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The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states…
The Plug-and-Play (PnP) ADMM algorithm is a powerful image restoration framework that allows advanced image denoising priors to be integrated into physical forward models to generate high quality image restoration results. However, despite…
Constant function market makers (CFMMs) are a popular decentralized exchange mechanism and have recently been the subject of much research, but major CFMMs give traders no privacy. Prior work proposes randomly splitting and shuffling trades…
Batch auctions are a classical market microstructure, acclaimed for their fairness properties, and have received renewed interest in the context of blockchain-based financial systems. Constant function market makers (CFMMs) are another…
Autonomous crypto trading systems often spend most of their design effort on finding entries, while exits are left to fixed rules that are rarely tested in a systematic way. This paper examines whether better stop-loss and take-profit…
We investigate the most common type of blockchain-based decentralized exchange, which are known as constant function market makers (CFMMs). We examine the the market microstructure around CFMMs and present a model for valuing the liquidity…
It is well known that users on open blockchains are tracked by an industry providing services to governments, law enforcement, secret services, and alike. While most blockchains do not protect their users' privacy and allow external…
Ergodic properties and asymptotic stationarity are investigated in this paper for the pseudo-covariance matrix (PCM) of a recursive state estimator which is robust against parametric uncertainties and is based on plant output measurements…
A recent approach to automated mechanism design, differentiable economics, represents auctions by rich function approximators and optimizes their performance by gradient descent. The ideal auction architecture for differentiable economics…
We outline a token model for Truebit, a retrofitting, blockchain enhancement which enables secure, community-based computation. The model addresses the challenge of stable task pricing, as raised in the Truebit whitepaper, without appealing…
An existing pseudo-commodity and a smart contracts framework allow the creation of a purely automatic and self-sufficient price-stable cryptocurrency, without human intervention. This new currency, we denominated Toroid or TRD, can be used…
This paper proposes a Perturbed Proximal Gradient ADMM (PPG-ADMM) framework for solving general nonconvex composite optimization problems, where the objective function consists of a smooth nonconvex term and a nonsmooth weakly convex term…
The time to converge to the steady state of a finite Markov chain can be greatly reduced by a lifting operation, which creates a new Markov chain on an expanded state space. For a class of quadratic objectives, we show an analogous behavior…
With the emergence of decentralized finance, new trading mechanisms called Automated Market Makers have appeared. The most popular Automated Market Makers are Constant Function Market Makers. They have been studied both theoretically and…
In May 2022, an apparent speculative attack, followed by market panic, led to the precipitous downfall of UST, one of the most popular stablecoins at that time. However, UST is not the only stablecoin to have been depegged in the past.…
This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which…
This paper introduces JANUS, a Stablecoin 3.0 protocol designed to address the stablecoin trilemma--simultaneously improving decentralization (D), capital efficiency (E), and safety-stability (S). Building upon insights from previous…
RBM-MPC is a computationally efficient variant of Model Predictive Control (MPC) in which the Random Batch Method (RBM) is used to speed up the finite-horizon optimal control problems at each iteration. In this paper, stability and…
This paper introduces Capability-Priced Micro-Markets (CPMM), a micro-economic framework designed to enable robust, scalable, and secure commerce among autonomous AI agents on the agentic web. The framework addresses the fundamental…
A diffusion auction refers to a selling process conducted over a social network, where each participant submits a bid and may invite other potential buyers to join the auction. Although various mechanisms have been proposed, none of them…