本文精选了管理学国际顶刊《Management Science》近期发表的论文，提供管理学研究领域最新的学术动态。

Advances in Blockchain and Crypto Economics

原刊和作者：

Management Science Volume 69 Issue 11

Bruno Biais （HEC Paris）

Agostino Capponi （Columbia University）

Lin William Cong （Cornell University）

Vishal Gaur （Cornell University）

Kay Giesecke （Stanford University）

Abstract

Over the past decade, blockchains and cryptocurrencies have taken a central stage in financial technology (FinTech) innovation. In 2020–2021, as the academic finance and management community began actively investigating this domain, we issued a call for papers for a special issue to encourage interdisciplinary research in this emerging area. This section of Management Science presents the first systematic collection of knowledge, both theoretical and empirical, focusing on blockchain economics, crypto assets, decentralized finance, and Web3 ecosystems. We describe the editorial protocol employed for this special issue (now included in this volume as a special section), summarize what we learn about the field, and introduce the 15 articles included in the special section. We also offer several observations to highlight foundational issues in the new field and to guide future research in this exciting new area at the intersection of technology and finance.

Link: https://doi.org/10.1287/mnsc.2023.intro.v69.n11

Crypto Wash Trading

原刊和作者：

Management Science Volume 69 Issue 11

Lin William Cong （Cornell University）

Xi Li （Henley Business School）

Ke Tang （Tsinghua University）

Yang Yang （University of Bristol）

Abstract

We present the first systematic approach to detect fake transactions on cryptocurrency exchanges by exploiting robust statistical and behavioral regularities associated with authentic trading. Our sample consists of 29 centralized exchanges, among which the regulated ones feature transaction patterns consistently observed in financial markets and nature. In contrast, unregulated exchanges display abnormal first significant digit distributions, size rounding, and transaction tail distributions, indicating widespread manipulation unlikely driven by a specific trading strategy or exchange heterogeneity. We then quantify the wash trading on each unregulated exchange, which averaged more than 70% of the reported volume. We further document how these fabricated volumes (trillions of dollars annually) improve exchange ranking, temporarily distort prices, and relate to exchange characteristics (e.g., age and user base), market conditions, and regulation. Overall, our study cautions against potential market manipulations on centralized crypto exchanges with concentrated power and limited disclosure requirements and highlights the importance of fintech regulation.

Link: https://doi.org/10.1287/mnsc.2021.02709

Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?

原刊和作者：

Management Science Volume 69 Issue 11

Agostino Capponi （Columbia University）

Sveinn Ólafsson （Stevens Institute of Technology）

Humoud Alsabah （Kuwait University）

Abstract

Does the proof-of-work consensus protocol serve its intended purpose of supporting decentralized cryptocurrency mining? To address this question, we develop a game-theoretical model in which miners first invest in hardware to improve the efficiency of their operations and then compete for mining rewards in a rent-seeking game. We show that centralization grows with heterogeneity in mining costs, but hardware capacity constraints prevent the most efficient miners from monopolizing the mining process. Investment leads to a more decentralized network unless larger miners have a significant comparative advantage in acquiring new hardware. Our model generates empirically supported implications: (i) mining centralization is countercyclical with respect to mining reward, and (ii) a change in mining reward leads to a less-than-proportional change in hash rates.

Link: https://doi.org/10.1287/mnsc.2023.4840

Why Fixed Costs Matter for Proof-of-Work–Based Cryptocurrencies

原刊和作者：

Management Science Volume 69 Issue 11

Rodney J. Garratt （Bank for International Settlements）

Maarten R. C. van Oordt （Vrije Universiteit Amsterdam）

Abstract

We assess how the cost structure of cryptocurrency mining affects the response of miners to exchange rate fluctuations and the immutability of cryptocurrency ledgers that rely on proof-of-work. We show that the amount of mining power supplied to currencies that rely on specialized hardware, such as Bitcoin, responds less to adverse exchange rate shocks than other currencies respond to such shocks, a fact that is instrumental to avoiding double-spending attacks. The results may change if mining equipment used for one cryptocurrency can be transferred to another. For smaller currencies with low exchange rate correlation, transferability eliminates the protection that fixed costs provide. Our results weaken doomsday predictions for Bitcoin and other cryptocurrencies with declining block rewards.

Link: https://doi.org/10.1287/mnsc.2023.4901

StableFees: A Predictable Fee Market for Cryptocurrencies

Management Science Volume 69 Issue 11

Soumya Basu （Cornell University）

David Easley （Cornell University）

Maureen O’Hara （Cornell University）

Emin Gün Sirer （Ava Labs）

Abstract

Blockchain-based cryptocurrencies must solve the problem of assigning priorities to competing transactions. The most widely used mechanism involves each transaction offering a fee to be paid once the transaction is processed, but this discriminatory price mechanism fails to yield stable equilibria with predictable prices. We propose an alternate fee setting mechanism, StableFees, that is based on uniform price auctions. We prove that our proposed protocol is free from manipulation by users and miners as the number of users and miners increases and show empirically that gains from manipulation are small in practice. We show that StableFees reduces the fees paid by users and reduces the variance of fee income to miners. Data from December 2017 show that, if implemented, StableFees could have saved Bitcoin users $272,528,000 USD in transaction fees while reducing the variance of miner’s fee income, on average, by a factor of 7.4. We argue that our fee protocol also has important social welfare and environmental benefits.

Link: https://doi.org/10.1287/mnsc.2023.4735