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Today, many auctions are carried out with the help of intermediary platforms like Google and eBay. We refer to such auctions as platform-assisted auctions.Traditionally, the auction theory literature mainly focuses on designing auctions…
This paper gives a theoretical model for design and analysis of mechanisms for online marketplaces where a bidding dashboard enables the bid-optimization of long-lived agents. We assume that a good allocation algorithm exists when given the…
The study proposes a quote-driven predictive automated market maker (AMM) platform with on-chain custody and settlement functions, alongside off-chain predictive reinforcement learning capabilities to improve liquidity provision of…
We study data exchange among strategic agents without monetary transfers, motivated by domains such as research consortia and healthcare collaborations where payments are infeasible or restricted. The central challenge is to reap the…
As an emerging decentralized secure data management platform, blockchain has gained much popularity recently. To maintain a canonical state of blockchain data record, proof-of-work based consensus protocols provide the nodes, referred to as…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader-follower…
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…
The Stable Roommates problem involves matching a set of agents into pairs based on the agents' strict ordinal preference lists. The matching must be stable, meaning that no two agents strictly prefer each other to their assigned partners. A…
Dynamic portfolio optimization is the process of sequentially allocating wealth to a collection of assets in some consecutive trading periods, based on investors' return-risk profile. Automating this process with machine learning remains a…
Auctions are modeled as Bayesian games with continuous type and action spaces. Determining equilibria in auction games is computationally hard in general and no exact solution theory is known. We introduce an algorithmic framework in which…
Layer 2 systems have received increasing attention due to their potential to scale the throughput of L1 blockchains. To avoid the cost of putting data on chain, these systems increasingly turn to off-chain data availability solutions such…
Our study provides a survey on how existing stablecoins-- cryptocurrencies aiming at price stabilization-- peg their value to other assets, from the perspective of Decentralized Payment Systems (DPSs). This attempt is important because…
Game theory has been developed by scientists as a theory of strategic interaction among players who are supposed to be perfectly rational. These strategic interactions might have been presented in an auction, a business negotiation, a chess…
Automated market makers (AMMs) are a new type of trading venues which are revolutionising the way market participants interact. At present, the majority of AMMs are constant function market makers (CFMMs) where a deterministic trading…
Time-bound stablecoins are DeFi assets that temporarily tokenize traditional securities during market off-hours, enabling continuous cross-market liquidity. We introduce the Liquidity-of-Time Premium (TLP): the extra return or cost of…
In this paper we describe LUNES-Blockchain, an agent-based simulator of blockchains that relies on Parallel and Distributed Simulation (PADS) techniques to obtain high scalability. The software is organized as a multi-level simulator that…
Automated Market Makers (AMMs) are an integral component of the decentralized finance (DeFi) ecosystem, as they allow users to exchange crypto-assets without the need for trusted authorities or external price oracles. Although these…
We investigate the most common type of blockchain-based decentralized exchange, which are known as constant function market makers (CFMMs). We examine the the market microstructure around CFMMs and present a model for valuing the liquidity…
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…