Crypto gives researchers something traditional markets never could: fully transparent, public market data — every trade, every liquidity position, every liquidation, on-chain and downloadable. The result is a research field where microstructure questions that took decades to answer for equities get answered in months, alongside genuinely new objects of study: automated market makers, MEV, stablecoin mechanisms, and perpetual futures funding.
Quality varies more here than in any other hub. The strongest work treats crypto as a natural laboratory — testing arbitrage, momentum, and market-making theory against complete data. The weakest imports an equity-market technique, runs it on three years of BTC prices, and declares alpha. Check the sample period against regime shifts (pre/post 2021 institutional entry, exchange collapses) before trusting any backtest, and note that many exploitable inefficiencies documented in 2018-era papers have long since been arbitraged away.
Related hubs: Market Microstructure, Statistical Arbitrage, NLP & LLMs in Finance.
We consider the impact of trading fees on the profits of arbitrageurs trading against an automated market maker (AMM) or, equivalently, on the adverse selection incurred by liquidity providers (LPs) due to arbitrage. We extend the model of Milionis et al. [“2022”] for a general class of two asset AM
We study the optimal liquidation of a large position on Uniswap v2 and Uniswap v3 in discrete time. The instantaneous price impact is derived from the AMM pricing rule. Transient impact is modeled to capture either exponential or approximately power-law decay, together with a permanent component. In
This paper maps the emerging market for decentralized credit in which ERC 4626 vaults and third-party curators, rather than monolithic lending protocols alone, increasingly determine underwriting and leverage decisions. We show that modular vaults differ in capital utilization, cross-chain and cross
We describe a plausible probabilistic model for a blockchain queueing environment in which rational, profit-maximising schedulers impose adversarial disciplines on incoming messages containing a payload that encodes a state transition in a machine. The model can be specialised to apply to chains wit
Trust mechanisms diverge between centralized and decentralized exchanges, representing distinct sociotechnical governance paradigms. However, quantifying trust dynamics and their redistribution between these architectures remains empirically challenging, limiting understanding of how institutional s
This paper investigates the potential of blockchain-based fan tokens, a class of crypto asset that grants holders access to voting on club decisions and other perks, as a mechanism for stimulating democratized decision-making and fan engagement in the sports and esports sectors. By utilizing an exte
Decentralized exchanges record trading and liquidity provision on public blockchains, but empirical analysis requires interpreting these records and linking them to execution metadata. dexamine is a Python package that parses Uniswap v2 and v3 events on Ethereum. It converts transaction receipt logs
We formulate and solve stochastic control problems that model the core yield-generating strategy of the Ethena protocol, a decentralized finance (DeFi) stablecoin that earns yield by combining a long position in staked Ethereum (stETH) with an equal-sized short position in ETH perpetual futures. The
The emergence of Concentrated Liquidity Market Makers (CLMMs) has made liquidity provision on decentralized exchanges an active and risk-sensitive task. However, the standalone profitability of liquidity provision remains unclear for liquidity providers (LPs) who neither hedge their inventory risk n
Blockchain technology is widely expected to reduce transaction costs by automating contract enforcement and eliminating intermediaries; yet, the execution costs imposed by network congestion have received little attention in the operations management literature. We study on-chain peak shaving, the s
Decentralized finance introduces new business models and use cases as part of digital finance. Restaking has recently emerged as a transformative mechanism in DeFi, promising extra yields but introducing complex and interconnected risks. The paper monitors the current restaking landscape, empiricall
In this paper, we analyse the impacts of exogenous and endogenous factors on wealth distribution in the Bitcoin token economy, where wealth distribution refers to the distribution of BTC between economic participants or groups of economic participants. The objective of the paper is to analyse the im
An agent holds a position in a perpetual contract with payoff function $ψ$ and attempts to liquidate the position while managing transaction costs, inventory risk, and funding rate payments. By solving the agent’s stochastic control problem we obtain a closed-form expression for the optimal trading
High-stakes decision domains are increasingly exploring the potential of Large Language Models (LLMs) for complex decision-making tasks. However, LLM deployment in real-world settings presents challenges in data security, evaluation of its capabilities outside controlled environments, and accountabi
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 rely on manually designed rules and/or handcrafted features. In this work, we directly use the news sen
Multi-hop reasoning over financial disclosures is often a retrieval problem before it becomes a reasoning or generation problem: relevant facts are dispersed across sections, filings, companies, and years, and LLMs often expend excessive tokens navigating noisy context. Without precise Knowledge Gra
This paper provides a comprehensive empirical analysis of the economics and dynamics behind arbitrages between centralized and decentralized exchanges (CEX-DEX) on Ethereum. We refine heuristics to identify arbitrage transactions from on-chain data and introduce a robust empirical framework to estim
Lending within decentralized finance (DeFi) has facilitated over $100 billion of loans since 2020. A long-standing inefficiency in DeFi lending protocols such as Aave is the use of static pricing mechanisms for loans. These mechanisms have been shown to maximize neither welfare nor revenue for part
A simple model-free and distribution-free statistic, the functional relationship between the number of “effective” degrees of freedom and portfolio size, or N*(N), is used to discriminate between two alternative models for the correlation of daily cryptocurrency returns within a retail universe of d
Cryptocurrencies are highly volatile financial instruments with more and more new retail investors joining the scene with each passing day. Bitcoin has always proved to determine in which way the rest of the cryptocurrency market is headed towards. As of today Bitcoin has a market dominance of close