Related papers: Generalizing Impermanent Loss on Decentralized Exc…
Automated Market Maker (AMM)-based Decentralized Exchanges (DEXs) are crucial in Decentralized Finance (DeFi), but Ethereum implementations suffer from high transaction costs and price synchronization challenges. To address these…
Water and other resources are becoming scarcer every day, and developing countries are the neediest for an immediate intervention. Water, as a national need, is considered to be one of the main causes for conflicts in the 21st century.…
This paper develops maintenance policies for a system under condition monitoring. We assume that a number of defects may develop and the degradation process of each defect follows a gamma process, respectively. The system is inspected…
Automated Market Makers (AMMs) are emerging as a popular decentralised trading platform. In this work, we determine the optimal dynamic fees in a constant function market maker. We find approximate closed-form solutions to the control…
In decentralized cloud computing marketplaces, ensuring fair and efficient interactions among asset providers and end-users is crucial. A key concern is meeting agreed-upon service-level objectives like the service's reliability. In this…
Prediction markets have gained adoption as on-chain mechanisms for aggregating information, with platforms such as Polymarket demonstrating demand for stablecoin-denominated markets. However, denominating in non-interest-bearing stablecoins…
Exchanges acquire excess processing capacity to accommodate trading activity surges associated with zero-sum high-frequency trader (HFT) "duels." The idle capacity's opportunity cost is an externality of low-latency trading. We build a…
A feedback control system is proposed for balancing the deviations of water levels from set-points along open channels subject to uncertain supply-demand mismatch that exceeds individual pool capacity. Decentralized controllers adjust the…
This paper presents a general framework for the design and analysis of exchange mechanisms between two assets that unifies and enables comparisons between the two dominant paradigms for exchange, constant function market markers (CFMMs) and…
We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…
Deep Metric Learning (DML) learns a non-linear semantic embedding from input data that brings similar pairs together while keeping dissimilar data away from each other. To this end, many different methods are proposed in the last decade…
During the training of networks for distance metric learning, minimizers of the typical loss functions can be considered as "feasible points" satisfying a set of constraints imposed by the training data. To this end, we reformulate distance…
We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed call prices through an arbitrage-free autoencoder that…
We develop a system-theoretic framework for the structured analysis of distributed optimization algorithms with decomposable cost functions. We model such algorithms as a network of interacting dynamical systems and derive tests for…
We develop a mathematical framework to optimize leveraged staking ("loopy") strategies in Decentralized Finance (DeFi), in which a staked asset is supplied as collateral, the underlying is borrowed and re-staked, and the loop can be…
We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in a fairly general Markov setting, the indicator function of…
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…
We present the first in-depth empirical characterization of the costs of trading on a decentralized exchange (DEX). Using quoted prices from the Uniswap Labs interface for two pools -- USDC-ETH (5bps) and PEPE-ETH (30bps) -- we evaluate the…
The security of blockchain systems based on Proof of Work relies on mining. However, mining suffers from unstable revenue, prompting many miners to form cooperative mining pools. Most existing mining pools operate in a centralized manner,…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…