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on Payment Systems and Financial Technology |
| By: | Timothy Aerts; Ronald Heijmans; Jan Paulick; Violeta Vuletic |
| Abstract: | Decentralised finance data presents a distinctive paradox: while every data point is publicly recorded and accessible, deriving meaningful insights is obscured by the scale, fragmentation and complexity of the ecosystem. Key metrics illustrate that the rapidly evolving DeFi ecosystem introduces unique challenges for economic and financial research in accurately capturing financial activity in DeFi. These challenges stem from protocol architecture and the technical execution of transactions that complicate deriving economic meaning. Leveraging blockchain data for Bitcoin, Ethereum and Tron, the paper illustrates three structural sources of measurement divergences: (1) the economically meaningful aggregation of Bitcoin transaction values, (2) the challenge of programmability and proliferation of spurious smart contracts and (3) comparability of use cases across different chains, exemplified by stablecoins. While the examples relate to specific chains and layers of technical execution, the measurement challenges generalise to all blockchains and DeFi ecosystems relying on a similar technical underpinning. We propose measurement approaches based on granular, data bounded estimates that incorporate explicit assumptions, technical classification and disaggregation to align technical execution with economic meaning. The paper demonstrates that, despite the transparency of public blockchains, widely used indicators of cryptoasset and DeFi activity are highly dependent on methodological choices and underlying assumptions that warrant careful interpretation. The findings imply that on-chain indicators should be treated as noisy approximations rather than direct measures of economic activity. |
| Keywords: | cryptoassets, stablecoins, blockchain, decentralised finance, smart contracts, Bitcoin, Ethereum, Tron |
| JEL: | C81 E42 G15 G23 |
| Date: | 2026–09 |
| URL: | https://d.repec.org/n?u=RePEc:bis:biswps:1377 |
| By: | Jeremy Bertomeu; Xiumin Martin; Ibrahima Sall |
| Abstract: | Decentralized finance (DeFi) lending has grown from nonexistent in 2017 to nearly 40 billion US Dollars in deposited funds in May 2022. Using cryptocurrency as collateral, the platforms match speculative margin trading with yield-seeking depositors lending coins pegged to the dollar (stable coins). Depositors receive claims guaranteed by a basket of collateral, akin to new stable coins. We develop a framework requiring only knowledge of aggregate deposits and borrowings to measure overall system risks to lenders and borrowers. Using evidence from major protocols, the measures identify an increase in system fragility beyond prudent levels around mid 2021, with a potential loss of peg for extreme variations in coin prices. Overall, the model offers an easily implementable aggregate risk metric capturing the perspectives of synthetic investors and offers early warning signals as the industry is moving from deposits guaranteed by collateral to fiat money. |
| Date: | 2026–09 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2609.07902 |
| By: | Carin van der Cruijsen; Nicole Jonker |
| Abstract: | In an increasingly digital retail payments landscape, it is essential that households are well prepared for incidents that temporarily disrupt their ability to make digital payments for everyday purchases. This study examines whether Dutch households are prepared for such disruptions and whether official preparedness advice has translated into recommended behaviour. We use survey evidence from 5, 672 Dutch respondents collected after the May 2025 official recommendation to hold €70 per adult and €30 per child in cash for a 72-hour outage of electronic payments and to maintain multiple means of payment. Awareness is high, but incomplete: 71% of respondents know the cash recommendation, while 58% hold the recommended amount or more. This implies a preparedness gap, especially among financially constrained households. Awareness is strongly associated with compliance; respondents who know the advice are 21 percentage points more likely to meet it. Non-compliance appears partly behavioural rather than purely informational or financial; the most frequently cited reason is not having got around to following the advice. Our analysis of several events, including communication about the cash advice, suggests that targeted communication may support compliance with the cash advice. Digital fallback capacity is more widespread than cash fallback preparedness, with 70% of respondents having multiple digital payment instruments for point-of-sale purchases. The findings imply that resilience policies should not only safeguard payment infrastructure but also address the informational, behavioural and practical barriers that prevent households from preparing. |
