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Credit networks represent a way of modeling trust between entities in a network. Nodes in the network print their own currency and trust each other for a certain amount of each other's currency. This allows the network to serve as a decentralized payment infrastructure---arbitrary payments can be routed through the network by passing IOUs between trusting nodes in their respective currencies---and obviates the need f…
A direct method for calculating default rates by industry and target corporate segments is not possible given the lack of statistical data. The proposed paper considers a model for filtering the dynamics of the probability of default of corporate companies and other borrowers based on indirect data on the dynamics of overdue debt supplied by the Bank of Russia. The model is based on the equation of the balance of tot…
Transaction costs and regime shifts are major reasons why paper portfolios fail in live trading. We introduce FR-LUX (Friction-aware, Regime-conditioned Learning under eXecution costs), a reinforcement learning framework that learns after-cost trading policies and remains robust across volatility-liquidity regimes. FR-LUX integrates three ingredients: (i) a microstructure-consistent execution model combining proporti…
Mid-cap companies, generally valued between \$2 billion and \$10 billion, provide investors with a well-rounded opportunity between the fluctuation of small-cap stocks and the stability of large-cap stocks. This research builds upon the long-short equity approach (e.g., Michaud, 2018; Dimitriu, Alexander, 2002) customized for mid-cap equities, providing steady risk-adjusted returns yielding a significant Sharpe ratio…
Our main task is to study the effect of corporate governance on the market liquidity of listed companies' stocks. We establish a theoretical model that contains the heterogeneity of investors' beliefs to explain the mechanisms by which corporate governance improves liquidity of the corporate stocks. In this process we found that the existence of noise traders who are semi-informed in the market is an important condit…
In order to scale transaction rates for deployment across the global web, many cryptocurrencies have deployed so-called "Layer-2" networks of private payment channels. An idealized payment network behaves like a Credit Network, a model for transactions across a network of bilateral trust relationships. Credit Networks capture many aspects of traditional currencies as well as new virtual currencies and payment mechani…
This paper examines the validity of the Capital Asset Pricing Model (CAPM) on the Ugandan stock market using monthly stock returns from 10 of the 11 companies listed on the Uganda Stock Exchange (USE), for the period 1st March 2007 to 10th November 2009. Due to the absence of readily available Uganda Stock Exchange(USE) data, and the placement of daily price lists in pdf only, on the USE website: http://www.use.or.ug…
Algorithmic stablecoins promise decentralized monetary stability by maintaining a target peg through programmatic reserve management. Yet, their reserve controllers remain vulnerable to regime-blind optimization, calibrating risk parameters on fair-weather data while ignoring tail events that precipitate cascading failures. The March 2020 Black Thursday collapse, wherein MakerDAO's collateral auctions yielded $8.3M i…
Digital Asset Treasury (DAT) companies, public firms that hold large crypto reserves as a core strategy, deliver levered exposure to digital assets but face acute downside risk when equity premia over net asset value multiples (mNAV) compress in bear markets. This paper develops a survival framework that couples conservative treasury policy with an operating line that monetizes holdings independent of mark-to-market …
In response to growing demand for resilient and transparent financial instruments, we introduce a novel framework for replicating private equity (PE) performance using liquid, AI-enhanced strategies. Despite historically delivering robust returns, private equity's inherent illiquidity and lack of transparency raise significant concerns regarding investor trust and systemic stability, particularly in periods of height…
In this paper, we developed the Merton's structural model for public companies under an assumption that liabilities of the companies are observed. Using Campbell and Shiller's approximation method, we obtain formulas of risk-neutral equity and liability values and default probabilities for the public companies. Also, the paper provides ML estimators of suggested model's parameters.
There is emerging evidence that trust-region (TR) algorithms are very effective at solving derivative-free nonconvex stochastic optimization problems in which the objective function is a Monte Carlo (MC) estimate. A recent strand of methodologies adaptively adjusts the sample size of the MC estimates by keeping the estimation error below a measure of stationarity induced from the TR radius. In this work we explore st…
This study explores the potential impact of introducing a Central Bank Digital Currency (CBDC) on financial stability in an emerging dual-currency economy (Romania), where the domestic currency (RON) coexists with the euro. It develops an integrated analytical framework combining econometrics, machine learning, and behavioural modelling. CBDC adoption probabilities are estimated using XGBoost and logistic regression …
Small and Medium-sized Enterprises (SMEs) are known to play a vital role in economic growth, employment, and innovation. However, they tend to face significant challenges in accessing credit due to limited financial histories, collateral constraints, and exposure to macroeconomic shocks. These challenges make an accurate credit risk assessment by lenders crucial, particularly since SMEs frequently operate within inte…
Through its initiative known as the Climate Change Act (2008), the Government of the United Kingdom encourages corporations to enhance their environmental performance with the significant aim of reducing targeted greenhouse gas emissions by the year 2050. Previous research has predominantly assessed this encouragement favourably, suggesting that improved environmental performance bolsters governmental efforts to prot…
This paper investigates the evolving link between cryptocurrency and equity markets in the context of the recent wave of corporate Bitcoin (BTC) treasury strategies. We assemble a dataset of 39 publicly listed firms holding BTC, from their first acquisition through April 2025. Using daily logarithmic returns, we first document significant positive co-movements via Pearson correlations and single factor model regressi…
With market capitalization exceeding USD250 billion by mid-2025, stablecoins have evolved from a crypto-focused innovation into a vital component of the global monetary structure. This paper identifies the characteristics of stablecoins from an analytical perspective and investigates the role of stablecoins in forming a hybrid monetary ecosystem where public (fiat, CBDC) and private (USDC, USDT, DAI) monies coexist. …
This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electricity market, the model effectively captures key empirical features, including intra-session volatility, distinct intraday market activity patterns, and the Samuelson effect as gate closure approaches. By integrating a transient price impac…