{"id":"https://openalex.org/W4286698121","doi":"https://doi.org/10.1111/mafi.12357","title":"While stability lasts: A stochastic model of noncustodial stablecoins","display_name":"While stability lasts: A stochastic model of noncustodial stablecoins","publication_year":2022,"publication_date":"2022-07-22","ids":{"openalex":"https://openalex.org/W4286698121","doi":"https://doi.org/10.1111/mafi.12357"},"language":"en","primary_location":{"id":"doi:10.1111/mafi.12357","doi":"https://doi.org/10.1111/mafi.12357","is_oa":false,"landing_page_url":"https://doi.org/10.1111/mafi.12357","pdf_url":null,"source":{"id":"https://openalex.org/S133335107","display_name":"Mathematical Finance","issn_l":"0960-1627","issn":["0960-1627","1467-9965"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","fnege-2","jufo-2","ki-jl-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2004.01304","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5077247630","display_name":"Ariah Klages\u2010Mundt","orcid":"https://orcid.org/0000-0002-5577-1000","observed_orcids":["https://orcid.org/0000-0002-5577-1000"]},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ariah Klages\u2010Mundt","raw_affiliation_strings":["Center for Applied Mathematics, Cornell University, Ithaca, New York, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Center for Applied Mathematics, Cornell University, Ithaca, New York, USA","institution_ids":["https://openalex.org/I205783295"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5027960285","display_name":"Andreea Minca","orcid":"https://orcid.org/0000-0002-2216-9793","observed_orcids":["https://orcid.org/0000-0002-2216-9793"]},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Andreea Minca","raw_affiliation_strings":["School of Operations Research and Information Engineering, Cornell University, Ithaca, New York, USA"],"raw_orcid":"https://orcid.org/0000-0002-2216-9793","affiliations":[{"raw_affiliation_string":"School of Operations Research and Information Engineering, Cornell University, Ithaca, New York, USA","institution_ids":["https://openalex.org/I205783295"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5027960285"],"corresponding_institution_ids":["https://openalex.org/I205783295"],"apc_list":{"value":3550,"currency":"USD","value_usd":3550},"apc_paid":null,"fwci":2.9298,"has_fulltext":true,"cited_by_count":31,"citation_normalized_percentile":{"value":0.91948314,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":100},"biblio":{"volume":"32","issue":"4","first_page":"943","last_page":"981"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.46560001373291016,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.46560001373291016,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.4000999927520752,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.060100000351667404,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/black-thursday","display_name":"Black Thursday","score":0.6809999942779541},{"id":"https://openalex.org/keywords/cryptocurrency-market","display_name":"cryptocurrency market","score":0.49000000953674316},{"id":"https://openalex.org/keywords/stochastic-modeling","display_name":"stochastic modeling","score":0.671999990940094},{"id":"https://openalex.org/keywords/quadratic-variation","display_name":"quadratic variation","score":0.6269999742507935},{"id":"https://openalex.org/keywords/large-deviations","display_name":"large deviations","score":0.9309999942779541},{"id":"https://openalex.org/keywords/short-squeeze","display_name":"short squeeze","score":0.7279999852180481},{"id":"https://openalex.org/keywords/collateral-liquidation","display_name":"collateral liquidation","score":0.652999997138977},{"id":"https://openalex.org/keywords/price-variance","display_name":"price variance","score":0.7120000123977661},{"id":"https://openalex.org/keywords/submartingales","display_name":"submartingales","score":0.7860000133514404},{"id":"https://openalex.org/keywords/deflationary-spiral","display_name":"deflationary spiral","score":0.7129999995231628}],"concepts":[{"id":"https://openalex.org/C2779019792","wikidata":"https://www.wikidata.org/wiki/Q5253658","display_name":"Deleveraging","level":3,"score":0.8755751848220825},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5765629410743713},{"id":"https://openalex.org/C8112001","wikidata":"https://www.wikidata.org/wiki/Q161081","display_name":"Deflation","level":3,"score":0.5679256319999695},{"id":"https://openalex.org/C47664361","wikidata":"https://www.wikidata.org/wiki/Q7242636","display_name":"Price variance","level":3,"score":0.5463777184486389},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.46453410387039185},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.3105212450027466},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.27452269196510315},{"id":"https://openalex.org/C165556158","wikidata":"https://www.wikidata.org/wiki/Q83937","display_name":"Keynesian