aversion, these estimates yield lower bounds for the frictional value function, which pave the way for its as…
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…
The paper develops an expansion for optimizing portfolios with small quadratic transaction costs.
We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the transaction cost parameter. Also, we can explicitly calculate the coefficients of …
PDE model predicts Bitcoin price using transaction network and sentiment data.
Study XRP network, propose Flow Index to analyze transaction frequencies.
Study reveals dynamic causal relationships between Ethereum transaction fees and economic subsystems.
Equilibrium found for multi-agent trading with transaction costs.
The paper analyzes transaction fees on blockchains using a priority queue model.
We employ perturbation analysis technique to study multi-asset portfolio optimisation with transaction cost. We allow for correlations in risky assets and obtain optimal trading methods for general utility functions. Our analytical results are supported by numerical simulations in the context of the Long Term Growth Mo…
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when th…
Study reveals centralization in Bitcoin transactions involving retail users.
Optimizes portfolios with costs, showing existence of optimal strategies.
We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with transaction costs. The objective is to seek the optimal investment strategy that maximizes the prospect value of the investor's final wealth. W…
Modeling insider trading with transaction costs and fair pricing.
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transactions is used to obtain a tractable model. A general expansion theory is de…
We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportional transaction cost. The utility function considered is power utility. We provide a heuristic and a rigorous derivation of the asymptotic ex…
In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the option price is obtained. While the dominant term in the expansion it is shown to…
Transactional network data can be thought of as a list of one-to-many communications(e.g., email) between nodes in a social network. Most social network models convert this type of data into binary relations between pairs of nodes. We develop a latent mixed membership model capable of modeling richer forms of transacti…
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, …
Study portfolio selection with exogenous and endogenous transaction costs using deep learning.
A new approach models credit card transactions using HMMs to detect fraud.
This paper detects market manipulation in Mt. Gox's Bitcoin exchange transactions.
This paper presents a large Bitcoin transaction graph dataset for research.
Human stablecoin transactions predict political risk in cryptocurrency markets.
Develops a new model to optimize trading in markets.
The possibility to analyze everyday monetary transactions is limited by the scarcity of available data, as this kind of information is usually considered highly sensitive. Present econophysics models are usually employed on presumed random networks of interacting agents, and only macroscopic properties (e.g. the result…
This work introduces uncertainty principles to mitigate Maximal Extractable Value in blockchain systems.
The study examines cryptocurrency market activity, revealing multifractal inter-transaction times and challenging traditional statistical models.
The aim of this work is to extend the capital growth theory developed by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the notion of a numeraire portfolio proposed by Long and show how such portfolios can be used for constructing growth-optimal inv…
Ethereum trends analyzed through blockchain transactions and Google searches.
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered…
This paper analyzes Ethereum blockchain using topology and geometry to uncover crypto-token price dynamics.
Paper analyzes liquidity for everlasting options in DeFi, offering strategies to reduce costs.
Paper proposes a new topology for AML analysis using Poincaré embeddings.
Study optimal investment and consumption strategies with various transaction costs.
ETNA model predicts demographic attributes from transactions.
In this paper we present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model we used an analogy between the electrical field produced by a system of charges and the overall of economic and financial information of the shares transactions fr…