| Keywords: | payment disruptions; consumer preparedness; cash holdings; digital payments; advice compliance; payment resilience |
| JEL: | D12 D14 D91 E42 |
| Date: | 2026–09 |
| URL: | https://d.repec.org/n?u=RePEc:dnb:dnbwpp:869 |
| By: | International Monetary Fund |
| Abstract: | The Italian financial sector is undergoing rapid digital transformation, marked by significant investments in innovative technologies, especially in payments, insurance, and banking. Digital payments surpassed cash transactions since 2022. This transformation has led to increased reliance on third-party service providers, particularly cloud services, with 64 percent of Less Significant Institutions (LSIs) and Nonbank Financial Intermediaries (NBFIs) using cloud solutions. The insurance sector reports 96 percent cloud adoption, and digital channels are now the primary interface for most policyholders. As a result, cyber and operational risks have become a major concern, with rising incidents of fraud, ransomware, phishing, distributed denial-of-service (DDoS) attacks, supply chain vulnerabilities, and data breaches. In 2024, 35 major cyberattacks occurred and three of them resulted in estimated losses exceeding EUR 2 million each. Payment fraud losses reached EUR 246 million. Fraud accounts for only a marginal share of total payment transactions (around 0.003 percent in value) and was broadly in line with averages in the European Union. The sharp increase of operational incidents in 2024 highlighted the risk from using and depending on third-party service providers to deliver financial services. |
| Date: | 2026–09–03 |
| URL: | https://d.repec.org/n?u=RePEc:imf:imfscr:2026/240 |
| By: | Yackolley Amoussou-Guenou (Université Paris-Panthéon-Assas); Maarten R.C. van Oordt (Vrije Universiteit Amsterdam) |
| Abstract: | Censorship resistance is often considered to be a core attribute of distributed ledgers. Censorship resistance refers to the inability to selectively exclude technically valid but undesirable transactions from the blockchain. We examine blockchain censorship in a game-theoretic framework that allows for both primary and secondary censorship. The analysis identifies scenarios in which both inclusion and censorship equilibria exist. Once an equilibrium with strategic secondary censorship is implemented, it may be hard to revert to inclusion: Censorship equilibria are perfectly coalition-proof if the negative impact of an undesirable transaction on block producers is sufficiently large. These results highlight the growing importance of research into methods shaping censorship resistance at the technical layer. |
| Keywords: | Blockchain, Consensus, Cryptocurrency, Distributed ledger, Game theory |
| JEL: | C72 G2 L86 |
| Date: | 2026–09–13 |
| URL: | https://d.repec.org/n?u=RePEc:tin:wpaper:20260069 |
| By: | Taiga Saito (Faculty of Economics, Hitotsubashi University); Akihiko Takahashi (The University of Tokyo); Shivam Gupta (Neoma Business School) |
| Abstract: | This study formulates, for the first time, the back-running mechanism in private routing for on-chain cryptocurrency trading as a leader–follower stochastic differential game between a user and a trusted searcher, providing practical implications for the mechanism design of on-chain market infrastructure. We propose a model to investigate the effect of back-running by a trusted searcher in private routing for a user in on-chain cryptocurrency transactions. The continuous-time linear–quadratic (LQ) leader–follower stochastic differential game is solved via a forward–backward stochastic differential equation (FBSDE) approach using the stochastic maximum principle. Numerical examples illustrate how allowing back-running affects the market impact of the cryptocurrency and the user's total purchasing cost under different liquidity conditions in the on-chain market. This helps infrastructure companies design healthier markets by allowing users to choose whether to provide trade information to trusted searchers. |
| Date: | 2026–08 |
| URL: | https://d.repec.org/n?u=RePEc:tky:fseres:2026cf1279 |
| By: | Jens-Uwe Franck; Martin Peitz |
