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Geodesic Execution Slippage: A Statistical Physics Framework for Cryptocurrency Liquidity Risk

Standard cryptocurrency transaction cost models assume flat geometry and assign execution cost as a proportional fee. This paper proposes GEODEX, a framework that models execution slippage as the geodesic arc length on the Fisher information manifold of a Markov-switching GARCH maximum-entropy model...

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Gardado en:
Principais autores: Ntebogang Dinah Moroke, Lebotsa Daniel Metsileng
Formato: Artigo
Idioma:Inglês
Publicado: MDPI AG 2026-06-01
Series:Entropy
Assuntos:
Fisher information metric
geodesic execution slippage
Riemannian manifold
persistent homology
Curvature-Fragmentation Law
Wasserstein distance
Acceso en liña:https://www.mdpi.com/1099-4300/28/6/705
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