TLMG4Eth combines language and graph models for Ethereum fraud detection.
problem Current fraud detection methods fail to consider semantic and similarity patterns in Ethereum transactions.
method TLMG4Eth uses a transaction language model and graph-based methods to capture semantic, similarity, and structural features.
result TLMG4Eth detects anomalies in Ethereum transactions more effectively than existing methods.
This research develops heuristics to detect CoinJoin transactions on Bitcoin blockchain.
problem Compromised privacy in Bitcoin transactions due to CoinJoin.
method Analyzed open-source CoinJoin implementations to develop heuristics.
result Refined heuristics for identifying CoinJoin transactions on the blockchain.
Investment strategy optimized in markets with transaction costs and search delays.
problem Maximizing wealth in an illiquid market with transaction costs and search frictions.
method Characterized no-trade region and provided asymptotic expansions of value function for small transaction costs.
result The effects of transaction costs are more pronounced in illiquid markets.
The study examines portfolio optimization with quadratic transaction costs, complicating the optimization process.
problem Portfolio optimization with quadratic transaction costs is more challenging than with linear costs.
method Introduced numerical algorithms to solve the optimization problem with quadratic transaction costs.
result Quadratic transaction costs significantly impact the expected returns of optimized portfolios.
Transaction costs appear in financial markets in more than one form. There are several results in the literature on small proportional transaction cost and not that many on fixed transaction cost. In the present work, we heuristically study the effect of both types of transaction cost by focusing on a portfolio optimiz…
Model shows how price impact and transaction costs affect trading behavior and profits.
problem Analyzing trading behavior and profits in markets with transaction costs and price impact.
method Proves the existence of an equilibrium in a model with transaction costs and price impact.
result Existence of a strictly positive optimal transaction cost from the exchange's perspective.
The study examines pricing American options with both exogenous and endogenous transaction costs.
problem Pricing American options with transaction costs and liquidity risks.
method Modeling liquidity risks as a mean-reverting process and transaction costs as proportional to trading amount. Two nonlinear PDEs are used to characterize option values. Numerical solution via ADI method and model calibration using maximum likelihood estimation.
result The model incorporating liquidity risks significantly outperforms the Leland model.
Examines how transaction costs affect systematic portfolios.
problem Impact of proportional transaction costs on systematic portfolios.
method Empirical study with various portfolio types and configurations.
result Proposes a method to smooth transaction costs.
Study examines how trading volumes and transactions affect stock volatility.
problem Understanding the impact of trading volumes and transactions on stock volatility.
method Used GARCH models to analyze daily stock data of the Tokyo Stock Exchange.
result GARCH effects are not always removed by adding trading volumes or transactions, suggesting they don't fully represent information arrivals.
Study reveals dynamic causal relationships between Ethereum transaction fees and economic subsystems.
problem Historical gas fee volatility caused economic disequilibria and stakeholder challenges.
method Time-varying Granger causality analysis using data on active wallets and transaction volume.
result Dynamic bidirectional causal relationships between transaction fees and economic subsystems across Ethereum.
The paper bridges stochastic control and deep hedging for European call options with transaction costs.
problem Hedging and pricing European call options with proportional transaction costs.
method Complementary perspectives: stochastic control and deep hedging. Two architectures proposed: NTBN-Delta and WW-NTBN.
result WW-NTBN converges faster, matches no-transaction bands more closely, and generalizes well across transaction cost regimes.
New method improves blockchain analysis by handling temporal changes and scalability.
problem Limited focus on evolving nature and scalability of blockchain transaction networks.
method Incremental approach with Metropolis-Hastings random walks.
result Comparable performance in node classification tasks with reduced computational overhead.
Study reveals the complex topology of real-world credit card transactions.
problem Understanding the true structure of real-world money flows from credit card data.
method Analysis of real-world credit card transaction data from a major bank, creation of a stochastic model.
result Real-world credit card transactions exhibit nontrivial characteristics in their topology.
This survey analyzes knowledge discovery in cryptocurrency transactions.
problem Understanding user behaviors and collective actions in cryptocurrency transactions.
method Data mining techniques and literature review.
result Classified existing research into three aspects and discussed major findings.
