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Money laundering is the process where criminals use financial services to move massive amounts of illegal money to untraceable destinations and integrate them into legitimate financial systems. It is very crucial to identify such activities…
The web3 applications have recently been growing, especially on the Ethereum platform, starting to become the target of scammers. The web3 scams, imitating the services provided by legitimate platforms, mimic regular activity to deceive…
We present a machine learning approach for finding minimal equivalent martingale measures for markets simulators of tradable instruments, e.g. for a spot price and options written on the same underlying. We extend our results to markets…
This paper studies liquid staking tokens (LSTs) on automated market makers (AMMs), both theoretically and empirically. LSTs are tokenized representations of staked assets on proof-of-stake blockchains. First, we model LST-liquidity on AMMs…
We consider a two-way trading problem, where investors buy and sell a stock whose price moves within a certain range. Naturally they want to maximize their profit. Investors can perform up to $k$ trades, where each trade must involve the…
We study partial hedging for game options in markets with transaction costs bounded from below. More precisely, we assume that the investor's transaction costs for each trade are the maximum between proportional transaction costs and a…
This paper proposes an algorithm based on a staged sliding window Transformer architecture to detect abnormal behaviors in the microstructure of the foreign exchange market, focusing on high-frequency EUR/USD trading data. The method…
Autonomous crypto trading systems often spend most of their design effort on finding entries, while exits are left to fixed rules that are rarely tested in a systematic way. This paper examines whether better stop-loss and take-profit…
The paper introduces a class of zero-sum games between the adversary and controller as a scenario for a `denial of service' in a networked control system. The communication link is modeled as a set of transmission regimes controlled by a…
While Ethereum smart contracts enabled a wide range of blockchain applications, they are extremely vulnerable to different forms of security attacks. Due to the fact that transactions to smart contracts commonly involve cryptocurrency…
The asset trading volume on blockchain-based exchanges (DEX) increased substantially since the advent of Automated Market Makers (AMM). Yet, AMMs and their forks compete on the same blockchain, incurring unnecessary network and block-space…
This paper introduces and analyzes \emph{defensive rebalancing}, a novel mechanism for protecting constant-function market makers (CFMMs) from value leakage due to arbitrage. A \emph{rebalancing} transfers assets directly from one CFMM's…
Low transaction throughput and poor scalability are significant issues in public blockchain consensus protocols such as Bitcoins. Recent research efforts in this direction have proposed shard-based consensus protocols where the key idea is…
Adversarial attacks are a major concern in security-centered applications, where malicious actors continuously try to mislead Machine Learning (ML) models into wrongly classifying fraudulent activity as legitimate, whereas system…
Blockchain's economic value lies in enabling financial and economic transactions without relying on trusted, centralized intermediaries. In practice, however, transactions pass through a fragmented chain of intermediaries before being…
We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the trader's position and learns from observed price…
With the evolution of blockchain technology, the issue of transaction security, particularly on platforms like Ethereum, has become increasingly critical. Front-running attacks, a unique form of security threat, pose significant challenges…
We consider a stochastic game of control and stopping specified in terms of a process $X_t=-\theta \Lambda_t+W_t$, representing the holdings of Player 1, where $W$ is a Brownian motion, $\theta$ is a Bernoulli random variable indicating…
We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cost portfolio strategies. The learning algorithm is used to determine the relative population dynamics of…
For different factors/reasons, ranging from inherent characteristics and features providing decentralization, enhanced privacy, ease of transactions, etc., to implied external hardships in enforcing regulations, contradictions in data…