Research

Active Research
a non-comprehensive list of research
projects to which we are actively contributing

Quantitative Risk Analysis of Stablecoin Yield Strategies

Modelling Stablecoin Crashes

Game Theory of Stablecoins

Agent-Based Simulation of Stablecoin Systems

Profitability Survey of "Just in Time" Liquidity Providing

Emperical Evaluation of Tau-Reset Strategies in Uniswap V3

Risk Profile Characterization of Stablecoin Yield-Farming Protocols

Narwhal Reading List
a non-comprehensive list of research that inspires our work

Market Trends and Modelling

Gerlach, Jan-Christian, C. F. A. Zhao, and Didier Sornette. "Forecasting Financial Crashes: A Dynamic Risk Management Approach." Swiss Finance Institute Research Paper 20-103 (2020).

Gerlach, Jan-Christian, Jerome Kreuser, and Didier Sornette. "Awareness of crash risk improves Kelly strategies in simulated financial time series." arXiv preprint arXiv:2004.09368 (2020).

Ledoit, Olivier, and Michael Wolf. "The power of (non-) linear shrinking: A review and guide to covariance matrix estimation." Journal of Financial Econometrics 20.1 (2022): 187-218.

Coqueret GU, Milhau VI. Estimating covariance matrices for portfolio optimization. ERI Scientific Beta White Paper. (2014).

De Nard, Gianluca, Olivier Ledoit, and Michael Wolf. "Factor models for portfolio selection in large dimensions: The good, the better and the ugly." Journal of Financial Econometrics 19.2 (2021): 236-257.

Merton, Robert C. "On the pricing of corporate debt: The risk structure of interest rates." The Journal of finance 29.2 (1974): 449-470.

Pogue, Gerald A. "An extension of the Markowitz portfolio selection model to include variable transactions' costs, short sales, leverage policies and taxes." The Journal of Finance 25.5 (1970): 1005-1027.

Stablecoin Modelling

Grobys, Klaus, et al. "On the stability of stablecoins." Journal of Empirical Finance 64 (2021): 207-223.

Klages-Mundt, Ariah, and Andreea Minca. "While stability lasts: A stochastic model of stablecoins." arXiv preprint arXiv:2004.01304 (2020).

Chohan, Usman W. "Are stable coins stable?." Notes on the 21st Century (CBRi) (2019).

Levene, Mark. "A hypothesis test for the goodness-of-fit of the marginal distribution of a time series with application to stablecoin data." Engineering Proceedings 5.1 (2021): 10.

Jarno, Klaudia, and Hanna Kołodziejczyk. "Does the design of stablecoins impact their volatility?." Journal of Risk and Financial Management 14.2 (2021): 42.

García, Alejandro, Bena Lands, and Dennis Yanchus. Stablecoin assessment framework. No. 2021-6. Bank of Canada Staff Discussion Paper, 2021.

Boltshauser, Thomas, and Jean-Marc Seigneur. "Stablecoin DC Architecture Analysis (2021 version)." (2021).

Saengchote, Kanis. "A DeFi Bank Run: Iron Finance, IRON Stablecoin, and the Fall of TITAN." IRON Stablecoin, and the Fall of TITAN (July 16, 2021) (2021).

Decentralized Finance

Bartoletti, Massimo, James Hsin-yu Chiang, and Alberto Lluch-Lafuente. "A theory of automated market makers in defi." International Conference on Coordination Languages and Models. Springer, Cham, 2021.

Mohan, Vijay. "Automated market makers and decentralized exchanges: a DeFi primer." Financial Innovation 8.1 (2022): 1-48.

Adams, Hayden, et al. "Uniswap v3 core." (2021).

Aigner, Andreas A., and Gurvinder Dhaliwal. "Uniswap: Impermanent loss and risk profile of a liquidity provider." arXiv preprint arXiv:2106.14404 (2021).

Wang, Yongge. "Automated market makers for decentralized finance (defi)." arXiv preprint arXiv:2009.01676 (2020).

Yin, Jimmy, and Mac Ren. "On Liquidity Mining for Uniswap v3." arXiv preprint arXiv:2108.05800 (2021).

Neuder, Michael, et al. "Strategic liquidity provision in uniswap v3." arXiv preprint arXiv:2106.12033 (2021).

Fan, Zhou, et al. "Differential Liquidity Provision in Uniswap v3 and Implications for Contract Design." arXiv preprint arXiv:2204.00464 (2022).

Krishnamachari, Bhaskar, Qi Feng, and Eugenio Grippo. "Dynamic curves for decentralized autonomous cryptocurrency exchanges." arXiv preprint arXiv:2101.02778 (2021).

Port, Alexander, and Neelesh Tiruviluamala. "Mixing Constant Sum and Constant Product Market Makers." arXiv preprint arXiv:2203.12123 (2022).

Egorov, Michael. "StableSwap-efficient mechanism for Stablecoin liquidity." Retrieved Feb 24 (2019): 2021.

Blockchain More Generally

Carboni, D. (2015). Feedback based Reputation on top of the Bitcoin
Blockchain. arXiv preprint arXiv:1502.01504.

Göbel, J., Keeler, P., Krzesinski, A. E., & Taylor, P. G. (2015). Bitcoin Blockchain Dynamics: the Selfish-Mine Strategy in the Presence of Propagation Delay. arXiv preprint arXiv:1505.05343

Peters, G. W., Panayi, E., & Chapelle, A. (2015). Trends in crypto-currencies and blockchain technologies: A monetary theory and regulation perspective. Available at SSRN 2646618.

Trimborn, S., & Härdle, W. K. (2015). CRIX or evaluating Blockchain based currencies (No. SFB649DP2015-048). Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

Citation: S Nakamoto. “Bitcoin: A Peer-to-Peer Electronic Cash
System” Posted: 2008

Citation: Buterin, Vitalik. "A next-generation smart contract and
decentralized application platform." white paper 3.37 (2014): 2-1.