Deep models for financial transactions are vulnerable to adversarial attacks, especially when adding transaction tokens.
problem Vulnerability of deep models to adversarial attacks on financial transaction records.
method Examine adversarial attacks and defenses on transaction records data, considering black-box attacks and adding transaction tokens.
result A few generated transactions can fool a deep-learning model, highlighting the need for robustness improvements.
Improved option pricing model with transaction costs.
problem Inaccurate option pricing without considering transaction costs.
method Developed a replicating strategy with exponentially decreasing transaction costs.
result Validated the effectiveness of the new model through simulations.
TitAnt detects online transaction fraud in milliseconds.
problem Real-time detection of online transaction fraud in e-commerce.
method Feature extraction, real-time prediction, deployment in Ant Financial.
result Efficient real-time fraud detection in milliseconds.
Existence of equilibrium proven in model with transaction costs.
problem Proving existence of Radner equilibrium in a model with transaction costs.
method Discrete-time equilibrium followed by continuous-time equilibrium analysis.
result Explicit formula for equilibrium interest rate derived.
The paper optimizes portfolios with transaction costs in a large asset universe.
problem Optimizing portfolios with transaction costs in a large asset universe.
method Mean-variance optimization with nonconvex penalty for proportional and quadratic transaction costs.
result The proposed models show satisfactory performance and highlight the importance of transaction costs.
Study how transaction costs impact stock returns and holdings in equilibrium.
problem Impact of quadratic transaction costs on equilibrium stock returns and holdings.
method Developed a continuous-time risk-sharing model with FBSDEs to characterize equilibrium stock holdings and trading rates.
result Equilibrium stock holdings and trading rates are uniquely determined by FBSDEs, and equilibrium return by a system of coupled FBSDEs.
The study optimizes portfolios under transaction costs and model uncertainty, showing the effectiveness of turnover penalization.
problem Optimizing portfolios under transaction costs and model uncertainty.
method Theoretical and empirical analysis linking turnover penalization to covariance shrinkage, incorporating transaction costs and parameter uncertainty.
result Turnover penalization is more effective than shrinkage methods in constructing well-performing portfolios.
Bank transactions help predict macroeconomic indexes faster and more accurately.
problem Lag in macroeconomic index availability and autoregressive models' limitations in complex scenarios.
method Use financial transactions data to estimate macroeconomic indexes using neural networks and smart sampling.
result Neural network approach outperforms baseline methods on hand-crafted features based on transactions.
Ethereum block builders can earn up to $14M/month by reordering transactions, harming users.
problem Block builders can exploit transaction reordering to earn significant profits, harming users.
method Estimation of MEV payments and analysis of reordering effects.
result Block builders can earn up to $14M/month by reordering transactions, skewing the distribution.
Generative model predicts NFT collection transactions based on early history.
problem Predict future transactions of newly minted NFT collections.
method Unsupervised learning to extract contexts, then generate future transactions.
result Projected market value of new NFT collections.
This paper studies risk measures on markets with transaction costs.
problem Risk measures on markets with proportional transaction costs.
method Introduces strategy effectiveness and shortfall risk.
result Generalizes quantile hedging approach.
The paper addresses hedging Asian options with transaction costs using asymptotic hedging.
problem Hedging Asian options in markets with transaction costs.
method Asymptotic hedging approach.
result Probability convergence of investment portfolio value to payment function as revision count approaches infinity.
Unified asymptotics for investment in markets with transaction costs and search frictions.
problem Investment in markets with transaction costs and search frictions.
method Power-utility maximization problem with proportional transaction costs and Poisson-triggered trades, analyzed using a novel asymptotic framework.
result Explicit asymptotics for the no-trade region and value function derived.
Solves investment and consumption problem with transaction costs.
problem Investment and consumption decisions in markets with transaction costs.
method Complete solution via differential equation, focusing on boundary behavior.
result Boundary behavior of sales of risky asset is independent of transaction costs for some parameter values and large costs.
Investigates how trading boundaries change with transaction costs in portfolio selection.
problem Investigates how trading boundaries vary with transaction costs in portfolio selection.
method Analyzes Merton's problem with proportional transaction costs, showing monotonicity of trading boundaries.
result Cost-adjusted trading boundaries are monotone in transaction costs, with implications for the Merton line.
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, …
Cohort analysis speeds up Bitcoin blockchain data queries.
problem Efficiently querying Bitcoin blockchain data for economic insights.
method Cohort analysis applied to Bitcoin transaction data.
result Creation of datasets and visualizations for key Bitcoin transaction indicators.
