This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Carlo simulation-based mean-variance and...

In this study, a mathematical model of proof-of-work cryptocurrency valuation is developed based on the concepts of simultaneous equilibria in two mining games, the purchasing power parity in the system of equations of exchange and the network effects of transaction cost optimisation in the...

In this article we develop a completely new method of microeconomic optimization of a retail outlet. It shows how many substitute goods of each kind a firm should purchase within a trading period in order to maximize its profit given the purchase prices, trade margins and the preference...

This paper is the first to rigorously test commonly cited simplistic theories of cryptocurrency pricing, namely, cost-based model and Metcalfe's law, using causal inferences from the instrumental variables approach on block-level data for six proof-of-work coins. Positive effects of hashrate and...

This study develops a novel generalised seasonality test that utilises sequential dummy variable regressions for seasonality periodicity equal to prime numbers. It allows both to test for existence of any seasonal patterns against the broad null hypothesis of no seasonality and to isolate most...

In this paper, an original international trade mathematical model is suggested. It studies a possibility of equilibrium on a world market of n countries and m tradable goods, applying linear algebra, linear programming and cooperative game theory (precisely, Shapley value). The model shows that...

This study applies Fama-French-style factor loading analysis to cryptocurrency financial performance data to determine the originality of 32 reportedly novel consensus algorithms (“proofs”) and 20 hybrid consensus mechanisms as compared to conventional proof-of-work and proof-of-stake using...