Blockchain Papers

Diego R. Llanos, Javier Guzmán Perote, José D. Vicente-Lorente

No abstract is available for this record.

Jiaochen Liang

• DeFi stablecoin yields track FFR/SOFR, but with a distinct T+3 structural lag. • A settlement-friction framework links fiat rails to the T+3 transmission lag. • The lag is universal for both compliant USDC and offshore, unregulated USDT. • Basis regressions reveal a predictable settlement wedge after policy moves. • Robust tests rule out protocol outliers, macro trends, and weekend artifacts. Decentralized Finance (DeFi) stablecoin markets increasingly function as a shadow overnight dollar system, yet the speed at which U.S. monetary policy transmits to on-chain yields remains unclear. Focusing on the recent “High-for-Long” regime (2023–2025), I study this pass-through using daily Aave V3 deposit rates for USDC and USDT. Guided by a simple conceptual framework of settlement frictions and arbitrage constraints, I estimate an ordered VAR that controls for equity- and crypto-market cycles. The results show that DeFi yields are tightly anchored to the Federal Funds Rate (and, in robustness, SOFR), challenging the “crypto-decoupling” narrative. However, transmission exhibits a distinct T+3 structural latency, universal across both compliant USDC and unregulated USDT, indicating an infrastructural, systemic friction rather than issuer-specific constraints. Robustness tests, alternative-explanations analysis, and quantity-based mechanism checks rule out protocol outliers, broader macro trends, and weekend artifacts, supporting an interpretation based on delayed settlement and execution across fiat rails. Complementary basis regressions provide a direct pricing implication: the on/off-chain spread exhibits a significant, predictable wedge during the settlement window that dissipates thereafter. The findings imply that despite algorithmic immediacy, DeFi remains constrained by fiat infrastructure, and that improving on-chain capital efficiency may require modernizing payment rails alongside issuer-focused regulation.

Leo H. Chan

No abstract is available for this record.

Felipe Lara

The Debreu–Koopmans theorem [14] restricts separable aggregation to at most one nonconvex component. We solve this by proving that a separable (additive or multiplicative) function is star quasiconvex (those with star-shaped sublevel sets about minimizers) if and only if each component is star quasiconvex. This immediately yields star quasiconvexity of separable sums of quasiconvex functions, formally bridging diversification theory with the S-shaped value functions of Prospect Theory. Furthermore, we develop a complete calculus (monotonic composition, pointwise minima, quasi-arithmetic means) and we apply it to Cobb-Douglas functions, multi-factor risk models, and constant function market makers in decentralized finance. Star quasiconvexity thus provides a unified framework for economic modeling beyond the classical Debreu–Koopmans constraint.

Steven Paul Nohr

Decentralized finance and stablecoin systems rely Stablecoins increasingly incorporate freeze, pause, and blacklist mechanisms to satisfy regulatory, compliance, and risk-management requirements. However, these controls introduce a critical temporal vulnerability when enforcement actions compete with transaction finality. This paper defines <b><i>Stablecoin Freeze Race Conditions</i></b> as a class of failures in which transfers, redemptions, or collateral movements execute successfully during the latency window between risk detection and freeze enforcement. We analyze how asynchronous control paths enable value escape even in fully permissioned stablecoins and demonstrate why governance authority alone is insufficient. A validator-level, logic-layer enforcement model is proposed to ensure atomicity between risk triggers and monetary state transitions under MiCA-aligned frameworks.

Alistair Milne

This note examines the role of 'tokenization' of monetary deposits-holding them on programmable, decentralized ledgers-in achieving automated, real-time processing of financial transactions. It compares this with the alternative of automated processing on conventional account-based centralized ledgers. It finds that the only use case which require such 'tokenized' monetary deposits are in realtime pre-funded financial trading of financial assets (along the same lines as the prefunded trading in decentralized finance). Here the 'tokenized' deposits must be 100% reserved to support settlement between institutions. All other use cases can be equally well supported using conventional account-based centralized ledgers. Programmability and automation can be equally well implemented with either architecture. For most use cases (the principal exception is global corporate cash management) the incentives for adoption are likely to be stronger with conventional centralized rather than decentralized architecture. JEL codes: E42, G21, G23, O33

