Related papers: Auction Type Resolution on Smart Derivatives
A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…
Blockchain systems and smart contracts provide ways to securely implement multi-party transactions without the use of trusted intermediaries, which currently underpin many commercial transactions. However, they do so by transferring trust…
As markets have digitized, the number of tradable products has skyrocketed. Algorithmically constructed portfolios of these assets now dominate public and private markets, resulting in a combinatorial explosion of tradable assets. In this…
Spread options are a fundamental class of derivative contract written on multiple assets, and are widely used in a range of financial markets. There is a long history of approximation methods for computing such products, but as yet there is…
IoT systems have enabled ubiquitous communication in physical spaces, making them smart Nowadays, there is an emerging concern about evaluating suspicious transactions in smart spaces. Suspicious transactions might have a logical structure,…
We study the design of an auction for an income-generating asset such as an intellectual property license. Each bidder has a signal about his future income from acquiring the asset. After the asset is allocated, the winner's income from the…
The design of revenue-maximizing combinatorial auctions, i.e. multi-item auctions over bundles of goods, is one of the most fundamental problems in computational economics, unsolved even for two bidders and two items for sale. In the…
Demand response (DR), as one of the important energy resources in the future's grid, provides the services of peak shaving, enhancing the efficiency of renewable energy utilization with a short response period, and low cost. Various…
Differential equations parameterized by neural networks become expensive to solve numerically as training progresses. We propose a remedy that encourages learned dynamics to be easier to solve. Specifically, we introduce a differentiable…
This paper proposes a new combinatorial auction framework for local energy flexibility markets, which addresses the issue of prosumers' inability to bundle multiple flexibility time intervals. To solve the underlying NP-complete winner…
Dynamic pricing schemes were introduced as an alternative to posted-price mechanisms. In contrast to static models, the dynamic setting allows to update the prices between buyer-arrivals based on the remaining sets of items and buyers, and…
Semantic communication technologies enable wireless edge devices to communicate effectively by transmitting semantic meaning of data. Edge components, such as vehicles in next-generation intelligent transport systems, use well-trained…
We consider some classical optimization problems in path planning and network transport, and we introduce new auction-based algorithms for their optimal and suboptimal solution. The algorithms are based on mathematical ideas that are…
The numerical methods for differential equation solution allow obtaining a discrete field that converges towards the solution if the method is applied to the correct problem. Nevertheless, the numerical methods have the restricted class of…
Recently, Blockchain technology adoption has expanded to many application areas due to the evolution of smart contracts. However, developing smart contracts is non-trivial and challenging due to the lack of tools and expertise in this…
The debts' clearing problem is about clearing all the debts in a group of n entities (persons, companies etc.) using a minimal number of money transaction operations. The problem is known to be NP-hard in the strong sense. As for many…
Financial derivatives are contracts that can have a complex payoff dependent upon underlying benchmark assets. In this work, we present a quantum algorithm for the Monte Carlo pricing of financial derivatives. We show how the relevant…
We improve the best known competitive ratio (from 1/4 to 1/2), for the online multi-unit allocation problem, where the objective is to maximize the single-price revenue. Moreover, the competitive ratio of our algorithm tends to 1, as the…
Smart contracts are computer programs that can be consistently executed by a network of mutually distrusting nodes, without the arbitration of a trusted authority. Because of their resilience to tampering, smart contracts are appealing in…
The blockchain constitutes a technology-based, rather than social or regulation based, means to lower uncertainty about one another in order to exchange value. However, its use may very well also lead to increased complexity resulting from…