economics","level":1,"score":0.2713667154312134},{"id":"https://openalex.org/C126285488","wikidata":"https://www.wikidata.org/wiki/Q178476","display_name":"Monetary policy","level":2,"score":0.20874717831611633},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.20672070980072021},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1111/mafi.12357","doi":"https://doi.org/10.1111/mafi.12357","is_oa":false,"landing_page_url":"https://doi.org/10.1111/mafi.12357","pdf_url":null,"source":{"id":"https://openalex.org/S133335107","display_name":"Mathematical Finance","issn_l":"0960-1627","issn":["0960-1627","1467-9965"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","fnege-2","jufo-2","ki-jl-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:arx:papers:2004.01304","doi":null,"is_oa":false,"landing_page_url":"http://arxiv.org/pdf/2004.01304","pdf_url":"http://arxiv.org/pdf/2004.01304","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:2004.01304","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/2004.01304","pdf_url":"https://arxiv.org/pdf/2004.01304","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"doi:10.48550/arxiv.2004.01304","doi":"https://doi.org/10.48550/arxiv.2004.01304","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2004.01304","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2004.01304","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/2004.01304","pdf_url":"https://arxiv.org/pdf/2004.01304","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G4050692241","display_name":"CAREER: Optimal Design, Policy and Risk Management of Central Nodes in Stochastic Networks","funder_award_id":"1653354","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":23,"referenced_works":["https://openalex.org/W748034040","https://openalex.org/W1599492665","https://openalex.org/W2023426016","https://openalex.org/W2043748962","https://openalex.org/W2118421287","https://openalex.org/W2157509893","https://openalex.org/W2312297414","https://openalex.org/W2626692761","https://openalex.org/W2884326120","https://openalex.org/W2948682647","https://openalex.org/W2972500917","https://openalex.org/W2974125212","https://openalex.org/W2983610410","https://openalex.org/W2986978885","https://openalex.org/W2997559324","https://openalex.org/W2997665797","https://openalex.org/W3037731558","https://openalex.org/W3121871767","https://openalex.org/W3122818531","https://openalex.org/W3123503292","https://openalex.org/W4288079492","https://openalex.org/W4321354111","https://openalex.org/W4402005694"],"related_works":["https://openalex.org/W3015091798","https://openalex.org/W4288335901","https://openalex.org/W3198456671","https://openalex.org/W4411574122","https://openalex.org/W6946140315","https://openalex.org/W4280623625","https://openalex.org/W3135001218","https://openalex.org/W4385291099","https://openalex.org/W7221809954","https://openalex.org/W4288079492"],"abstract_inverted_index":{"Abstract":[0],"The":[1],"\u201cBlack":[2],"Thursday\u201d":[3],"crisis":[4],"in":[5,11,25,90,101,149,154],"cryptocurrency":[6],"markets":[7],"demonstrated":[8],"deleveraging":[9,23,109,117],"risks":[10],"over\u2010collateralized":[12,27],"noncustodial":[13,147],"stablecoins.":[14],"We":[15,63,77,105,143],"develop":[16],"a":[17,44,107,114],"stochastic":[18],"model":[19],"that":[20,67],"helps":[21],"explain":[22],"crises":[24],"these":[26],"systems.":[28],"In":[29],"our":[30],"model,":[31],"the":[32,41,49,57,61,75,85,91,102,151],"stablecoin":[33],"supply":[34],"is":[35],"decided":[36],"by":[37,111,134,145],"speculators":[38],"who":[39],"optimize":[40],"profitability":[42],"of":[43,52,60,87,113],"leveraged":[45],"position":[46],"while":[47],"incorporating":[48],"forward\u2010looking":[50],"cost":[51],"collateral":[53,126],"liquidations,":[54],"which":[55,119,150],"involves":[56],"endogenous":[58],"price":[59,99,136],"stablecoin.":[62,76],"formally":[64],"characterize":[65],"regimes":[66],"are":[68,132],"interpreted":[69],"as":[70,138],"stable":[71,92],"and":[72,84,94,131],"unstable":[73,103],"for":[74],"prove":[78],"bounds":[79],"on":[80,140],"quadratic":[81],"variation":[82],"(QV)":[83],"probability":[86],"large":[88],"deviations":[89],"domain":[93],"we":[95],"demonstrate":[96],"distinctly":[97],"greater":[98],"variance":[100],"domain.":[104],"identify":[106],"deflationary":[108],"spiral":[110],"means":[112],"submartingale.":[115],"These":[116],"spirals,":[118],"resemble":[120],"short":[121],"squeezes,":[122],"lead":[123],"to":[124],"faster":[125],"drawdown":[127],"(and":[128],"potential":[129],"shortfalls)":[130],"accompanied":[133],"higher":[135],"variance,":[137],"experienced":[139],"Black":[141],"Thursday.":[142],"conclude":[144],"discussing":[146],"ways":[148],"issues":[152],"raised":[153],"this":[155],"paper":[156],"can":[157],"be":[158],"mitigated.":[159]},"counts_by_year":[{"year":2026,"cited_by_count":14},{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":9},{"year":2023,"cited_by_count":2},{"year":2021,"cited_by_count":1}],"updated_date":"2026-10-31T12:09:11.096373","created_date":"2022-07-23T00:00:00"}