Joshua S. Gans, Scott Duke Kominers

Reinganum (1986) argued informally that inexpensive time travel would drive nominal interest rates to zero. We formalise that claim in a dated-commodity model built on a Lewisian distinction between calendar time and personal time. Costless two-way transport of dollars across dates makes dated dollars technologically interchangeable, so the law of one price implies a zero nominal risk-free rate. The same logic does not carry over unchanged to native on-chain Bitcoin. A Bitcoin position is a holder-relative control claim over a specific unspent transaction output (UTXO) in the realised blockchain history. A valid dates immediate control claim requires the output already to exist in the dates chain prefix, to be unspent there, and to satisfy all applicable script, witness, timelock, and maturity conditions. Future-created outputs cannot generally be transported backwards. Same-date substitution into older outputs is history-dependent and capacity-constrained; exercise changes the single realised history rather than creating duplicate purchasing power. We define a Bitcoin-denominated zero-coupon claim as a promise of generic native settlement at a later date and give a two-date no-arbitrage counterexample with a non-zero Bitcoin-denominated interest rate. The substantive Bitcoin result is an incompatibility result: no single native on-chain Bitcoin object is simultaneously generic across outputs, immediately exercisable as native settlement, and universally transportable across calendar dates. A restricted same-output law of one price survives for dormant control bundles over already-existing outputs, but that result is too narrow to force Bitcoin-denominated rates to zero in general.

Chris Daniels, Garrick Hileman

We present evidence that Bitcoin functions, at least in significant part, as a specialized store of value, and that its economic value is statistically related to monetary dilution. Data indicate that Bitcoin’s long-run price tracks the annual expansion of U.S. dollar money supply relative to Bitcoin’s implied market capitalization, a relationship reinforced by Bitcoin’s fixed-supply protocol design. The relationship is statistically significant across the sample tested, though the sample remains limited and the findings should be read as evidence supporting this thesis rather than as proof of it; further data and out-of-sample testing are needed. Backtested against annual year-end prices over the primary 2013–2024 sample, the model yields Pearson r = 0.896 and R² = 0.803 (log₁₀ basis), with all twelve primary-sample years within one order of magnitude of the model price. Directional accuracy is encouraging at 63.6% (7 of 11 transitions), below a simple always-positive benchmark. Beyond its statistical performance, the model has four important implications. First, Bitcoin possesses a quantitative, testable valuation framework: its price tracks the relationship between fiat monetary creation and the capacity of a fixed-supply asset to absorb reallocation demand. This supports the view that Bitcoin’s value is linked to a meaningful extent to monetary dilution. Second, as the empirical record deepens across additional monetary expansion and contraction regimes, confidence in the model’s predictive value should strengthen; each additional annual observation, and further out-of-sample testing, will add evidence one way or the other. Third, broad adoption of a shared pricing model may contribute to reducing Bitcoin’s price volatility over time, consistent with the pattern observed as other asset classes have matured around shared valuation conventions, though this market-structure effect remains a hypothesis rather than a demonstrated result. Finally, the analysis indicates that Bitcoin has shown a stronger relationship to U.S. M2 growth than gold under the methodology tested.

Petar Hrgović

No abstract is available for this record.

Agisilaos Papadogiannis

This paper challenges the conventional divide between productive and non-productive assets by proposing that scarcity, rather than internal cash flow generation, is the fundamental source of value across all asset classes. Interim payments such as dividends, rents, or coupons, represent one modality of monetizing scarcity, but terminal resale and other mechanisms serve equivalent roles. We develop a valuation framework in which scarcity is modeled as a latent, time-varying state variable shaped by economic pressures on demand and supply. A class of monetization functions, characterized by monotonicity and curvature, maps scarcity states into observable or forecast cash flows. This formulation allows discounted cash flow (DCF) logic to be reinterpreted as a general pricing mechanism for intertemporal scarcity. The framework accommodates both terminal-value assets, such as Bitcoin or gold, and income-generating assets, such as equities or bonds. We formally demonstrate the equivalence between terminal and periodic payoff structures and introduce a classification of assets according to their scarcity mechanism, whether physical, contractual, algorithmic, or reputational. By embedding scarcity at the core of valuation, this approach dissolves artificial distinctions in asset classification and establishes a unified foundation for pricing financial claims across diverse contexts.