| Abstract: | Digital platforms allocate scarce attention through rankings, recommendations, defaults, and prominence. This article develops the concept of recommendation power as the point of intersection between two established concepts: information power and intermediation power, which is the capability to actively steer user choice by a platform that is a bottleneck for effective access. We propose a taxonomy of the objectives that typically guide platforms’ recommendation design, distinguishing an independent-advice benchmark from fifteen other objectives that may motivate systematic departures from it, grouped into direct commercial and data objectives, indirect and strategic objectives, and objectives relating to influence, welfare, and integrity. We then analyze how the EU’s Digital Markets Act (DMA) constrains recommender design, though it does not regulate recommendation power as such. Through obligations on ranking and data and transparency duties as well as through its anticircumvention provisions, the DMA protects certain user choices and access rights from the exercise of recommendation power. |
| Keywords: | recommender systems, recommendation bias, ranking, self-preferencing, gatekeepers, Digital Markets Act, platform regulation, steering |
| JEL: | K21 L15 L40 L51 L86 |
| Date: | 2026–09 |
| URL: | https://d.repec.org/n?u=RePEc:bon:boncrc:crctr224_2025_781 |
| By: | Barbon, Andrea; Barthélemy, Jean; Nguyen, Benoît |
| Abstract: | Does the Federal Reserve’s monetary policy influence the rates on USD-pegged stablecoins? While major stablecoin issuers do not pay interest, investors can earn returns by depositing stablecoins in Decentralized Finance (DeFi) protocols. We document unusually large and persistent spreads between traditional short-term interest rates and DeFi deposit rates, as well as a weak and unstable transmission of policy rate changes. We show that, in the short run, monetary policy shocks can move stablecoin rates in the opposite direction of policy rates, delaying a convergence that occurs only over the medium run. Both the sign of the short-run effect and the speed of convergence depend on the intensity of deleveraging induced by crypto-price reactions relative to the standard interest-rate arbitrage channel — an effect shaped by investors’ limited ability to bridge traditional and decentralized finance. JEL Classification: G14, G23, G29 |
| Keywords: | crypto, DeFi, stablecoin |
| Date: | 2026–09 |
| URL: | https://d.repec.org/n?u=RePEc:ecb:ecbwps:20263280 |
| By: | Krüger, Ulrich; Wong, Lui Hsian |
| Abstract: | The introduction of a digital euro (D€) would allow euro area residents to exchange bank deposits for digital currency, thus offering an efficient addition to the European payment sector. It is currently being discussed how the D€ impacts liquidity outflows from banks and financial stability. To mitigate these risks, the European Commission's legislative proposal permits the ECB to impose limits on the use of the D€ as a store of value. This study contributes to the calibration of appropriate holding limits for a D€. We examine how banks adjust their liquidity buffers and funding structures in response to the D€. We explore banks' potential strategies to minimise funding costs, including raising deposit rates and expanding wholesale funding, and approximate a market equilibrium. Applying our model to the German banking system, we find that imposing a holding limit of €3, 000 would reduce the return on equity by approximately 0.2 percentage points and the Liquidity Coverage Ratio by about 7 percentage points in the most adverse scenario. These findings suggest that the long-term impact remains relatively contained. |
| Keywords: | Central Bank Digital Currency, Digital Euro, Holding Limit, Liquidity, Funding Costs, Financial Stability |
| JEL: | G21 G32 G38 |
| Date: | 2026 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:bubdps:343079 |
| By: | Roshan Ghadamian (Institute for Regenerative Systems Architecture) |
| Abstract: | The modern internet is commonly diagnosed as suffering from misinformation, polarisation, platform concentration and declining public trust, and these failures are typically attributed to behavioural bias, political extremism or algorithmic amplification. This paper argues instead that the dominant pathologies of digital discourse follow from an architectural constraint present at the system's origin: the early internet lacked native, low-friction, trust-minimised mechanisms for economic exchange. In the absence of viable transaction and settlement infrastructure, advertising emerged as a proxy monetisation layer, structurally coupling public meaning systems to engagement-maximising revenue cycles. That coupling made attention the primary economic substrate of the web, and produced volatility, polarisation and extractive amplification as predictable outcomes rather than aberrations. Advertising is therefore best understood as a compensatory structure rather than as a business model or a moral failing — it was not superior, it was compatible with the constraint that existed. The paper further argues that native digital settlement and autonomous machine agents have relaxed the constraint that made advertising dominant — which reframes contemporary dysfunction as architectural lock-in rather than technological inevitability. That is a claim about what no longer binds, not a claim that a replacement architecture exists or has been adopted. The contribution is diagnostic rather than prescriptive: the internet is presented not as a failed public sphere but as a pre-constitutional economic and meaning system whose governing architecture no longer matches its capabilities. |
