Related papers: An Improved Algorithm to Identify More Arbitrage O…
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…
We propose a new method for finding statistical arbitrages that can contain more assets than just the traditional pair. We formulate the problem as seeking a portfolio with the highest volatility, subject to its price remaining in a band…
We investigate the behavior of liquidity providers (LPs) by modeling a decentralized cryptocurrency exchange (DEX) based on Uniswap v3. LPs with heterogeneous characteristics choose optimal liquidity positions subject to uncertainty…
Decentralized Exchanges (DEXs) are one of the most important infrastructures in the world of Decentralized Finance (DeFi) and are generally considered more reliable than centralized exchanges (CEXs). However, some well-known decentralized…
Triangular arbitrage is a profitable trading strategy in financial markets that exploits discrepancies in currency exchange rates. Traditional methods for detecting triangular arbitrage opportunities, such as exhaustive search algorithms…
We present a strongly polynomial algorithm for computing an equilibrium in Arrow-Debreu exchange markets with linear utilities. Our algorithm is based on a variant of the weakly-polynomial Duan-Mehlhorn (DM) algorithm. We use the DM…
This paper presents a simple and efficient approach for finding the bridges and failure points in a densely connected network mapped as a graph. The algorithm presented here is a parallel algorithm which works in a distributed environment.…
Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes. We propose a heuristic algorithm for such problems…
The paper addresses the Multiplayer Multi-Armed Bandit (MMAB) problem, where $M$ decision makers or players collaborate to maximize their cumulative reward. When several players select the same arm, a collision occurs and no reward is…
The study seeks to develop an effective strategy based on the novel framework of statistical arbitrage based on graph clustering algorithms. Amalgamation of quantitative and machine learning methods, including the Kelly criterion, and an…
This paper presents centralized and distributed Alternating Direction Method of Multipliers (ADMM) frameworks for solving large-scale nonconvex optimization problems with binary decision variables subject to spanning tree or rooted…
The prosperity of the cryptocurrency ecosystem drives the need for digital asset trading platforms. Beyond centralized exchanges (CEXs), decentralized exchanges (DEXs) are introduced to allow users to trade cryptocurrency without…
We formulate and study a decentralized multi-armed bandit (MAB) problem. There are M distributed players competing for N independent arms. Each arm, when played, offers i.i.d. reward according to a distribution with an unknown parameter. At…
Decentralized exchanges (DEXes) have evolved dramatically since the introduction of Automated Market Makers (AMMs). In recent years, solver-based protocols have emerged as an alternative venue aiming to introduce competition for routing,…
We study distributed cooperative decision-making under the explore-exploit tradeoff in the multiarmed bandit (MAB) problem. We extend the state-of-the-art frequentist and Bayesian algorithms for single-agent MAB problems to cooperative…
Arbitrage can arise from the simultaneous purchase and sale of the same asset in different markets in order to profit from a difference in its price. This work systematically reviews arbitrage opportunities between Automated Market Makers…
This paper proposes a fully decentralized model predictive control (MPC) framework with control barrier function (CBF) constraints for safety-critical trajectory planning in multi-robot legged systems. The incorporation of CBF constraints…
Automated Market Makers (AMMs) have cemented themselves as an integral part of the decentralized finance (DeFi) space. AMMs are a type of exchange that allows users to trade assets without the need for a centralized exchange. They form the…
This paper studies a decentralized homogeneous multi-armed bandit problem in a multi-agent network. The problem is simultaneously solved by $N$ agents assuming they face a common set of $M$ arms and share the same arms' reward…
DeFi applications are vulnerable to MEV, where specialized actors profit by reordering or inserting transactions. To mitigate latency races and internalize MEV revenue, Arbitrum introduced Timeboost, an auction-based transaction sequencing…