Related papers: Impermanent Loss in Uniswap v3
Autonomous Market Makers (AMMs) rely on arbitrage to facilitate passive price updates. Liquidity fragmentation poses a complex challenge across different blockchain networks. This paper proposes FluxLayer, a solution to mitigate fragmented…
Rollups have become the de facto scalability solution for Ethereum, securing more than $55B in assets. They achieve scale by executing transactions on a Layer 2 ledger, while periodically posting data and finalizing state on the Layer 1,…
We develop a new type of automated market maker (AMM) that helps to maintain stability and long-term viability in a stablecoin. This primary market AMM (P-AMM) is an autonomous mechanism for pricing minting and redemption of stablecoins in…
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…
The trustless nature of permissionless blockchains renders overcollateralization a key safety component relied upon by decentralized finance (DeFi) protocols. Nonetheless, factors such as price volatility may undermine this mechanism. In…
Fraud detection and anti-money-laundering (AML) compliance are high-value domains for large language models (LLMs), but their serving requirements differ sharply from generic chat workloads. Compliance prompts are often prefix-heavy,…
This paper introduces a unified micro-level stochastic framework for the joint modeling of loss reserves (RBNS), incurred but not reported (IBNR) reserves, and unearned premium risk under dependence, inflation, and discounting. The proposed…
The deployment of autonomous AI agents in derivatives markets has widened a practical gap between static model calibration and realized hedging outcomes. We introduce two reinforcement learning frameworks, a novel Replication Learning of…
Futures are contracts obligating the exchange of an asset at a predetermined date and price, notable for their high leverage and liquidity and, therefore, thrive in the Crypto market. RL has been widely applied in various quantitative…
Machine learning interatomic potentials (MLIPs) have become a workhorse of modern atomistic simulations, and recently published universal MLIPs, pre-trained on large datasets, have demonstrated remarkable accuracy and generalizability.…
We develop an axiomatic theory for Automated Market Makers (AMMs) in local energy sharing markets and analyze the Markov Perfect Equilibrium of the resulting economy with a Mean-Field Game. In this game, heterogeneous prosumers solve a…
Large language models (LLMs) have recently seen widespread adoption in both academia and industry. As these models grow, they become valuable intellectual property (IP), reflecting substantial investments by their owners. The high cost of…
Constant function market makers (CFMMs) are a popular decentralized exchange mechanism and have recently been the subject of much research, but major CFMMs give traders no privacy. Prior work proposes randomly splitting and shuffling trades…
When blockchain systems are said to be trustless, what this really means is that all the trust is put into software. Thus, there are strong incentives to ensure blockchain software is correct -- vulnerabilities here cost millions and break…
Liquidation of collateral are the primary safeguard for solvency of lending protocols in decentralized finance. However, the mechanics of liquidations expose these protocols to predatory price manipulations and other forms of Maximal…
Making consistently profitable financial decisions in a continuously evolving and volatile stock market has always been a difficult task. Professionals from different disciplines have developed foundational theories to anticipate price…
Model-free power flow calculation, driven by the rise of smart meter (SM) data and the lack of network topology, often relies on artificial intelligence neural networks (ANNs). However, training ANNs require vast amounts of SM data, posing…
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
Smart contract vulnerabilities cost billions of dollars annually, yet existing automated analysis tools fail to generate deployable defenses. We present FLAMES, a novel automated approach that synthesizes executable runtime guards as…
In this paper, we adopted a net liability model which assesses both market risk on the liability side and revenue risk on the asset side for a Guaranteed Minimum Maturity Benefit (GMMB) embedded in variable annuity (VA) contracts. Numeric…