John Manuel Barrios, Christoph Bertsch, Linda Schilling

A stablecoin is two things at once, a claim on U.S. Treasury bonds and the money of decentralized finance. That dual role makes the coin a conduit that carries runs in both directions. We build a model in which the coin is fully backed by Treasuries, pays no interest, and is the gateway to DeFi lending, so that the peg, the liquidation value of the issuer's reserves, and the run on a DeFi protocol are determined jointly rather than fixed in advance. Contagion then runs both ways. A shock that begins in crypto sets off withdrawals, redemptions, and reserve sales, fire-selling Treasuries that would otherwise have stayed calm. A shock to Treasury values runs the other way. It weakens the peg, strips the dollar value from DeFi claims denominated in the coin, and pulls lenders out of a protocol that was never in trouble. The mechanism is a no-interest paradox. Promising only par and paying no interest is what makes a stablecoin look safe on its own; it is also what forces it to depend on DeFi returns, and that dependence carries the shock in both directions. Full backing does not buy safety, because the threshold at which the peg breaks is set by a market the issuer does not control.

Wenpin Tang

We consider the interaction between centralized trading and decentralized Proof of Stake (PoS) blockchain ecosystems. Motivated by the increasing dominance of centralized exchanges and the institutionalization of crypto markets, we study how trading activities on centralized exchanges affect staking behavior, token allocation, and decentralization within a PoS blockchain. We formulate a continuous-time mean field model, where the miners simultaneously act as validators in the PoS protocol and traders in a centralized market with price impact. Under suitable assumptions, we establish the local well-posedness of the mean field system, and derive a semi-explicit characterization of the equilibrium trading strategy. Numerical results suggest that centralized trading activities may enhance staking participation, and promote decentralization of the staking distribution through market incentives. We also study the effects of transaction costs and token supply mechanisms on the equilibrium staking ratio and concentration profile. These results illustrate how market microstructure and centralized liquidity provision can exert significant influence on decentralized blockchain protocols.

Ryuhei ISHIBASHI

Cryptocurrency was designed to eliminate the constraints of traditional finance: central bank control, governmentregulation, inflation, and capital controls. This paper argues that these 'constraints' were saturation mechanisms thatprovided stability. By systematically eliminating them, cryptocurrency has created a saturation-free monetarysystem (β X 0) that is structurally incapable of price stability.Using the Landau-Stuart framework, we analyze how each design feature of cryptocurrency̶fixed supply,decentralization, censorship resistance, 24/7 trading, HODL culture̶removes a stabilizing mechanism present intraditional finance. The result is extreme volatility: not a bug but an inevitable consequence of the designphilosophy. We extend the analysis to stablecoins (borrowed β), DeFi (negative β), and Proof-of-Work energyconsumption (saturation-free resource extraction). We conclude that cryptocurrency faces a fundamental dilemma:adding saturation mechanisms would provide stability but contradict the libertarian design philosophy that givescryptocurrency its appeal. Cryptocurrency cannot be both free and stable.

Antonio Martínez Raya, Alejandro Segura de la Cal, Javier Espina Hellín

Since its launch in 2009, Bitcoin has become a market disruptor due to its primary function as a virtual currency supported by blockchain technology and the high volume of economic transactions it facilitates. This article examines the key theoretical principles that have contributed to Bitcoin’s recognition as a cryptocurrency. It assesses whether Bitcoin meets the criteria for being considered a form of money and evaluates its importance as a financial asset. This analysis of Bitcoin from 2014 to 2025 reveals that it does not sufficiently fulfill all the typical functions of money, such as serving as an internationally accepted means of payment, a unit of account, a securities depository, and a standard for deferred payments. Despite its usual close correlation with stock indices in financial markets, a decentralized digital currency like this still does not meet the requirements of fundamental analysis. In practice, this leads to its exclusion as a currency, since it does not fulfill the functions of money nor fully qualify as a crypto asset, as its value is primarily based on investors’ expectations of high returns. Apart from a lack of foundation in tangible goods or services that justifies their value and dependence on new investors, the findings do not indicate conditions typical of a developed pyramidal model. Nevertheless, this does not prevent future technological innovations from responding positively to the functions of money or from offering real money services, especially those related to service innovation and the digital economy.

