Study examines cryptoasset service providers in Austria, revealing global integration and distinct responses to market shocks.
problem Understanding cryptoasset integration and stress behavior in national economies.
method Directly identified on-chain addresses of Austrian crypto-asset service providers, reconstructing transaction activity across multiple cryptocurrencies.
result Austrian crypto-asset service providers are globally integrated, with distinct responses to market shocks.
Estimates price sensitivity from transaction data using a novel odds ratio method.
problem Estimate price sensitivity from transaction-level data with partially observed treatment assignments.
method Recursive partitioning procedure with adversarial imputation for robust estimation.
result Validated on synthetic data and applied to three case studies, demonstrating heterogeneity in treatment effects.
This paper analyzes tokenized U.S. Treasuries, revealing patterns and roles in blockchain transactions.
problem Limited empirical analysis of transaction-level behaviors in tokenized U.S. Treasuries.
method Quantitative dissection of U.S. Treasury-backed RWA tokens across multiple chains, introducing a curvature-aware representation learning model for address-level economic role inference.
result Decoded transaction-level patterns reveal the degree of retail participation and distinguish roles in Web3 finance.
Prediction markets can shape political behavior through persistent signals, not just forecast accuracy.
problem The role of prediction markets beyond forecasting.
method Transaction-level evidence from the 2024 U.S. presidential election, Signal Credibility Index (SCI).
result Price signals in prediction markets are more influential due to persistence, breadth of trader types, and cross-platform consensus.
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps are frequent events and…
Repo dealers' market power affects bond prices by up to 2 percentage points.
problem Market power of repo dealers impacts bond prices and liquidity.
method Proprietary data on repo and reverse-repo trades analyzed.
result Market power of repo dealers accounts for 0.5-1.3 percentage points of bond yield deviation.
Blockchain-based exchanges adopt based on token pair volatility and personal use.
problem Token value loss and arbitrage issues in decentralized exchanges.
method Investigation of Automated Market Makers (AMMs) using transaction-level data.
result AMMs are adopted for high personal use or highly correlated token price movements.
Over-the-counter markets are at the center of the postcrisis global reform of the financial system. We show how the size and structure of such markets can undergo rapid and extensive changes when participants engage in portfolio compression, a post-trade netting technology. Tightly-knit and concentrated trading structu…
The Mike-Farmer (MF) model was constructed empirically based on the continuous double auction mechanism in an order-driven market, which can successfully reproduce the cubic law of returns and the diffusive behavior of stock prices at the transaction level. However, the volatility (defined by absolute return) in the MF…
Traders adopt different trading strategies to maximize their returns in financial markets. These trading strategies not only results in specific topological structures in trading networks, which connect the traders with the pairwise buy-sell relationships, but also have potential impacts on market dynamics. Here, we pr…
The paper investigates cyclic arbitrage opportunities in decentralized exchanges.
problem Price discrepancies in decentralized exchanges lead to arbitrage opportunities.
method Theoretical framework and analysis of transaction-level data.
result Traders have executed over 292,606 cyclic arbitrages over eleven months, exploiting more than 138 million USD in revenue.
The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the time right before transactions, the time whenever the highest buying price or th…
Italian banks use swaps to hedge against rising interest rates, offsetting losses on debt securities.
problem Interest rate risk on Italian banks' debt securities.
method Analysis of granular regulatory data on euro interest rate swap trades.
result Swaps can offset losses on debt securities, reducing interest rate exposure.
Study on liquidity providers' performance in decentralized exchanges.
problem Unclear profitability of liquidity providers in decentralized exchanges.
method Reconstructing LP PnL dynamics from on-chain events, introducing a new metric.
result Only about one out of six LPs avoids losses, suggesting open questions about LP participation motives.
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.
Study on-chain peak shaving to reduce Ethereum transaction costs.
problem Reducing transaction costs in blockchain networks, especially during congested periods.
method Analyzing transaction-level data from multiple firms across various industries to understand scheduling responses and cost management strategies.
result Firms' scheduling responses to congestion vary, leading to different fee savings and residual costs.