Related papers: Strategic Liquidity Provision in Uniswap v3
This paper presents a comprehensive study on the empirical dynamics of Uniswap v3 liquidity, which we model as a time-tick surface, $L_t(x)$. Using a combination of functional principal component analysis (FPCA) and dynamic factor methods,…
We study the loan contracts offered by decentralised loan protocols (DLPs) through the lens of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transactions between option buyers (i.e. borrowers) and option…
Locational Marginal Price (LMP) is a dual variable associated with supply-demand matching and represents the cost of delivering power to a particular location if the load at that location increases. In recent times it become more volatile…
We consider unreliable multi-hop networks serving multiple flows in which packets not delivered to their destination nodes by their deadlines are dropped. We address the design of policies for routing and scheduling packets that optimize…
PinFi is a class of novel protocols for decentralized pricing of dissipative assets, whose value naturally declines over time. Central to the protocol's functionality and its market efficiency is the role of liquidity providers (LPs). This…
We consider a strategic decision-making problem where a logistics provider (LP) seeks to locate collection and delivery points (CDPs) with the objective to reduce total logistics costs. The customers maximize utility that depends on their…
The standard approach for compensating liquidity providers on many decentralized exchanges (DEX) for serving as counter-party to swaps is through charging a small percentage of fees. The expected payoff from the cash flow of this mode of…
Geometric Mean Market Makers (G3M) such as Uniswap, Sushiswap or Balancer are key building blocks of the nascent Decentralised Finance system. We establish non-arbitrage bounds for the wealth process of such Automated Market Makers in the…
Virtual power plants (VPPs) are an emerging paradigm that aggregates distributed energy resources (DERs) for coordinated participation in power systems, including bidding as a single dispatchable entity in the wholesale market. In this…
Liquidity Providers on Automated Market Makers generate millions of USD in transaction fees daily. However, the net value of a Liquidity Position is vulnerable to price changes in the underlying assets in the pool. The dominant measure of…
Decentralized Exchanges (DEXs) are now a significant component of the financial world where billions of dollars are traded daily. Differently from traditional markets, which are typically based on Limit Order Books, DEXs typically work as…
The problem of pricing utility-scale energy storage resources (ESRs) in the real-time electricity market is considered. Under a rolling-window dispatch model where the operator centrally dispatches generation and consumption under…
Liquidity providers are essential for the function of decentralized exchanges to ensure liquidity takers can be guaranteed a counterparty for their trades. However, liquidity providers investing in liquidity pools face many risks, the most…
We consider a dynamic pricing problem in network revenue management where customer behavior is predicted by a choice model, i.e., the multinomial logit (MNL) model. The problem, even in the static setting (i.e., customer demand remains…
Fluctuations in electricity tariffs induced by the sporadic nature of demand loads on power grids has initiated immense efforts to find optimal scheduling solutions for charging and discharging plug-in electric vehicles (PEVs) subject to…
An effective distribution electricity market (DEM) is required to manage the rapidly growing small-scale distributed energy resources (DERs) in distribution systems (DSs). This paper proposes a day-ahead DEM clearing and pricing mechanism…
Latency (i.e., time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB)…
Auto-deleveraging (ADL) mechanisms are a critical yet understudied component of risk management on cryptocurrency futures exchanges. When available margin and other loss-absorbing resources are insufficient to cover losses following large…
We consider Uniswap-like automated market makers, and, specifically, constant product liquidity pools, operating on blockchains. An important feature of Uniswap is the ability for a trader to carry out a sequence of asset swaps atomically,…
Finding clear economic signals for distribution-network operation and expansion is increasingly important as single-phase loads and distributed energy resources escalate. These devices create phase-to-phase imbalances that manifest as…