| Keywords: | digital markets, attention economy, proxy monetisation, meaning systems, fragility cycles, architectural lock-in, native settlement, pre-constitutional systems |
| JEL: | D02 D23 D83 L86 O33 |
| Date: | 2026–01 |
| URL: | https://d.repec.org/n?u=RePEc:evk:wpaper:digital-markets |
| By: | Sylvie Michel (IRGO - Institut de Recherche en Gestion des Organisations - UB - Université de Bordeaux - Institut d'Administration des Entreprises (IAE) - Bordeaux); Magalie Duarte (CEREN - Centre de Recherche sur l'ENtreprise [Dijon] - BSB - Burgundy School of Business (BSB) - Ecole Supérieure de Commerce de Dijon Bourgogne (ESC)) |
| Abstract: | Digital inclusion is a central concept in information systems (IS) management, in a context of social and environmental transitions, and with the emergence of disruptive technologies for society, such as artificial intelligence, or blockchain. When it is mobilised in the literature, the aim is mainly to provide solutions to digital inequalities (digital divide and literacy). However, situations of digital inclusion and exclusion can coexist, in the meantime. To assess the impact of digital technologies on society, we stand for an imperative to define this complementary concept of "digital exclusion", i.e. the social mechanisms that keep individuals unable to fully participate in a world structured by technological spheres. Our article proposes to anchor this definition in an interdisciplinary approach, drawing on philosophy and sociology, in order to envisage and operationalize future required research on digital exclusion in IS. |
| Keywords: | Information Systems, Interdisciplinarity, Digital Inclusion, Digital Exclusion |
| Date: | 2026–04–06 |
| URL: | https://d.repec.org/n?u=RePEc:hal:journl:hal-05745830 |
| By: | Laurenz Marstaller (University of Bonn) |
| Abstract: | This paper studies how platforms jointly choose fees and recommendations and their implications for fee regulation. A platform charges sellers a commission rate and ranks products based on price and match-value. The analysis shows that price-sensitive rankings intensify seller competition, allowing the platform to extract more surplus. Commission-rate caps constrain fees, but platforms may respond by making recommendations less price-sensitive, attenuating consumersurplus gains. By contrast, capped nominal fees can be more effective because they shift the platform’s incentives toward transaction volume rather than transaction value. Effective fee regulation must therefore account for how platforms adjust their recommendation policies in response. |
| Keywords: | Algorithm Design, DMA, Platform Regulation, Platforms, Recommendations, Search |
| JEL: | D43 D83 L13 L51 L86 |
| Date: | 2026–09 |
| URL: | https://d.repec.org/n?u=RePEc:ajk:ajkdps:430 |
| By: | Kristen Payne; Mary-Frances Styczynski |
| Abstract: | The money supply is defined as a group of safe assets with stable values that households and businesses can use to make payments or to hold as short-term investments. In the U.S., the Federal Reserve measures the money supply using officially defined monetary aggregates, which classify assets according to their liquidity and function—a store of value versus a medium of exchange. |
| Date: | 2026–09–04 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fedgfn:103750 |
| By: | Mario Rusev; Rafael Schmidt; Edward Lambe; Christian Schmieder; Glenn Philip Tice |
| Abstract: | International organisations including the Bank for International Settlements (BIS) have adopted SDMx (Statistical Data and Metadata) as the standard for exchanging official statistics. Trust in published data is essential for evidence-based policymaking. This paper shows how binding each SDMx dataset to its source using blockchain technology can enhance confidence in official statistics. We present a proof of concept implemented on the XRP Ledger (XRPL) and contribute, as an integrated whole, (i) an SDMx native canonicalisation and per- hashing pipeline; (ii) a domain-separated Merkle aggregation scheme for batched anchoring; (iii) a self-contained, identity-bound verification artefact in which the SDMx message itself carries both