Related papers: Replicating Portfolios: Constructing Permissionles…
Machine Learning has become the bedrock of recent advances in text, image, video, and audio processing and generation. Most production systems deal with several models during deployment and training, each with a variety of tuned…
This paper proposes an offline control algorithm, called Recurrent Model Predictive Control (RMPC), to solve large-scale nonlinear finite-horizon optimal control problems. It can be regarded as an explicit solver of traditional Model…
We present DeFlow, a decoupled offline RL framework that leverages flow matching to faithfully capture complex behavior manifolds. Optimizing generative policies is computationally prohibitive, typically necessitating backpropagation…
This whitepaper introduces an innovative mechanism for pricing perpetual contracts and quoting fees to traders based on current market conditions. The approach employs liquidity curves and on-chain oracles to establish a new adaptive…
Liquidations in Decentralized Finance (DeFi) are both a blessing and a curse -- whereas liquidations prevent lenders from capital loss, they simultaneously lead to liquidation spirals and system-wide failures. Since most lending and…
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…
We consider the problem of optimally executing an order involving multiple crypto-assets, sometimes called tokens, on a network of multiple constant function market makers (CFMMs). When we ignore the fixed cost associated with executing an…
Synthetic assets are decentralized finance (DeFi) analogues of derivatives in the traditional finance (TradFi) world - financial arrangements which derive value from and are directly pegged to fluctuations in the value of an underlying…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…
Lending protocols are one of the main applications of Decentralized Finance (DeFi), enabling crypto-assets loan markets with a total value estimated in the tens of billions of dollars. Unlike traditional lending systems, these protocols…
Financial derivative pricing is a significant challenge in finance, involving the valuation of instruments like options based on underlying assets. While some cases have simple solutions, many require complex classical computational methods…
We present a unified, market-complete model that integrates both the Bachelier and Black-Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that…
Offline reinforcement-learning (RL) algorithms learn to make decisions using a given, fixed training dataset without online data collection. This problem setting is captivating because it holds the promise of utilizing previously collected…
Amazon and other e-commerce sites must employ mechanisms to protect their millions of customers from fraud, such as unauthorized use of credit cards. One such mechanism is order fraud evaluation, where systems evaluate orders for fraud…
We proposed classification models that utilize the result from the Quasi-Reversibility Method, which solves the Black-Scholes equation to forecast the option prices one day in advance. Combining the minimizer from QRM with our machine…
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default…
This paper introduces a novel, open-source MARL simulation framework for studying implicit cooperation in LEMs, modeled as a decentralized partially observable Markov decision process and implemented as a Gymnasium environment for MARL. Our…
Automated Market Makers (AMMs) hold assets and are constantly being rebalanced by external arbitrageurs to match external market prices. Loss-versus-rebalancing (LVR) is a pivotal metric for measuring how an AMM pool performs for its…
In this research, we proposed a Mean Convection Finite Difference Method (MCFDM) for European options pricing. The Black-Scholes model, which describes the dynamics of a financial asset, was first transformed into a convection-diffusion…