Related papers: Post trade allocation: how much are bunched orders…
This paper describes asset price and return disturbances as result of relations between transactions and multiple kinds of expectations. We show that disturbances of expectations can cause fluctuations of trade volume, price and return. We…
Prior work studies the question of ``fairly'' ordering transactions in a replicated state machine. Each of $n$ replicas receives transactions in a possibly different order, and the system must aggregate the observed orderings into a single…
We study the economics of transaction reverts on Ethereum rollups and show that they are not accidental failures but equilibrium outcomes of MEV strategies. Using execution traces from major L2s, we find that over 80% of reverted…
BitCoin transactions are malleable in a sense that given a transaction an adversary can easily construct an equivalent transaction which has a different hash. This can pose a serious problem in some BitCoin distributed contracts in which…
Traders are often faced with large block orders in markets with limited liquidity and varying volatility. Executing the entire order at once usually incurs a large trading cost because of this limited liquidity. In order to minimize this…
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as…
Many allocation problems in multiagent systems rely on agents specifying cardinal preferences. However, allocation mechanisms can be sensitive to small perturbations in cardinal preferences, thus causing agents who make ``small" or…
Blockchains offer strong security gurarantees, but cannot protect users against the ordering of transactions. Players such as miners, bots and validators can reorder various transactions and reap significant profits, called the Maximal…
Flexibility is a cornerstone of operations management, crucial to hedge stochasticity in product demands, service requirements, and resource allocation. In two-sided platforms, flexibility is also two-sided and can be viewed as the…
We present prior robust algorithms for a large class of resource allocation problems where requests arrive one-by-one (online), drawn independently from an unknown distribution at every step. We design a single algorithm that, for every…
Distributed optimization for resource allocation problems is investigated and a sub-optimal continuous-time algorithm is proposed. Our algorithm has lower order dynamics than others to reduce burdens of computation and communication, and is…
Sharding is used to improve the scalability and performance of blockchain systems. We investigate the stability of blockchain sharding, where transactions are continuously generated by an adversarial model. The system consists of $n$…
Computational task offloading based on edge computing can deal with the performance bottleneck of traditional cloud-based systems for Internet of things (IoT). To further optimize computing efficiency and resource allocation, collaborative…
We propose a self-organization scheme for cost-effective and load-balanced routing in multi-hop networks. To avoid overloading nodes that provide favourable routing conditions, we assign each node with a cost function that penalizes high…
Cloud computing infrastructures increasingly rely on geographically distributed data centers to meet the growing demand for low latency, high availability, and cost-efficient service delivery. In this context, load balancing plays a…
This paper conducts an empirically study on the trade package composed of a sequence of consecutive purchases or sales of 23 stocks in Chinese stock market. We investigate the probability distributions of the execution time, the number of…
This paper concerns the mechanism design for online resource allocation in a strategic setting. In this setting, a single supplier allocates capacity-limited resources to requests that arrive in a sequential and arbitrary manner. Each…
Efficient allocation of impressions to advertisers in display advertising has a significant impact on advertisers' utility and the browsing experience of users. The problem becomes particularly challenging in the presence of advertisers…
Congestion pricing has received lots of attention in scientific discussion. Congestion pricing means that the operator increases prices at the time of congestion and the traffic demand are expected to decrease. In a certain sense, shadow…
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…