Proof-of-Work (PoW) blockchains possess at least two undesirable characteristics: exceptional price volatility and welfare impairment. Exceptional price volatility arises because PoW implements a passive monetary policy that fails to modulate cryptocurrency demand shocks. Welfare impairment...

The price of equity equals the risk-adjusted present discounted value of cash-flows. Discount factors depend upon the short rate process. As such, a link exists between bond and equity returns. This link implies a relationship between volatilities and the stock-bond correlation. I show that the...

We provide an economic model of a decentralized exchange (DEX) that allows investors to concentrate liquidity within exogenously specified price intervals (e.g., Uniswap V3). We demonstrate that providing liquidity for a risky vs. risk-free asset pair within any price interval is analogous to...

A new measure of asymmetry in dependence is proposed which is based on taking the difference between the margin-free coskewness parameters of the underlying copula. The new measure and a related test are applied to both a hydrological and a financial market data sample and we show that both...

Do catastrophe bonds increase or decrease the exposure and contribution to systemic risk of the issuing insurance companies? And if such issues influence systemic stability, what design features of the bond and characteristics of the issuing insurer cause catastrophe bond issues to destabilize...

Secure multi-party computation (MPC) allows for the implementation of smart contracts that can be programmed to self-execute ad-hoc financial contracts constructed dynamically and traded on a variety of auction platform typologies (over-the-counter, peer-to-peer, electronic limit order books)....