Related papers: A multi-asset, agent-based approach applied to DeF…
Decentralized Finance (DeFi) is a new financial industry built on blockchain technologies. Decentralized financial services have consequently increased the ability to lend, borrow, and invest in decentralized investment vehicles, allowing…
We introduce a new software toolbox for agent-based simulation. Facilitating rapid prototyping by offering a user-friendly Python API, its core rests on an efficient C++ implementation to support simulation of large-scale multi-agent…
Since the inception of permissionless blockchains with Bitcoin in 2008, it became apparent that their most well-suited use case is related to making the financial system and its advantages available to everyone seamlessly without depending…
The StableSims project set out to determine optimal parameters for the new auction mechanism, Liquidations 2.0, used by MakerDAO, a protocol built on Ethereum offering a decentralized, collateralized stablecoin called Dai. We developed an…
The rise of Decentralized Finance (DeFi) has brought novel financial opportunities but also exposed serious security vulnerabilities, with flash loans frequently exploited for price manipulation attacks. These attacks, leveraging the atomic…
Decentralized Finance (DeFi) services are moving traditional financial operations to the Internet of Value (IOV) by exploiting smart contracts, distributed ledgers, and clever heterogeneous transactions among different protocols. The…
The Internet of Value (IOV) with its distributed ledger technology (DLT) underpinning has created new forms of lending markets. As an integral part of the decentralised finance (DeFi) ecosystem, lending protocols are gaining tremendous…
Decentralized applications are often composed of multiple interconnected smart contracts. This is especially evident in DeFi, where protocols are heavily intertwined and rely on a variety of basic building blocks such as tokens,…
This paper describes simulations and analysis of flash crash scenarios in an agent-based modelling framework. We design, implement, and assess a novel high-frequency agent-based financial market simulator that generates realistic…
This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We examine the effect of different market…
This paper introduces a novel framework for analyzing systemic risk in financial markets through multi-scale network dynamics using Model Context Protocol (MCP) for agent communication. We develop an integrated approach that combines…
Large language models (LLMs) are increasingly deployed in agentic frameworks, in which prompts trigger complex tool-based analysis in pursuit of a goal. While these frameworks have shown promise across multiple domains including in finance,…
In this paper, we outline a framework for modeling utility-based blockchain-enabled economic systems using Agent Based Modeling (ABM). Our approach is to model the supply dynamics based on metrics of the cryptoeconomy. We then build…
We present a measurement study on compositions of Decentralized Finance protocols, which aim to disrupt traditional finance and offer services on top of distributed ledgers, such as Ethereum. DeFi compositions may impact the development of…
Significant digitalization of financial services in a short period of time has led to an urgent demand to have autonomous, transparent and real-time credit risk decision making systems. The traditional machine learning models are effective…
Asset custody is a core financial service in which the custodian holds in-safekeeping assets on behalf of the client. Although traditional custody service is typically endorsed by centralized authorities, decentralized custody scheme has…
This work explores the formation and propagation of systemic risks across traditional finance (TradFi) and decentralized finance (DeFi), offering a comparative framework that bridges these two increasingly interconnected ecosystems. We…
As of August 2022, blockchain-based assets boast a combined market capitalisation exceeding one trillion USD, among which the most prominent are the decentralised autonomous organisation (DAO) tokens associated with decentralised finance…
Agent-based modeling is a powerful simulation technique to understand the collective behavior and microscopic interaction in complex financial systems. Recently, the concept for determining the key parameters of the agent-based models from…
The reproduction of realistic dynamics in financial markets is of great significance, as it enhances our understanding of market evolution beyond other physical processes, and facilitates the development and backtesting of investment…