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In this paper, we bring consumer theory to bear in the analysis of Fisher markets whose buyers have arbitrary continuous, concave, homogeneous (CCH) utility functions representing locally non-satiated preferences. The main tools we use are…
This paper proposes a novel numerical method for solving the problem of decision making under cumulative prospect theory (CPT), where the goal is to maximize utility subject to practical constraints, assuming only finite realizations of the…
This paper explores a method for solving constrained optimization problems when the derivatives of the objective function are unavailable, while the derivatives of the constraints are known. We allow the objective and constraint function to…
Decentralized Finance (DeFi) has revolutionized financial markets by enabling complex asset-exchange protocols without trusted intermediaries. Automated Market Makers (AMMs) are a central component of DeFi, providing the core functionality…
This paper introduced key aspects of applying Machine Learning (ML) models, improved trading strategies, and the Quasi-Reversibility Method (QRM) to optimize stock option forecasting and trading results. It presented the findings of the…
We develop a dual-control method for approximating investment strategies in incomplete environments that emerge from the presence of trading constraints. Convex duality enables the approximate technology to generate lower and upper bounds…
Financial options are contracts that specify the right to buy or sell an underlying asset at a strike price by an expiration date. Standard exchanges offer options of predetermined strike values and trade options of different strikes…
Continuous normalizing flows (CNFs) are an attractive generative modeling technique, but they have been held back by limitations in their simulation-based maximum likelihood training. We introduce the generalized conditional flow matching…
Liquidation of collateral are the primary safeguard for solvency of lending protocols in decentralized finance. However, the mechanics of liquidations expose these protocols to predatory price manipulations and other forms of Maximal…
Accurate forecasting in financial markets requires integrating diverse data sources, from historical prices to macroeconomic indicators and financial news. However, existing models often fail to align these modalities effectively, limiting…
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…
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…
Financial markets are inherently non-stationary, driven by complex interactions among macroeconomic regimes, microstructural frictions, and behavioral dynamics. Building quantitative strategies that remain profitable demands the continuous…
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each period are found by solving a convex…
Blockchains have popularized automated market makers (AMMs). An AMM exchange is an application running on a blockchain which maintains a pool of crypto-assets and automatically trades assets with users governed by some pricing function that…
The current design space of derivatives in Decentralized Finance (DeFi) relies heavily on oracle systems. Replicating market makers (RMMs) provide a mechanism for converting specific payoff functions to an associated Constant Function…
In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers face therefore an interesting…
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…
Tradable mobility credit (TMC) schemes are an approach to travel demand management that have received significant attention in recent years. This paper proposes and analyzes alternative market models for a TMC system -- focusing on market…
Predicting the value of a function $f$ at a new point given its values at old points is an ubiquitous scientific endeavor, somewhat less developed when $f$ produces multiple values that depend on one another, e.g. when it outputs…