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Quantitative Finance News, Research & Resources. See also: @risk_mgmt, @fin_tech, @hedgefundfocus, @businessschools & https://t.co/ODd3uyCPea
UK
Joined July 2008
Slaying the Dragon: The Quest for Democracy in Decentralized Autonomous Organizations (DAOs)
arxiv.org
This chapter explores how Decentralized Autonomous Organizations (DAOs), a novel institutional form based on blockchain technology, challenge traditional centralized governance structures. DAOs...
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Bitcoin Forecasting with Classical Time Series Models on Prices and Volatility
arxiv.org
This paper evaluates the performance of classical time series models in forecasting Bitcoin prices, focusing on ARIMA, SARIMA, GARCH, and EGARCH. Daily price data from 2010 to 2020 were analyzed,...
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Physics vs. Code: Why Google’s ‘Quantum Money’ Could Make Blockchain Obsolete Google Quantum AI’s new research revisits a 1960s idea for unforgeable “quantum money,” exploring how physics, not code, could secure finance.
decrypt.co
Google Quantum AI’s new research revisits a 1960s idea for unforgeable “quantum money,” exploring how physics, not code, could secure finance.
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Technical Analysis Meets Machine Learning: Bitcoin Evidence
arxiv.org
In this note, we compare Bitcoin trading performance using two machine learning models-Light Gradient Boosting Machine (LightGBM) and Long Short-Term Memory (LSTM)-and two technical analysis-based...
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Filtering amplitude dependence of correlation dynamics in complex systems: application to the cryptocurrency market
arxiv.org
Based on the cryptocurrency market dynamics, this study presents a general methodology for analyzing evolving correlation structures in complex systems using the $q$-dependent detrended...
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Cryptocurrency as an Investable Asset Class: Coming of Age
arxiv.org
Cryptocurrencies are coming of age. We organize empirical regularities into ten stylized facts and analyze cryptocurrency through the lens of empirical asset pricing. We find important...
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Denoising Complex Covariance Matrices with Hybrid ResNet and Random Matrix Theory: Cryptocurrency Portfolio Applications
arxiv.org
Covariance matrices estimated from short, noisy, and non-Gaussian financial time series-particularly cryptocurrencies-are notoriously unstable. Empirical evidence indicates that these covariance...
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News-Aware Direct Reinforcement Trading for Financial Markets
arxiv.org
The financial market is known to be highly sensitive to news. Therefore, effectively incorporating news data into quantitative trading remains an important challenge. Existing approaches typically...
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How Exclusive are Ethereum Transactions? Evidence from non-winning blocks
arxiv.org
We analyze 15,097 blocks proposed for inclusion in Ethereum's blockchain over an eight-minute window on December 3, 2024, during which 38 blocks were added to the chain. We classify transactions...
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Quantum and Classical Machine Learning in Decentralized Finance: Comparative Evidence from Multi-Asset Backtesting of Automated Market Makers
arxiv.org
This study presents a comprehensive empirical comparison between quantum machine learning (QML) and classical machine learning (CML) approaches in Automated Market Makers (AMM) and Decentralized...
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Cryptocurrency as an Investable Asset Class: Coming of Age
arxiv.org
Cryptocurrencies are coming of age. We organize empirical regularities into ten stylized facts and analyze cryptocurrency through the lens of empirical asset pricing. We find important...
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Multifractality and its sources in the digital currency market
arxiv.org
Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyond simple...
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Leveraging Ensemble-Based Semi-Supervised Learning for Illicit Account Detection in Ethereum DeFi Transactions
arxiv.org
The advent of smart contracts has enabled the rapid rise of Decentralized Finance (DeFi) on the Ethereum blockchain, offering substantial rewards in financial innovation and inclusivity. This...
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Pixels to Prices: Visual Traits, Market Cycles, and the Economics of NFT Valuation
arxiv.org
Pixels and market cycles both move NFT prices. Non-fungible tokens (NFTs) are unique digital assets, often used to represent ownership of digital art, collectibles, and other media, secured on...
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Mechanism design and equilibrium analysis of smart contract mediated resource allocation
arxiv.org
Decentralized coordination and digital contracting are becoming critical in complex industrial ecosystems, yet existing approaches often rely on ad hoc heuristics or purely technical blockchain...
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Stabilizing the Staking Rate, Dynamically Distributed Inflation and Delay Induced Oscillations
arxiv.org
Dynamically distributed inflation is a common mechanism used to guide a blockchain's staking rate towards a desired equilibrium between network security and token liquidity. However, the high...
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Smart Contract-Enabled Procurement under Bounded Demand Variability: A Truncated Normal Approach
arxiv.org
This study develops a strategic procurement framework integrating blockchain-based smart contracts with bounded demand variability modeled through a truncated normal distribution. While existing...
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Multi-Agent Analysis of Off-Exchange Public Information for Cryptocurrency Market Trend Prediction
arxiv.org
Cryptocurrency markets present unique prediction challenges due to their extreme volatility, 24/7 operation, and hypersensitivity to news events, with existing approaches suffering from key...
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Mechanism design and equilibrium analysis of smart contract mediated resource allocation
arxiv.org
Decentralized coordination and digital contracting are becoming critical in complex industrial ecosystems, yet existing approaches often rely on ad hoc heuristics or purely technical blockchain...
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