Related papers: G3M Impermanent Loss Dynamics
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity over a specified time period. We formulate…
Dirac-delta distributions are often crucial components of the solid-fluid coupling operators in immersed solution methods for fluid-structure interaction (FSI) problems. This is certainly so for methods like the Immersed Boundary Method…
We consider distributed optimization where $N$ nodes in a connected network minimize the sum of their local costs subject to a common constraint set. We propose a distributed projected gradient method where each node, at each iteration $k$,…
Generative flow networks utilize a flow-matching loss to learn a stochastic policy for generating objects from a sequence of actions, such that the probability of generating a pattern can be proportional to the corresponding given reward.…
While modern representation learning relies heavily on global error signals, decentralized algorithms driven by local interactions offer a fundamental distributed alternative. However, the macroscopic convergence properties of these…
This paper studies the risk-averse mean-variance optimization in infinite-horizon discounted Markov decision processes (MDPs). The involved variance metric concerns reward variability during the whole process, and future deviations are…
We investigate the dynamical properties for non-Hermitian triple-well system with a loss in the middle well. When chemical potentials in two end wells are uniform and nonlinear interactions are neglected, there always exists a dark state,…
We present the first in-depth empirical characterization of the costs of trading on a decentralized exchange (DEX). Using quoted prices from the Uniswap Labs interface for two pools -- USDC-ETH (5bps) and PEPE-ETH (30bps) -- we evaluate the…
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…
Explicit time integration for immersed finite element discretizations severely suffers from the influence of poorly cut elements. In this contribution, we propose a generalized eigenvalue stabilization (GEVS) strategy for the element mass…
A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are…
Motivated by the trade-off between exploitation and exploration in reinforcement learning, we study a continuous-time entropy-regularized mean variance portfolio selection problem in the presence of jumps. We propose an exploratory SDE for…
A fully discrete energy stability analysis is carried out for linear advection-diffusion problems discretized by generalized upwind summation-by-parts~(upwind gSBP) schemes in space and implicit-explicit Runge-Kutta~(IMEX-RK) schemes in…
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…
This paper is about the problem of learning a stochastic policy for generating an object (like a molecular graph) from a sequence of actions, such that the probability of generating an object is proportional to a given positive reward for…
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…
Automated Market Makers (AMMs) have cemented themselves as an integral part of the decentralized finance (DeFi) space. AMMs are a type of exchange that allows users to trade assets without the need for a centralized exchange. They form the…
To achieve outlier-robust geometric estimation, robust objective functions are generally employed to mitigate the influence of outliers. The widely used consensus maximization(CM) is highly robust when paired with global…
We develop a model of coordination and allocation of decentralized multi-sided markets, in which our theoretical analysis is promisingly optimizing the decentralized transaction packaging process at high-throughput blockchains or Web 3.0…
Piecewise Deterministic Markov Processes (PDMPs) such as the Bouncy Particle Sampler and the Zig-Zag Sampler, have gained attention as continuous-time counterparts of classical Markov chain Monte Carlo. We study their transient regime under…