the ordered Merkle leaves and a W3C Verifiable Credential signed by a publisher identity key cryptographically bound to the publisher’s XRPL address via an on-chain attestation registry, so that any consumer can re-derive the anchored root and verify the publisher’s identity from the file alone plus a single ledger lookup; (iv) an open-source XRPL-based reference implementation; and (v) a cost model that captures the batch size / latency / fee trade-off and is solved for an economically optimal batch size. The system enables near real-time data verification, provides cryptographic integrity guarantees, and establishes a foundation for future extensions, including zero knowledge proofs and automated verification by AI agents. Measurements on the prototype show median publication latency of 3–5 seconds and verification latency of 1–2 seconds under the controlled test conditions. The approach is data-format-agnostic and can be extended to other structured statistical or regulatory formats. |
| Keywords: | blockchain, SDMx, data integrity, cryptographic hashing, data dissemination |
| JEL: | C82 C88 G28 O33 |
| Date: | 2026–09 |
| URL: | https://d.repec.org/n?u=RePEc:bis:biswps:1374 |
| By: | Elena Falcettoni |
| Abstract: | One of the goals of the Federal Reserve has always been the promotion of a safe and efficient payments system, and it consistently fosters such an environment by playing multiple, simultaneous roles, including as a supervisor of banks and financial market utilities, as an operator of payments services within the industry, and as a catalyst for payment system improvements. |
| Date: | 2026–08–26 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fedgfn:103713 |
| By: | Benedict Guttman-Kenney; Walter W. Zhang |
| Abstract: | Buy Now, Pay Later (BNPL) has moved from a novelty product to mainstream consumer finance in the space of a few years. Before 2020, BNPL was a niche offering at the checkouts of online fashion merchants. BNPL then experienced substantial growth (Consumer Financial Protection Bureau, 2022; Salem & Udis, 2025), coinciding with increased online shopping since the onset of the COVID-19 pandemic in 2020. BNPL is now a pervasive payment option. In 2026, you can use BNPL to delay and split up payments for anything ranging from a pizza to your rent, and many items in between. As the market has grown, so has the academic literature. There is now sufficient research into BNPL to take stock and review what we have learned. In this article, we summarize insights from the economics, finance, and marketing academic literature. While we have learned a great deal about BNPL in the last few years, we also discuss many remaining open questions and current concerns impacting policy decisions. We start by explaining what BNPL products are and the business models of BNPL lenders. Then, we summarize the economics and psychology behind why some consumers use these products. Next, we describe the customer base that uses BNPL. We show the effects of BNPL on consumers, an area of research with substantial policy interest. Another area of policy interest is whether BNPL loans should be reported in a consumer's credit report. We explain why BNPL is typically not on credit reports and its implications. Finally, we offer some concluding thoughts. |
| Date: | 2026–09 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2609.09323 |
| By: | Olivier Gu\'eant |
| Abstract: | This text grew out of a historical introduction initially written for a study of interest rates in cryptocurrency markets. The difficulty of defining a term structure for a currency without a conventional bond market led naturally to a more fundamental question: under what historical conditions does a yield curve become observable at all? Credit existed long before modern money, and interest-bearing loans are documented as early as ancient Mesopotamia. For much of history, the surviving evidence lacks the institutional features that facilitate reliable comparisons of interest rates by maturity: standardised debt instruments, sufficiently homogeneous borrowers, regular issuance over a range of maturities, observable market prices, and liquid secondary markets. We trace the gradual emergence of these conditions from ancient Mesopotamia, Greece, and Rome, through medieval and early modern Europe, to the development of modern sovereign debt markets in the nineteenth and twentieth centuries. |
| Date: | 2026–09 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2609.07958 |
| By: | Raymond De Pastor; Victor Frangin; Etienne Gruner; Rémi Odry Habab |
