Bitcoin users can offer fees to miners who record their transactions in the block-chain. We document high variation of bitcoin fees, not only over time, but also within blocks. Further, the block-chain rarely runs at capacity, even though fees tend to be higher when blocks are fuller, so miners...

Liquidity providers (LPs) on decentralized exchanges pay a fixed transaction cost (gas price) whenever they update their positions. Different economies of scale across LPs lead in equilibrium to the fragmentation of liquidity supply between low- and high-fee pools. Using data on liquidity...

We analyze a unique data set of collateral liquidations on two Decentralized Finance lending platforms - Compound and Aave. Such liquidations require arbitrageurs to repay the loan in return for the discounted collateral. Using Blockchain transaction data, we observe if arbitrageurs liquidate...

Settlement on decentralized ledgers is transparent and batched. The settlement also allows settlement agents to expropriate profitable arbitrage trades. Arbitrage may be socially beneficial or wasteful. We model the effect of an alternate, private settlement on arbitrage. We document payments...

This paper analyzes the out-of-sample performance of two common extensions of the Black-Scholes framework, namely a GARCH and a stochastic volatility option pricing model.

In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve's discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model...

In this paper we suggest a new approach to risk assessment for banks. Rather than looking at them individually we try to undertake an analysis at the level of the banking system. Such a perspective is necessary because the complicated network of mutual credit obligations can make the actual risk...