Most portfolio selection rules based on the sample mean and covariance matrix perform poorly out-of-sample. Moreover, there is a growing body of evidence that such optimization rules are not able to beat simple rules of thumb, such as 1/N. Parameter uncertainty has been identified as one major...

Systems that use blockchain technology to improve the know-your-customer (KYC) process have only been proposed at a conceptual level and all share certain attributes that make their adoption by financial institutions (FIs) very difficult. We propose and program a blockchain-based system that...

On August 8, 2022, the U.S. Department of the Treasury’s Office of Foreign Assets Control (OFAC) sanctioned the service of ‘Tornado Cash,’ a so-called mixer used to obfuscate the otherwise transparent money trail on the Ethereum blockchain. The service was claimed to launder more than USD...

Perpetual futures -- swap contracts that never expire -- are by far the most popular derivative traded in cryptocurrency markets, with more than $100 billion traded daily. Perpetuals provide investors with leveraged exposure to cryptocurrencies, which does not require rollover or direct...