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...
Tallennettuna:
| Päätekijät: | , |
|---|---|
| Aineistotyyppi: | Artigo |
| Kieli: | Inglês |
| Julkaistu: |
MDPI AG
2026-06-01
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| Sarja: | Entropy |
| Aiheet: | |
| Linkit: | https://www.mdpi.com/1099-4300/28/6/705 |
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