| viXra.org > Data Structures and Algorithms > 2305 |
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| viXra.org > Data Structures and Algorithms > 2305 |
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[4] viXra:2305.0088 [pdf] submitted on 2023-05-12 00:38:46
Authors: Farid Soroush
Comments: 4 Pages.
The purpose of this report is to describe the design and implementation of a real-time portfolio risk management system. The system is developed in Python and utilizes pandas and numpy libraries for data management and calculations. With the advent of high-frequency trading, risk management has become a crucial aspect of the trading process. Traditional risk management practices are often not suitable due to the high-speed nature of these trades. Therefore, there is a need for a real-time risk management system that can keep pace with high-frequency trades.
Category: Data Structures and Algorithms
[3] viXra:2305.0087 [pdf] submitted on 2023-05-10 06:04:59
Authors: Herman Schoenfeld
Comments: 22 Pages.
This paper presents a formal construction of dynamic merkle-trees and a deep-dive into theirmathematical structure. In doing so, new and interesting artefacts are presented as well as novel security proof constructions that enable proofs for a full range of tree transformations including append, update and deletion of leaf nodes (without requiring knowledge of those nodes). Novel concepts are explored including "perfect trees", "sub-trees", "sub-roots" and "flat coordinates" through various lemmas, theorems and algorithms. In particular, a "flat-tree" implementation of merkle-trees is presented suitable for storing trees as a contiguous block of memory that can grow and shrink from the right-side. Of note, a "long-tree" implementation is presented which permits arbitrarily large tree construction in logarithmic space and time complexity using a novel algorithm. Finally, a reference implementation accompanies this paper which contains a fully implemented and thoroughly tested implementation of dynamic merkle-trees.
Category: Data Structures and Algorithms
[2] viXra:2305.0062 [pdf] submitted on 2023-05-07 22:23:14
Authors: Farid Soroush
Comments: 5 Pages.
Market making is a crucial component of financial markets, providing liquidity to market participants by quoting both buy (bid) and sell (ask) prices for an asset. The main objective of a market maker is to profit from the bid-ask spread while managing inventory risk. In this paper, we implement a simple market making strategy for the S&P 500 index using synthetic bid-ask spread data.
Category: Data Structures and Algorithms
[1] viXra:2305.0033 [pdf] submitted on 2023-05-04 17:01:34
Authors: Petar Radanliev
Comments: 25 Pages.
The first cryptocurrency was invented in 2008/09, but the Blockchain-Web3 concept is still in its infancy, and the cyber risk is constantly changing. Cybersecurity should also be adapting to these changes to ensure security of personal data and continu- ation of operations. This article starts with a comparison of existing cybersecurity standards and regulations from the National Institute of Standards and Technology (NIST) and the International Organisation for Standardisation (ISO)—ISO27001, followed by a discussion on more specific and recent standards and regulations, such as the Markets in Crypto-Assets Regulation (MiCA), Committee on Payments and Market Infrastructures and the International Organisation of Securities Commis- sions (CPMI-IOSCO), and more general cryptography (and post-quantum cryptog- raphy), in the context of cybersecurity. These topics are followed up by a review of recent technical reports on cyber risk/security and a discussion on cloud security questions. Comparison of Blockchain cyber risk is also performed on the recent EU standards on cyber security, including European Cybersecurity Certification Scheme (EUCS)—cloud, and US standards—The National Vulnerability Database (NVD) Common Vulnerability Scoring System (CVSS). The study includes a review of Blockchain endpoint security, and new technologies e.g., IoT. The research meth- odology applied is a review and case study analysing secondary data on cyberse- curity. The research significance is the integration of knowledge from the United States (US), the European Union (EU), the United Kingdom (UK), and international standards and frameworks on cybersecurity that can be alighted to new Blockchain projects. The results show that cybersecurity standards are not designed in close cooperation between the two major western blocks: US and EU. In addition, while the US is still leading in this area, the security standards for cryptocurrencies, inter- net-of-things, and blockchain technologies have not evolved as fast as the technolo- gies have. The key finding from this study is that although the crypto-market has grown into a multi-trillion industry, the crypto-market has also lost over 70% since its peak, causing significant financial loss for individuals and cooperation’s. Despite this significant impact to individuals and society, cybersecurity standards and finan- cial governance regulations are still in their infancy, specifically in the UK.
Category: Data Structures and Algorithms
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