Presently,there are over 500 cryptocurrency exchanges worldwide and more than 19,700 different cryptocurrencies.Despite the fact that cryptocurrency trading is possible via private peer-to-peer transactions,more than ...Presently,there are over 500 cryptocurrency exchanges worldwide and more than 19,700 different cryptocurrencies.Despite the fact that cryptocurrency trading is possible via private peer-to-peer transactions,more than 90%of trading occurs on organised exchanges,which provide convenience and liquidity.However,centralised cryptocurrency exchanges are regarded as high-value targets by criminals and are often victims of cyberattacks.In this paper,we investigate the risk of cryptocurrency exchange closures and develop predictive models to forecast which markets will close down and which ones will remain active using publicly available data.Our models perform well and reach a high level of classification accuracy.Exchange trading volume,the availability of public information on exchange staff,exchange lifetime,and several cybersecurity features are identified as key attributes in predicting exchange closures.Nevertheless,our models do not account for all sources of risk,e.g.,potential fraud and mismanagement of client funds committed by the exchanges themselves,and market participants are encouraged to carefully consider where and how they store their digital assets.展开更多
Modeling of uncertainty by probability errs by ignoring the uncertainty in probability.When financial valuation recognizes the uncertainty of probability,the best the market may offer is a two price framework of a low...Modeling of uncertainty by probability errs by ignoring the uncertainty in probability.When financial valuation recognizes the uncertainty of probability,the best the market may offer is a two price framework of a lower and upper valuation.The martingale theory of asset prices is then replaced by the theory of nonlinear martingales.When dealing with pure jump compensators describing probability,the uncertainty in probability is captured by introducing parametric measure distortions.The two price framework then alters asset pricing theory by requiring two required return equations,one each for the lower upper valuation.Proxying lower and upper valuations by daily lows and highs,the paper delivers the first empirical study of nonlinear martingales via the modeling and simultaneous estimation of the two required return equations.展开更多
In this paper, the surplus of an insurance company is modeled by a Markovian regime- switching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-s...In this paper, the surplus of an insurance company is modeled by a Markovian regime- switching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-switching economy consists of a fixed interest security and several risky shares. The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained.展开更多
文摘Presently,there are over 500 cryptocurrency exchanges worldwide and more than 19,700 different cryptocurrencies.Despite the fact that cryptocurrency trading is possible via private peer-to-peer transactions,more than 90%of trading occurs on organised exchanges,which provide convenience and liquidity.However,centralised cryptocurrency exchanges are regarded as high-value targets by criminals and are often victims of cyberattacks.In this paper,we investigate the risk of cryptocurrency exchange closures and develop predictive models to forecast which markets will close down and which ones will remain active using publicly available data.Our models perform well and reach a high level of classification accuracy.Exchange trading volume,the availability of public information on exchange staff,exchange lifetime,and several cybersecurity features are identified as key attributes in predicting exchange closures.Nevertheless,our models do not account for all sources of risk,e.g.,potential fraud and mismanagement of client funds committed by the exchanges themselves,and market participants are encouraged to carefully consider where and how they store their digital assets.
基金Received 15 October 2021Accepted 16 March 2022Early access 25 March 2022。
文摘Modeling of uncertainty by probability errs by ignoring the uncertainty in probability.When financial valuation recognizes the uncertainty of probability,the best the market may offer is a two price framework of a lower and upper valuation.The martingale theory of asset prices is then replaced by the theory of nonlinear martingales.When dealing with pure jump compensators describing probability,the uncertainty in probability is captured by introducing parametric measure distortions.The two price framework then alters asset pricing theory by requiring two required return equations,one each for the lower upper valuation.Proxying lower and upper valuations by daily lows and highs,the paper delivers the first empirical study of nonlinear martingales via the modeling and simultaneous estimation of the two required return equations.
基金supported by National Natural Science Foundation of China (Grant No.11001139)Fundamental Research Funds for the Central Universities (Grant No.65010771)+1 种基金Specialized Research Fund for the Doctoral Program of Higher Education (SRFDP Grant No.20100031120002)the second author is supported by the Discovery Grant from the Australian Research Council (ARC) (Project No.DP1096243)
文摘In this paper, the surplus of an insurance company is modeled by a Markovian regime- switching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenue. The regime-switching economy consists of a fixed interest security and several risky shares. The optimal proportional reinsurance and investment strategies with no short-selling constraints for maximizing an exponential utility on terminal wealth are obtained.
