Related papers: Triangle Fees
In Part II of this two-part paper, we analyze the marginal prices derived in Part I of this two-part paper within a robust optimization framework. The load and generation are priced at Locational Marginal Price (LMP) while the uncertainty…
The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debit valuation adjustments (CVA, DVA) along with margining and funding…
Market fragmentation across multiple Automated Market Makers (AMMs) creates inefficiencies such as costly arbitrage, unnecessarily high slippage and delayed incorporation of new information into prices. These inefficiencies raise trading…
In this paper we study the tradeoff between parallelism and communication cost in a map-reduce computation. For any problem that is not "embarrassingly parallel," the finer we partition the work of the reducers so that more parallelism can…
For a given level of accuracy in option prices, the paper considers the problem of deciding when exactly, as one or more of the pricing parameters change, a barrier option degenerates into a simpler type of option. This problem is…
Hamiltonian approach in quantum mechanics provides a new thinking for barrier option pricing. For proportional floating barrier step options, the option price changing process is similar to the one dimensional trapezoid potential barrier…
A seller is pricing identical copies of a good to a stream of unit-demand buyers. Each buyer has a value on the good as his private information. The seller only knows the empirical value distribution of the buyer population and chooses the…
In many markets, like electricity or cloud computing markets, providers incur large costs for keeping sufficient capacity in reserve to accommodate demand fluctuations of a mostly fixed user base. These costs are significantly affected by…
We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem through the lens of continuous-time financial mathematics and…
Ethereum Improvement Proposal (EIP) 1559 was recently implemented to transform Ethereum's transaction fee market. EIP-1559 utilizes an algorithmic update rule with a constant learning rate to estimate a base fee. The base fee reflects…
Tolling in traffic networks offers a popular measure to minimize overall congestion. Existing toll designs primarily focus on congestion in route-based traffic assignment models (TAMs), in which travelers make a single route selection from…
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…
In 2021 Ethereum adjusted the transaction pricing mechanism by implementing EIP-1559, which introduces the base fee - a network fee that is burned and dynamically adjusts to the network demand. The authors of the Ethereum Improvement…
Payment channels networks drastically increase the throughput and hence scalability of blockchains by performing transactions \emph{off-chain}. In an off-chain payment, parties deposit coins in a channel and then perform transactions…
Blockchain networks are facing increasingly heterogeneous computational demands, and in response, protocol designers have started building specialized infrastructure to supply that demand. This paper introduces Resonance: a new kind of…
This paper studies the question whether automated market maker protocols such as Uniswap can sustainably retain a portion of their trading fees for the protocol. We approach the problem by modelling how to optimally choose a pool's take…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
The question is: What does happen to the real-world networks which cause them not to grow permanently? The idea here is that real-world networks have to pay the cost of growth. We investigate the growth and trade-off between value and cost…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…