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This paper presents a multi-contract blockchain framework for inter-provider agreements in 6G networks, emphasizing performance analysis under a realistic Proof-of-Stake (PoS) setting on Ethereum's Sepolia testnet. We begin by quantifying…
This paper addresses the lack of research on quantifying Maximal Extractable Value (MEV) on Ethereum Layer 2 networks (L2s). Our findings reveal a substantial amount of MEV to be extracted on L2s, particularly on Polygon, with a lower bound…
With the development of decentralized finance (DeFi), lending protocols have been increasingly proposed in the market. A comprehensive and in-depth evaluation of lending protocol is essential to the DeFi market participants. Due to the…
Liquidity providers are currently incentivised to provide liquidity through the LP Incentives Programme on dYdX. Based on the various parameters - makerVolume, depths and spreads, they are rewarded accordingly based on their activities.…
Uniswap v3 is the largest decentralized exchange for digital currencies. A novelty of its design is that it allows a liquidity provider (LP) to allocate liquidity to one or more closed intervals of the price of an asset instead of the full…
We present a dynamic hedging scheme for S&P 500 options, where rebalancing decisions are enhanced by integrating information about the implied volatility surface dynamics. The optimal hedging strategy is obtained through a deep policy…
We consider hedging of a contingent claim by a 'semi-static' strategy composed of a dynamic position in one asset and static (buy-and-hold) positions in other assets. We give general representations of the optimal strategy and the hedging…
Smart contract platforms facilitate the development of important and diverse distributed applications in a simple manner. This simplicity stems from the inherent utility of employing the state of smart contracts to store, query and verify…
Achieving the equilibrium between scalability, sustainability, and security while keeping decentralization has prevailed as the target solution for decentralized blockchain applications over the last years. Several approaches have been…
This document analyzes price discovery in cryptocurrency markets by comparing centralized and decentralized exchanges, as well as spot and futures markets. The study focuses first on Ethereum (ETH) and then applies a similar approach to…
In this paper, we present a method for constructing a (static) portfolio of co-maturing European options whose price sign is determined by the skewness level of the associated implied volatility. This property holds regardless of the…
This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge…
In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic…
We consider the problem of ESO valuation in continuous time. In particular, we consider models that assume that an appropriate random time serves as a proxy for anything that causes the ESO's holder to exercise the option early, namely,…
Viscosity is a fundamental property of liquid lubricants, yet it is challenging to determine accurately, especially at high pressures. Although equilibrium molecular dynamics (EMD) simulations are a promising alternative to…
Popular Ethereum wallets (like MetaMask) entrust centralized infrastructure providers (e.g., Infura) to run the consensus client logic on their behalf. As a result, these wallets are light-weight and high-performant, but come with security…
We document an ongoing research process towards the implementation and integration of a digital artefact, executing the lifecycle of a leveraged trade with permissionless blockchain technology. By employing core functions of the 'Dai…
This paper shows how reinforcement learning can be used to derive optimal hedging strategies for derivatives when there are transaction costs. The paper illustrates the approach by showing the difference between using delta hedging and…
Distributed ledger technology such as blockchain is considered essential for supporting large numbers of micro-transactions in the Machine Economy, which is envisioned to involve billions of connected heterogeneous and decentralized…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…