| Abstract: | Despite rapid growth in digital payments, demand for banknotes remains strong in France and Europe. It is being driven by three factors: transactional use, which is declining, precautionary holdings and demand from outside the euro area. Recent shocks may have altered the respective contributions of these factors to total demand. Examining the velocity of circulation of individual banknote denominations provides insights into these effects. <p> Malgré l’essor des paiements numériques, la demande de billets reste élevée en France et en Europe. Elle repose sur trois facteurs : l’usage transactionnel, en recul, les motifs de précaution et la demande provenant de l’étranger. Les chocs récents ont pu modifier leur part respective dans la demande globale. L’analyse des vitesses de circulation par dénomination permet d’en éclairer les effets. |
| Date: | 2026–09–03 |
| URL: | https://d.repec.org/n?u=RePEc:bfr:econot:459 |
| By: | Annamaria Lusardi |
| Abstract: | This article provides an overview of the literature on financial literacy. It covers the initial measurement that created the Big Three questions and measures of personal finance knowledge featuring 28 questions. It shows that levels of financial literacy are low and have not been improving over time. This is true not only in the United States but also in countries worldwide. These findings matter because financial literacy is conducive to savvy financial behaviors, from holding precautionary savings to planning for retirement to many other financial decisions. Financial education programs have grown exponentially over time, providing important insights into their cost-effectiveness. Personal finance courses have been added to high school and college curricula, and the evidence indicates that they are useful initiatives to improve financial knowledge and downstream behavior. |
| JEL: | G53 |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:35564 |
| By: | Muhammad Toheed Fayyaz; Abdul Jabbar; Faheem Ahmad Qureshi; Syed Qaisar Jalil |
| Abstract: | This paper provides a controlled comparison of six information bar types (dollar, volume, volatility, range, Renko, and hybrid bars) constructed from both raw Binance aggTrade tick data and one-minute OHLCV bars for the BTCUSDT USDT-margined perpetual futures market over a six-year period spanning January 2020 to December 2025, and evaluated against fixed-interval time-bar baselines. Both pipelines share a common adaptive EMA calibration framework; the tick pipeline additionally uses strictly tick-native activity signals, isolating data resolution as the sole experimental variable. Results across eight statistical quality criteria reveal that the tick advantage is bar-type-specific and most pronounced in bar types whose activity signals are most sensitive to intra-minute price dynamics: tick Renko bars achieve the smallest random-walk deviation recorded ($|\mathrm{VR}(4){-}1| = 0.020$, lag-1 autocorrelation $= 0.002$), and tick volatility bars reduce serial dependence by 69\% relative to the minute baseline ($|\mathrm{VR}(4){-}1|: 0.028$ versus $0.089$). In the multi-regime six-year sample, normality improvements are regime-dependent and secondary: the extreme market events of 2020--2022 inflate fat tails across all bar types, and Ljung-Box independence is rejected for all series at the sample sizes studied. A matched-frequency robustness analysis shows that the apparent tick underperformance on distributional criteria is largely a sampling-frequency artefact: when tick series are coarsened to the minute pipeline's bar count, frequency-matched tick dollar bars lead on all six criteria and matched tick volatility bars attain LB $p = 0.51$, recovering serial independence that the raw oversampled series rejects. |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2608.26158 |
| By: | L Salahaldin (ESCE, International Business School, OMNES Education Research Center); S Elayoubi (L2S - Laboratoire des signaux et systèmes - CentraleSupélec - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique); V Varma (CRAN - Centre de Recherche en Automatique de Nancy - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique) |
| Abstract: | Crowdfunding platforms (CFP) are increasingly interested in enhancing their impact, by funding projects with positive environmental and social impacts. This article is the first that models the CFP strategies in this context. We compare two attitudes: a neutral (passive) facilitating attitude and an active one. In the latter case, the CFP implicitly favors a subset of the projects by promoting them to the crowd. We model the utility of the CFP, linked to its monetary outcome and the impact of the funded projects, and formulate an optimization problem that maximizes it by acting on the promotion strategy. We show how to solve this problem using real options and dynamic programming. For applying this framework, we perform an empirical study based on a large dataset that quantifies the attractiveness gain for projects when they are promoted by the platform. We then propose a novel hybrid empirical/analytical method, where platform data is processed and provides input parameters to the optimization tool. Our results show that substantial gains are expected when applying the optimization framework with respect to a platform adopting a classical passive attitude. Our study provides guidelines for platform managers on how to design and implement strategies that maximize their impact. |
