Related papers: Optimal Rebalancing in Dynamic AMMs
Decentralized Finance (DeFi) is a rapidly evolving segment of blockchain technology that enables a transformative approach to financial services through Web3 applications. By leveraging smart contracts, DeFi allows developers to build…
In portfolio analysis, the traditional approach of replacing population moments with sample counterparts may lead to suboptimal portfolio choices. I show that optimal portfolio weights can be estimated using a machine learning (ML)…
Reinforcement learning (RL) suffers from severe sample inefficiency, especially during early training, requiring extensive environmental interactions to perform competently. Existing methods tend to solve this by incorporating prior…
With the recent advancements in machine learning (ML), artificial neural networks (ANN) are starting to play an increasingly important role in quantitative finance. Dynamic portfolio optimization is among many problems that have…
The study proposes a quote-driven predictive automated market maker (AMM) platform with on-chain custody and settlement functions, alongside off-chain predictive reinforcement learning capabilities to improve liquidity provision of…
Consider a closed pooled annuity fund investing in n assets with discrete-time rebalancing. At time 0, each annuitant makes an initial contribution to the fund, committing to a predetermined schedule of withdrawals. Require annuitants to be…
We leverage the Multiplicative Weight Update (MWU) method to develop a decentralized algorithm that significantly improves the performance of dynamic time division duplexing (D-TDD) in small cell networks. The proposed algorithm adaptively…
We introduce a new class of automated market maker (AMM), the \emph{partially active automated market maker} (PA-AMM). PA-AMM divides its reserves into two parts, the active and the passive parts, and uses only the active part for trading.…
The use of energy storage to balance electric grids is increasing and, with it, the importance of operational optimisation from the twin viewpoints of cost and system stability. In this paper we assess the real option value of balancing…
Although modern blockchains almost universally produce blocks at fixed intervals, existing models still lack an analytical formula for the loss-versus-rebalancing (LVR) incurred by Automated Market Makers (AMMs) liquidity providers in this…
We consider the block withholding attacks on pools, more specifically the state-of-the-art Power Adjusting Withholding (PAW) attack. We propose a generalization called Temporary PAW (T-PAW) where the adversary withholds a fPoW from pool…
Price benchmarks are used to incorporate market price trends into contracts, but their use can create opportunities for manipulation by parties involved in the contract. This paper examines this issue using a realistic and tractable model…
Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…
The Alternating Direction Method of Multipliers (ADMM) is a widely used method for structured convex optimization, and its practical performance depends strongly on the choice of penalty and relaxation parameters. Motivated by settings such…
We propose a simple, scalable algorithm for using stochastic interpolants to sample from unnormalized densities and for fine-tuning generative models. The approach, Tilt Matching, arises from a dynamical equation relating the flow matching…
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…
Online portfolio selection is an integral componentof wealth management. The fundamental undertaking is tomaximise returns while minimising risk given investor con-straints. We aim to examine and improve modern strategiesto generate higher…
This article analytically characterizes the impermanent loss for automatic market makers in decentralized exchanges such as Uniswap or Balancer (CPMM). We present a theoretical static replication formula for the pool value using a…
Automated market makers are a popular mechanism used on decentralized exchange, through which users trade assets with each other directly and automatically through a liquidity pool and a fixed pricing function. The liquidity provider…
Financial markets are nonlinear with complexity, where different types of assets are traded between buyers and sellers, each having a view to maximize their Return on Investment (ROI). Forecasting market trends is a challenging task since…