Related papers: A multi-asset, agent-based approach applied to DeF…
In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…
In this paper, we propose an analytical method to compute the collateral liquidation probability in decentralized finance (DeFi) stablecoin single-collateral lending. Our approach models the collateral exchange rate as a zero-drift…
In this paper, we analyze various Decentralized Finance (DeFi) protocols in terms of their token distributions. We propose an iterative mapping process that allows us to split aggregate token holdings from custodial and escrow contracts and…
We present the first formal treatment of \emph{yield tokenization}, a mechanism that decomposes yield-bearing assets into principal and yield components to facilitate risk transfer and price discovery in decentralized finance (DeFi). We…
Systemic risk refers to the overall vulnerability arising from the high degree of interconnectedness and interdependence within the financial system. In the rapidly developing decentralized finance (DeFi) ecosystem, numerous studies have…
In this paper, our objective is to develop a multi-agent financial system that incorporates simulated trading, a technique extensively utilized by financial professionals. While current LLM-based agent models demonstrate competitive…
Decentralized finance (DeFi) has become one of the most successful applications of blockchain and smart contracts. The DeFi ecosystem enables a wide range of crypto-financial activities, while the underlying smart contracts often contain…
Decentralized Finance (DeFi) has revolutionized lending by replacing intermediaries with algorithm-driven liquidity pools. However, existing platforms like Aave and Compound rely on static interest rate curves and collateral requirements…
Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the…
On-chain lending has expanded across multiple distributed ledgers as DeFi becomes increasingly multi-chain. This environment introduces novel technical and financial mechanisms, particularly cross-blockchain communication and asset transfer…
Decentralized finance (DeFi) protocols now intermediate over USD 100 billion in value, including regulated stablecoins and tokenized assets deployed as collateral, yet no widely adopted framework operationalizes risk assessment at the rigor…
We coin the term *Protocols for Loanable Funds (PLFs)* to refer to protocols which establish distributed ledger-based markets for loanable funds. PLFs are emerging as one of the main applications within Decentralized Finance (DeFi), and use…
This research investigates liquidity dynamics in fractional ownership markets, focusing on illiquid alternative investments traded on a FinTech platform. By leveraging empirical data and employing agent-based modeling (ABM), the study…
We provide an overview of decentralized protocols like Compound and Aave that offer collateralized loans for cryptoasset investors. Compound and Aave are two of the most important application in the decentralized finance (DeFi) ecosystem.…
Financial options are fundamental to traditional markets, enabling strategies ranging from hedging to speculating. Yet, while the Automated Market Maker paradigm has revolutionized decentralized spot markets, no equivalent standard has…
Decentralized Finance (DeFi) applications introduce novel financial instruments replicating and extending traditional ones through blockchain-based smart contracts. Among these applications, DeFi derivatives protocols enable the creation…
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…
Credit exposure in Decentralized Finance (DeFi) is often implicit and token-mediated, creating a dense web of inter-protocol dependencies. Thus, a shock to one token may result in significant and uncontrolled contagion effects. As the DeFi…
Decentralized financial (DeFi) applications on the Ethereum blockchain are highly interoperable because they share a single state in a deterministic computational environment. Stakeholders can deposit claims on assets, referred to as…
Agent-based models, particularly those applied to financial markets, demonstrate the ability to produce realistic, simulated system dynamics, comparable to those observed in empirical investigations. Despite this, they remain fairly…