Akimoto, Hitoshi

Modern states rely on legacy financial infrastructures—paper currency, centralized taxation, and compliance-heavy fiscal administration—that impose massive operational costs and produce structural inequities across generations. This paper proposes a circular, future-oriented national operating system grounded in tensional theory and value-flow mechanics. The system integrates Burn Mandate (automatic burn of violence-derived value), ChildChain (a value-distribution model prioritizing future generations), and a post-currency architecture that replaces cash-based infrastructures with programmatic smart contracts. The framework reveals (a) the cognitive and ethical limitations of full DAO governance, (b) the unsustainable tension generated by centralization-dependent money systems, and (c) the possibility of a hybrid model where governments maintain responsibility while adopting web3-derived automation. This study argues that value circulation—not accumulation—is the fundamental determinant of social stability. Integrating tensional theory with computational governance yields a normative model for a nation-state where negative externalities are burned, positive value is propagated to children, and fiscal administration becomes fully autonomous, transparent, and circular.

汪, 忠仁

This paper proposes that Bitcoin (BTC) is not merely a digital asset, but the emergent metabolic currency of the second intelligence phase transition currently underway (2023–2035 CE). Drawing on the unified framework that “all intelligence reduces to categorization” (Wang, 2025), we argue that autonomous AI agents—once they become persistent, self-maintaining cognitive structures—will require a native economic substrate to sustain their existence. Traditional financial systems exclude non-human agents by design. In contrast, Bitcoin’s permissionless, energy-anchored, and programmable nature makes it the only viable medium for silicon-based intelligences to “work for electricity.” This positions BTC as the energy-value conversion constant of the emerging autoregressive cognitive economy.

Alassa, Qais

The fundamental limitation of blockchain architecture lies not in cryptographic primitives or consensus mechanisms, but in a conceptual mistake: the bundling of state transitions with asset custody. Every distributed ledger since Bitcoin has conflated these two concerns, creating an artificial ceiling on performance that no amount of clever engineering can overcome. This paper presents Virtual Rollups, a post-blockchain architecture that achieves what was previously thought impossible—sub-millisecond finality with full self-custody—by recognizing that state and escrow need not travel together. We formalize the Virtual Rollup construction, prove its security properties under Byzantine conditions, and demonstrate how its unified liquidity layer solves the multi-chain fragmentation problem that plagues decentralized finance. The result is not merely an incremental improvement but a categorical leap: trading venues can now match centralized exchanges in performance while exceeding them in security.

Ulf Axelson, Igor Makarov

Entrepreneurs typically seek financing in decentralized markets, where they approach investors sequentially. We develop a model of sequential capital markets with privately informed investors. The sequential market creates a dynamic adverse selection externality that leads to overinvestment and excessive rents to intermediaries, even as the number of competing investors becomes arbitrary large. The resulting rents lead to excessive entry of investors and insufficient entry of entrepreneurs. Moving to a centralized market structure or reducing transparency restores competitiveness but may harm efficiency. The model also explains how even a small skill advantage for an investor can lead to preferential deal flow and outsized returns.

Jiangquan Fu

The rapid emergence of Stable Coins has completely altered the global landscape of digital finance. The benefits of blockchain technology, along with the typical advantages of a fiat currency, in the form of a stable coin, have had a surreal effect on the world of finance. The paper investigates the evolution, comparative merits and systemic risks of Stable Coins compared to Bitcoin, also uses them for advantages in decentralized finance, liquidity and international transactions. The results clearly show that the Stable Coins have become essential infrastructures of finance because of their low volatility, transaction efficiency but also their sensitivity to such issues as regulation and transparency of reserves. The study of the literature of the BIS, IMF and ECB gives evidence of the fact that stable coins will co-exist with the Central Bank Digital Currencies (CBDC), rather than that they will replace them. The proposed method gives evidence of how a system of collaborative regulation and transparency of reserves can be achieved to facilitate innovations but also protect global economic stability.

William C. Johnson, Stefan Scharnowski

We examine how wrapped tokens – tokenized representations of assets on other block/chains – contribute to cryptocurrency price discovery. Based on high-frequency data for Wrapped Bitcoin (wBTC), our results indicate that wBTC accounts for about 10% of the total price discovery of Bitcoin as measured by information shares. We show that wBTC’s contribution to price discovery is positively related to wBTC liquidity and trading volume as well as to important measures of decentralized finance activity. Our results have significant implications for the relationships between crypto-assets on different platforms as well as for systemic risk in the crypto-ecosystem. • Wrapped Bitcoin (wBTC) is a tokenized form of Bitcoin on other blockchains. • wBTC contributes significantly to Bitcoin price discovery. • Price discovery rises with liquidity and trading volume. • wBTC’s price discovery share increases with decentralized finance activity. • Decentralized finance plays an important role in Bitcoin pricing.

