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The trending integrations of Battery Energy Storage System (BESS, stationary battery) and Electric Vehicles (EV, mobile battery) to distribution grids call for advanced Demand Side Management (DSM) technique that addresses the scalability…
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of…
The goal of this paper is to explore the relationship between momentum effects and liquidity in cryptocurrency markets. Portfolios based on momentum-liquidity bivariate sorts are formed and rebalanced on a varying number of cryptocurrencies…
Decentralized financial (DeFi) applications on the Ethereum blockchain are highly interoperable because they share a single state in a deterministic computational environment. Stakeholders can deposit claims on assets, referred to as…
This paper studies the problem of option replication in general stochastic volatility markets with transaction costs, using a new specification for the volatility adjustment in Leland's algorithm \cite{Leland}. We prove several limit…
Modern public blockchains like Ethereum rely on p2p networks to run distributed and censorship-resistant applications. With its wide adoption, it operates as a highly critical public ledger. On its transition to become more scalable and…
Ethereum is a permissionless blockchain ecosystem that supports execution of smart contracts, the key enablers of decentralized finance (DeFi) and non-fungible tokens (NFT). However, the expressiveness of Ethereum smart contracts is a…
Stablecoins, digital assets pegged to a specific currency or commodity value, are heavily involved in transactions of major cryptocurrencies. The effects of deviations from their desired fixed values (depeggings) on the cryptocurrencies for…
Text-based financial networks are increasingly used to study cross-stock return predictability. A common approach constructs links from similarities in firms' disclosure embeddings, but such networks often contain spurious edges because…
We show, using extensive Molecular Dynamics simulations, that the dynamics of the electric double layer (EDL) is very much dependent on the wettability of the charged surface on which the EDL develops. For a wetting surface, the dynamics,…
This paper studies the general relationship between the gearing ratio of a Leveraged ETF and its corresponding expense ratio, viz., the investment management fees that are charged for the provision of this levered financial service. It must…
Sharding distributed ledgers is a promising on-chain solution for scaling blockchains but lacks formal grounds, nurturing skepticism on whether such complex systems can scale blockchains securely. We fill this gap by introducing the first…
The adoption of electric vehicles (EVs), including electric taxis and buses, as a mode of transportation, is rapidly increasing in cities. In addition to providing economic and environmental benefits, these fleets can potentially…
This paper investigates energy-minimization finite-element approaches for the computation of nematic liquid crystal equilibrium configurations. We compare the performance of these methods when the necessary unit-length constraint is…
We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…
It is well known that any sufficiently regular one-dimensional payoff function has an explicit static hedge by bonds, forward contracts and lots of vanilla options. We show that the natural extension of the corresponding representation…
Real-world reinforcement learning often faces environment drift, but most existing methods rely on static entropy coefficients/target entropy, causing over-exploration during stable periods and under-exploration after drift, and leaving…
The increasing adoption of blockchain technology has led to a growing demand for higher transaction throughput. Traditional blockchain platforms, such as Ethereum, execute transactions sequentially within each block, limiting scalability.…
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
As a blockchain platform that has developed vigorously in recent years, Ethereum is different from Bitcoin in that it introduces smart contracts into blockchain.Solidity is one of the most mature and widely used smart contract programming…