Related papers: Intermediating DFMM Asset (IDA)
Decentralized exchange platforms such as Uniswap and Balancer operate on several pools where each pool contains two or more cryptocurrencies and constitutes direct trading pairs. The drawbacks here are that liquidity providing requires…
Dynamic-weight AMMs (aka Temporal Function Market Makers, TFMMs) implement algorithmic asset allocation, analogous to index or smart beta funds, by continuously updating pools' weights. A strategy updates target weights over time, and…
In volatile financial markets, balancing risk and return remains a significant challenge. Traditional approaches often focus solely on equity allocation, overlooking the strategic advantages of options trading for dynamic risk hedging. This…
Resource allocation plays a central role in many networked systems such as smart grids, communication networks and urban transportation systems. In these systems, many constraints have physical meaning and having feasible allocation is…
FinTechs increasing connectivity, rapid innovation, and reliance on global digital infrastructures present significant cybersecurity challenges. Traditional cybersecurity frameworks often struggle to identify and prioritize sector-specific…
We build a state-of-the-art dynamic model of private asset allocation that considers five key features of private asset markets: (1) the illiquid nature of private assets, (2) timing lags between capital commitments, capital calls, and…
The M and A transactions represent a wide range of unique business optimization opportunities in the corporate transformation deals, which are usually characterized by the high level of total risk. The M and A transactions can be…
We present an automated market-making (AMM) cross-settlement mechanism for digital assets on interoperable blockchains, focusing on central bank digital currencies (CBDCs) and stable coins. We develop an innovative approach for generating…
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…
IntraLayer presents an innovative framework that enables comprehensive interconnectivity in digital finance. The proposed framework comprises a core underlying infrastructure and an overarching strategy to create a pioneering "platform of…
We introduce a decentralised, algorithmic framework for permissionless, multi-strategy capital allocation via tokenised, automated vaults. The system is designed to function analogously to a multi-strategy asset management company, but…
The financial crisis of 2008 generated interest in more transparent, rules-based strategies for portfolio construction, with Smart beta strategies emerging as a trend among institutional investors. While they perform well in the long run,…
Within this work we consider an axiomatic framework for Automated Market Makers (AMMs). AMMs are smart contracts that set prices for swaps on a pool of assets. By imposing reasonable axioms on the underlying utility function, we are able to…
Automated market makers (AMMs) are a new type of trading venues which are revolutionising the way market participants interact. At present, the majority of AMMs are constant function market makers (CFMMs) where a deterministic trading…
Differential machine learning combines automatic adjoint differentiation (AAD) with modern machine learning (ML) in the context of risk management of financial Derivatives. We introduce novel algorithms for training fast, accurate pricing…
The programmable and composable nature of smart contract protocols has enabled the emergence of novel market structures and asset classes that are architecturally frictional to implement in traditional financial paradigms. This fluidity has…
The role of a market maker is to simultaneously offer to buy and sell quantities of goods, often a financial asset such as a share, at specified prices. An automated market maker (AMM) is a mechanism that offers to trade according to some…
To promote the benefits of the Internet of Things (IoT) in smart communities and smart cities, a real-time data marketplace middleware platform, called the Intelligent IoT Integrator (I3), has been recently proposed. While facilitating the…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…