A Multivariate Hawkes Process Model for Stablecoin-Cryptocurrency Depegging Event Dynamics

05/12/2022

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by   Connor Oxenhorn, et al.

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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).