Related papers: Cyclic Arbitrage in Decentralized Exchanges
If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX)…
Online learning in a decentralized two-sided matching markets, where the demand-side (players) compete to match with the supply-side (arms), has received substantial interest because it abstracts out the complex interactions in matching…
This paper investigates arbitrage chains involving four currencies and four foreign exchange trader-arbitrageurs. In contrast with the three-currency case, we find that arbitrage operations when four currencies are present may appear…
Currency arbitrage leverages price discrepancies in currency exchange rates across different currency pairs to gain risk-free profits. It involves multiple trading, where short-lived price discrepancies require real-time, high-speed…
We address the liquidation problem arising from the credit risk management in decentralised finance (DeFi) by formulating it as an ergodic optimal control problem. In decentralised derivatives exchanges, liquidation is triggered whenever…
Decentralized blockchain platforms have enabled the secure exchange of crypto-assets without the intermediation of trusted authorities. To this purpose, these platforms rely on a peer-to-peer network of byzantine nodes, which…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
Smart contracts led to the emergence of the decentralized finance (DeFi) marketplace within blockchain ecosystems, where diverse participants engage in financial activities. In traditional finance, there are possibilities to create values,…
Despite the popularity of Hashed Time-Locked Contracts (HTLCs) because of their use in wide areas of applications such as payment channels, atomic swaps, etc, their use in exchange is still questionable. This is because of its incentive…
Automated market makers (AMMs) are one of the most prominent decentralized finance (DeFi) applications. AMMs allow users to trade different types of crypto-tokens, without the need to find a counter-party. There are several implementations…
In this paper, we introduce DeepTraderX (DTX), a simple Deep Learning-based trader, and present results that demonstrate its performance in a multi-threaded market simulation. In a total of about 500 simulated market days, DTX has learned…
Price stability has often been cited as a key reason that cryptocurrencies have not gained widespread adoption as a medium of exchange and continue to prove incapable of powering the economy of decentralized applications (DApps)…
Before a fair exchange takes place, there is typically an advertisement phase with the goal of increasing the appeal of possessing a digital asset while keeping it sufficiently hidden. Advertisement phases are implicit in mainstream…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be…
This work is about optimal order execution, where a large order is split into several small orders to maximize the implementation shortfall. Based on the diversity of cryptocurrency exchanges, we attempt to extract cross-exchange signals by…
Decentralized Finance (DeFi) is reshaping traditional finance by enabling direct transactions without intermediaries, creating a rich source of open financial data. Layer 2 (L2) solutions are emerging to enhance the scalability and…
Permissionless blockchains such as Bitcoin have excelled at financial services. Yet, opportunistic traders extract monetary value from the mesh of decentralized finance (DeFi) smart contracts through so-called blockchain extractable value…
Model-based Systems Engineering (MBSE) has been widely utilized to formalize system artifacts and facilitate their development throughout the entire lifecycle. During complex system development, MBSE models need to be frequently exchanged…
The cryptocurrency market is a very huge market without effective supervision. It is of great importance for investors and regulators to recognize whether there are market manipulation and its manipulation patterns. This paper proposes an…