Related papers: A Multi-step Approach for Minimizing Risk in Decen…
Three traits of decentralized finance are studied. First, the market impact function is derived for optimal-growth liquidity providers. For a standard random walk, the classic square-root impact is recovered. An extension is then derived to…
Nested simulation is a natural approach to tackle nested estimation problems in operations research and financial engineering. The outer-level simulation generates outer scenarios and the inner-level simulations are run in each outer…
This paper is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by It\^o-L\'evy processes, but it also contains some new results on the underlying stochastic maximum…
We develop a family of accelerated stochastic algorithms that minimize sums of convex functions. Our algorithms improve upon the fastest running time for empirical risk minimization (ERM), and in particular linear least-squares regression,…
In this paper, we investigate risk minimization problem of derivatives based on non-tradable underlyings by means of dynamic g-expectations which are slight different from conditional g-expectations. In this framework, inspired by [1] and…
Privacy concern has been increasingly important in many machine learning (ML) problems. We study empirical risk minimization (ERM) problems under secure multi-party computation (MPC) frameworks. Main technical tools for MPC have been…
Decentralized Exchanges (DEXs) are new types of marketplaces leveraging Blockchain technology. They allow users to trade assets with Automatic Market Makers (AMM), using funds provided by liquidity providers, removing the need for order…
Financial options are fundamental to traditional markets, enabling strategies ranging from hedging to speculating. Yet, while the Automated Market Maker paradigm has revolutionized decentralized spot markets, no equivalent standard has…
Edge computing has become one of the key enablers for ultra-reliable and low-latency communications in the industrial Internet of Things in the fifth generation communication systems, and is also a promising technology in the future sixth…
Decentralized cryptocurrency exchanges offer compelling security benefits over centralized exchanges: users control their funds and avoid the risk of an exchange hack or malicious operator. However, because user assets are fully accessible…
Many modern computational approaches to classical problems in quantitative finance are formulated as empirical loss minimization (ERM), allowing direct applications of classical results from statistical machine learning. These methods,…
As an integral part of the decentralized finance (DeFi) ecosystem, decentralized exchanges (DEXs) with automated market maker (AMM) protocols have gained massive traction with the recently revived interest in blockchain and distributed…
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…
Training and deploying machine learning models that meet fairness criteria for protected groups are fundamental in modern artificial intelligence. While numerous constraints and regularization terms have been proposed in the literature to…
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…
We consider distributed convex optimization problems that involve a separable objective function and nontrivial functional constraints, such as Linear Matrix Inequalities (LMIs). We propose a decentralized and computationally inexpensive…
Decentralized exchanges (DEXs) are crucial to decentralized finance (DeFi) as they enable trading without intermediaries. However, they face challenges like impermanent loss (IL), where liquidity providers (LPs) see their assets' value…
Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs) where exchange rates are set by a trading function. This…
An algorithm is proposed for solving stochastic and finite sum minimization problems. Based on a trust region methodology, the algorithm employs normalized steps, at least as long as the norms of the stochastic gradient estimates are within…