| Keywords: | real options, decision making, environmental and social impact, utility maximization, Crowdfunding |
| Date: | 2026–01–12 |
| URL: | https://d.repec.org/n?u=RePEc:hal:journl:hal-05744845 |
| By: | Parsa Yousefnezhad; Gholamreza Mansourfar; Mohammadreza Feizi Derakhshi |
| Abstract: | Bitcoin's future fluctuations are a substantial concern for investments and risk management. Investors and financial institutions require accurate forecasts of these price movements to hedge and optimize portfolios. This study aims to answer the question of whether Bitcoin's price will rise beyond 5% within the next 7 days by utilizing on-chain, market, and sentiment data from February 2018 to December 2025. The proposed model consists of a multi-scale temporal convolutional network with InceptionTCN blocks, CNN channel attention, adaptive average pooling, and a pairwise ranking loss. Dilated convolutions with bottleneck and fusion layers are employed to efficiently capture features over horizons from 1 to 4 days. Given the class imbalance in the dataset, AUC is used instead of accuracy and other classification metrics to reflect the model's performance better. Subsequently, a profit-optimized decision threshold is also applied to align model selection with financial objectives. The proposed model is compared with 5 other baselines: ImprovedTCN_GRU, LSTM, TCN, XGBoost, and Random Forest. Results indicate that the proposed model achieved an AUC of 0.6316 and a profit of 1.703, outperforming all baseline models. Using a novel deep learning model would assist investors in making better financial decisions. |
| Date: | 2026–07 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2608.26174 |
| By: | Tomonori Kanno; Kensuke Ito; Yushi Yoshimura; Kyohei Shibano |
| Abstract: | Stablecoins, typically pegged to fiat currencies, cannot achieve true stability because they inherit fluctuations in the underlying unit of account. To overcome this limitation, we introduce a stablecoin pegged to the Maximum Likelihood Value (MLV), a newly defined unit of account derived as the most probable configuration of latent real-value movements that explains observed nominal-value (price) changes. Grounded in inferential statistics and modern portfolio theory, MLV represents the most stable unit of account, as it enforces a zero real return on the minimum-variance portfolio. Empirical results confirm the operational viability of an MLV-pegged stablecoin: MLV can be computed in real time from 500 asset price series and improves annualized returns and Sharpe ratios while substantially reducing turnover in portfolio optimization. |
| Date: | 2026–08 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2608.30225 |
| By: | Sean Wan; Dongping Liu; Luyao Zhang |
| Abstract: | We introduce StableEval Arena, a cost-aware benchmark framework for evaluating agentic AI systems on stablecoin peg-risk prediction. StableEval Arena evaluates LLM-backed agentic systems on diagnosing peg stress and forecasting deviations from the one-dollar peg over a hidden seven-day horizon, using leakage-safe historical replay with exchange price-volume data and market-context features. We report two complementary experiment blocks: a 120-case stress-enriched validation block and a 507-case natural-distribution full-arena evaluation block. Across six LLM-backed agent configurations and baselines, StableEval Arena measures prediction quality, calibrated-label behavior, structured-output reliability, latency, token consumption, and estimated inference cost. Rather than ranking agents by accuracy alone, the framework treats trustworthiness as a joint property of forecast quality, operational reliability, and computational cost. The results show a gap between protocol-following reliability and financial-risk reliability: agents reliably produce valid structured outputs at modest measured cost, but still miss most rare severe-stress and sustained-depeg cases. To support auditing and replication, we release the benchmark dataset on Hugging Face and the source code on GitHub. |
| Date: | 2026–08 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2609.18949 |