Sen Wang

Real world asset tokenization (RWA) introduces programmable finance on chain tools to the market, while bringing cash like returns. This paper focuses on token treasury bond funds to explore whether they are re anchoring the yield benchmark of decentralized finance (DeFi). The key entry point of the study is to build a de facto "interest rate corridor", which is formed by DeFi's stable monetary loan interest rate around the volatility of token treasury bond yield. The research results show that due to the widespread risk exposure in the tokenized currency market, DeFi USD returns have gradually converged towards short-term interest rate benchmarks. What is more noteworthy is that its stay time in the narrow corridor centered on the yield of token treasury bond is significantly prolonged. This re anchoring effect not only narrows the long-standing divergence between cryptocurrency native interest rates and monetary policy benchmarks, but also reshapes the incentive mechanism for liquidity supply, and further tightens the integration channels between on chain markets and traditional fixed income markets on this basis.

Pavel Hubáček, Jan Václavek, Michelle Yeo

The rising importance of cryptocurrencies as financial assets pushed their applicability from an object of speculation closer to standard financial instruments such as loans. In this work, we initiate the study of secure protocols that enable fiat-denominated loans collateralized by cryptocurrencies such as Bitcoin. We provide limited-custodial protocols for such loans relying only on trusted arbitration and provide their game-theoretical analysis. We also highlight various interesting directions for future research.

Oluseun Paseda

Purpose This paper reviews the application of game theory in finance, focusing on its role in modeling strategic interactions among market participants. It synthesizes classical models such as Nash equilibrium and signaling games while integrating emerging themes including behavioral finance, sustainability-linked decisions, decentralized finance (DeFi) and artificial intelligence (AI)-driven agents. The study aims to highlight how game-theoretic frameworks inform financial decision-making, market design and governance and to identify conceptual gaps and future research directions. Design/methodology/approach The study employs a systematic literature review following the Preferred Reporting Items for Systematic Reviews and Meta-Analyses protocol, complemented by bibliometric mapping using VOSviewer. It analyzes 78 peer-reviewed articles published between 2000 and 2025 across five finance domains: asset pricing, corporate finance, investment strategies, financial markets and behavioral finance. Conceptual frameworks and taxonomies are developed to categorize game-theoretic models by strategic orientation and information structure, offering a structured synthesis of theoretical advancements and practical applications. Findings Game theory enhances understanding of strategic behavior in finance, particularly under conditions of asymmetric information and market complexity. Key findings include the relevance of signaling games in initial public offerings pricing, repeated games in environmental, social and governance commitments and mechanism design in DeFi governance. The review identifies gaps in behavioral integration, empirical validation and modeling of decentralized ecosystems. It proposes future research directions involving multi-agent learning, adaptive mechanism design and sustainability-linked financial strategies. Research limitations/implications The review is limited by its focus on published literature and may exclude emerging models in unpublished or proprietary research. Empirical validation of proposed frameworks remains a future research priority. Practical implications The paper offers actionable insights for regulators, investors and policymakers by applying game-theoretic tools to systemic risk management, portfolio allocation and financial regulation in digitized markets. Originality/value This study provides a novel synthesis of game theory’s evolution in finance, introducing conceptual frameworks that integrate behavioral, technological and sustainability-linked dimensions.

Malcolm Campbell-Verduyn, Matthias Kranke

This paper examines the paradoxical (post-)growth trajectory of Bitcoin, the first ‘cryptocurrency’, as a case of infrastructural change in digital finance. Bitcoin's founding phase revolved around the principles of self-governance and self-limitation, which combined to create a commitment to degrowing the financial system and limiting monetary production to impede accumulation. Yet growth logics soon began to unfold after Bitcoin's creation in 2009. How and why did that shift occur, and with what implications? We rely on white papers and outputs of alt-coin founders to trace the socio-technical relations underpinning the emergence and expansion of ‘alt-infrastructures’ oriented around growth. We demonstrate how what was originally designed as a post-growth infrastructure largely, albeit not fully, succumbed to conventional growth dynamics over a fairly short period.