论文标题
stabablecoin-cryptocurrency depeggging事件动态的多元鹰队过程模型
A Multivariate Hawkes Process Model for Stablecoin-Cryptocurrency Depegging Event Dynamics
论文作者
论文摘要
与特定货币或商品价值挂钩的数字资产的Stablecoins大量参与了主要加密货币的交易。因此，研究偏离所需的固定值（Depegging）对经常在交易中经常使用的加密货币的影响值得研究。我们使用多元相互兴奋的霍克斯过程为该现象提出了一个模型，并提供了一个数字示例，将此模型应用于系绳（USDT）和比特币（BTC）。
Stablecoins, digital assets pegged to a specific currency or commodity value, are heavily involved in transactions of major cryptocurrencies. The effects of deviations from their desired fixed values (depeggings) on the cryptocurrencies for which they are frequently used in transactions are therefore of interest to study. We propose a model for this phenomenon using a multivariate mutually-exciting Hawkes process, and present a numerical example applying this model to Tether (USDT) and Bitcoin (BTC).