We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are the maximum between proportional transaction costs and a fixed transaction costs. We prove that in the continuous time Black--Scholes (BS) mo…
A new model handles zero durations in financial transactions, distinguishing between split and standard transactions.
problem Modeling discrete trade durations with excessive zeros and split transactions.
method Zero-inflated autoregressive conditional duration model based on zero-inflated negative binomial distribution.
result Split transactions cause most zero and close-to-zero durations.
LineMVGNN improves AML detection by integrating multi-view graph learning.
problem Ineffective and scalable AML systems using rule-based methods.
method LineMVGNN combines multi-view graph neural networks with line-graph features.
result LineMVGNN outperforms state-of-the-art methods in detecting money laundering.
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.
A digital euro protocol offers complete privacy and offline transactions using Groth-Sahai proofs.
problem Fragile digital payment solutions with privacy and offline transaction issues.
method Design and implementation of a Central Bank Digital Currency (CBDC) using Groth-Sahai zero-knowledge proofs.
result Complete privacy and offline transaction capability with retroactive double-spending detection.
Study asset pricing with transaction costs, showing unique equilibrium exists.
problem Risk-sharing economies with heterogeneous agents trading under quadratic transaction costs.
method Characterizes equilibrium asset prices and strategies via nonlinear, fully-coupled equations.
result Unique solution exists when agents' preferences are sufficiently similar, and empirical liquidity premia and discounts match transaction costs and volatility.
We consider a Nash equilibrium between two high-frequency traders in a simple market impact model with transient price impact and additional quadratic transaction costs. Extending a result by Schöneborn (2008), we prove existence and uniqueness of the Nash equilibrium and show that for small transaction costs the high-…
This paper examines challenges in analyzing NFT transaction data.
problem Challenges in analyzing NFT transaction data due to non-fungible nature and blockchain.
method Analysis of transaction history of eight NFT collections.
result Illustrates challenges such as price differentiation, lateral swaps, and volatility.
New tontine model with transaction costs for retirees.
problem Maximizing consumption and bequest utilities for retirees.
method Formulated as a stochastic and impulse control problem, characterized by viscosity solutions.
result V-shaped transaction region with two stages: smoothing and gambling.
Extended fundamental theorem of asset pricing with transaction costs.
problem Modeling arbitrage in models with both fixed and proportional transaction costs.
method Introducing a family of measures and an adapted process to extend the fundamental theorem.
result Equivalence between lack of arbitrage and existence of specific probability measures.
This paper proposes a new method to optimize portfolio allocation with transaction costs using Wiener chaos expansion.
problem Optimizing portfolio allocation with transaction costs in multi-period settings.
method Wiener chaos expansion approach to represent and solve the optimization problem.
result The proposed method finds an optimal strategy for portfolio allocation with transaction costs.
A new approach models credit card transactions using HMMs to detect fraud.
problem Detecting credit card fraud using isolated event analysis.
method Model sequences from three perspectives using HMMs and combine likelihoods as features.
result Improved fraud detection effectiveness compared to state-of-the-art methods.
Study optimal pairs trading with transaction costs using stochastic control.
problem Finding optimal trade times and shares in pairs trading with proportional costs.
method Singular stochastic control approach to solve a nonlinear quasi-variational inequality.
result Developed a discrete time dynamic programming algorithm to compute transaction regions.
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed transaction cost. The objective is to maximize the discounted revenue obtained b…
Survey on portfolio choice with small transaction costs using asymptotic methods.
problem Portfolio choice problems with small transaction costs.
method Derive dynamic programming equations, simplify in small-cost limit, and use policy iteration for complex models.
result Explicit solutions for various models, including mean-reverting returns and proportional costs.
Investors with CPT make optimal investment decisions in a market with transaction costs.
problem Optimal investment strategy under CPT in a market with transaction costs.
method Explicit solution for optimal investment strategy in two examples.
result Investment strategy is affected by transaction costs and risk aversion.
Modeling insider trading with transaction costs and fair pricing.
problem Maximizing profits for an informed trader in a market with transaction costs and fair pricing.
method Single auction model and continuous time analogue, analyzing equilibrium behavior with polynomial and differential equations.
result Equilibrium trading strategy and pricing rules are affected by transaction costs, revealing an information gap.