With the increasing adoption of the Proof of Stake (PoS) blockchain, it is timely to study the economy created by such blockchain. In this chapter, we will survey recent progress on the trading and wealth evolution in a cryptocurrency where the new coins are issued according to the PoS protocol. We
A sequence of spin-1/2 particles polarised in one of two possible directions is presented to an experimenter, who can wager in a double-or-nothing game on the outcomes of measurements in freely chosen polarisation directions. Wealth is accrued through astute betting. As information is gained from th
We consider the multiple quantile hedging problem, which is a class of partial hedging problems containing as special examples the quantile hedging problem (F{“ö”}llmer & Leukert 1999) and the PnL matching problem (introduced in Bouchard & Vu 2012). In complete non-linear markets, we show that the p
Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on potential field theory and Gaussian Process to characterize the
Predicting future prices of a stock is an arduous task to perform. However, incorporating additional elements can significantly improve our predictions, rather than relying solely on a stock’s historical price data to forecast its future price. Studies have demonstrated that investor sentiment, whic
In the current market practice, many cyber insurance products offer a coverage bundle for losses arising from various types of incidents, such as data breaches and ransomware attacks, and the coverage for each incident type comes with a separate limit and deductible. Although this gives prospective
In this research, we focus on the order-splitting behavior. The order splitting is a trading strategy to execute their large potential metaorder into small pieces to reduce transaction cost. This strategic behavior is believed to be important because it is a promising candidate for the microscopic o
Classical recommender systems often assume that historical data are stationary and fail to account for the dynamic nature of user preferences, limiting their ability to provide reliable recommendations in time-sensitive settings. This assumption is particularly problematic in finance, where financia
The Nelson-Siegel framework is employed to model the term structure of commodity futures prices. Exploiting the information embedded in the level, slope and curvature parameters, we develop novel investment strategies that assume short-term continuation of recent parallel, slope or butterfly movemen
We present a novel methodology for modeling and forecasting multivariate realized volatilities using customized graph neural networks to incorporate spillover effects across stocks. The proposed model offers the benefits of incorporating spillover effects from multi-hop neighbors, capturing nonlinea
We establish a first and second-order approximation for an infinite dimensional limit order book model (LOB) in a single (‘‘critical’’) scaling regime where market and limit orders arrive at a common time scale. With our choice of scaling we obtain non-degenerate first-order and second-order approxi
In this paper, we propose a multidimensional statistical model of intraday electricity prices at the scale of the trading session, which allows all products to be simulated simultaneously. This model, based on Poisson measures and inspired by the Common Shock Poisson Model, reproduces the Samuelson
One of the most important tasks in quantitative investment research is mining new alphas (effective trading signals or factors). Traditional alpha mining methods, either hand-crafted factor synthesizing or algorithmic factor mining (e.g., search with genetic programming), have inherent limitations,
Causal Inference plays an significant role in explaining the decisions taken by statistical models and artificial intelligence models. Of late, this field started attracting the attention of researchers and practitioners alike. This paper presents a comprehensive survey of 37 papers published during
Over the last decade, the cryptocurrency market has experienced unprecedented growth, emerging as a prominent financial market. As this market rapidly evolves, it necessitates re-evaluating which cryptocurrencies command the market and steer the direction of blockchain technology. We implement a net
Historically, gold and silver have played distinct roles in traditional monetary systems. While gold has primarily been revered as a superior store of value, prompting individuals to hoard it, silver has commonly been used as a medium of exchange. As the financial world evolves, the emergence of cry
In this paper we contrast the dynamics of the 2022 Ukraine invasion financial crisis with notable financial crises of the 21st century - the dot-com bubble, global financial crisis and COVID-19. We study the similarity in market dynamics and associated implications for equity investors between vario
We study a toy two-player game for periodic double auction markets to generate liquidity. The game has imperfect information, which allows us to link market spreads with signal strength. We characterize Nash equilibria in cases with or without incentives from the exchange. This enables us to derive
The focus of this paper is on identifying the most effective selling strategy for pairs trading of stocks. In pairs trading, a long position is held in one stock while a short position is held in another. The goal is to determine the optimal time to sell the long position and repurchase the short po
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationship between prices and volume imbalance. To this end, we study a market-making problem which allows us to view the imbala