Related papers: Strategic Liquidity Provision in Uniswap v3
In decentralized finance ("DeFi"), automated market makers (AMMs) enable traders to programmatically exchange one asset for another. Such trades are enabled by the assets deposited by liquidity providers (LPs). The goal of this paper is to…
Incentivizing flexible consumption of end-users is key to maximizing the value of local exchanges within Renewable Energy Communities. If centralized coordination for flexible resources planning raises concerns regarding data privacy and…
The proliferation of distributed renewable energy triggers the peer-to-peer (P2P) energy market formations. To make profits, prosumers equipped with photovoltaic (PV) panels and even the energy storage system (ESS) can actively participate…
We study the formation of an optimal interbank network in a model where banks control both their supply of liquidity, through cash reserves, and their exposures to other banks' risky projects. The value of each bank's project may suddenly…
Concentrated liquidity (CL) provisioning is a way how to improve the capital efficiency of Automated Market Makers (AMM). Allowing liquidity providers to use leverage is a step towards even higher capital efficiency. A number of…
Load aggregators are independent private entities whose goal is to optimize energy consumption flexibilities offered by multiple residential consumers. Although aggregators optimize their decisions in a decentralized way, they are…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
In this paper, we propose a discretization scheme for the two-stage stochastic linear complementarity problem (LCP) where the underlying random data are continuously distributed. Under some moderate conditions, we derive qualitative and…
This paper considers a distributed stochastic optimization problem where the goal is to minimize the time average of a cost function subject to a set of constraints on the time averages of a related stochastic processes called penalties. We…
We consider the problem of dynamic pricing with limited supply. A seller has $k$ identical items for sale and is facing $n$ potential buyers ("agents") that are arriving sequentially. Each agent is interested in buying one item. Each…
An effective way for a Mobile network operator (MNO) to improve its revenue is price discrimination, i.e., providing different combinations of data caps and subscription fees. Rollover data plan (allowing the unused data in the current…
This study examines a resource-sharing problem involving multiple parties that agree to use a set of capacities together. We start with modeling the whole problem as a mathematical program, where all parties are required to exchange…
We study how trading fees and continuous-time arbitrage affect the profitability of liquidity providers (LPs) in Geometric Mean Market Makers (G3Ms). We use stochastic reflected diffusion processes to analyze the dynamics of a G3M model…
Automated Market Makers (AMMs) are essential to decentralized finance, offering continuous liquidity and enabling intermediary-free trading on blockchains. However, participants in AMMs are vulnerable to Maximal Extractable Value (MEV)…
Fast and accurate large-scale energy system models are needed to investigate the potential of storage to complement the fluctuating energy production of renewable energy systems. However, standard Mixed-Integer Programming (MIP) models that…
Liquid staking has become the largest category of decentralized finance protocols in terms of total value locked. However, few studies exist on its implementation designs or underlying risks. The liquid staking protocols allow for earning…
In many resource allocation problems, a centralized controller needs to award some resource to a user selected from a collection of distributed users with the goal of maximizing the utility the user would receive from the resource. This can…
We consider a class of well-known dynamic resource allocation models in loss network systems with advanced reservation. The most important performance measure in any loss network system is to compute its blocking probability, i.e., the…
We consider a high-dimensional dynamic pricing problem under non-stationarity, where a firm sells products to $T$ sequentially arriving consumers that behave according to an unknown demand model with potential changes at unknown times. The…
Networked computing power is a critical utility in the era of artificial intelligence. This paper presents a novel Physical Infrastructure Finance (PinFi) protocol designed to facilitate the distribution of computing power within networks…