Related papers: Profit Maximization In Arbitrage Loops
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…
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…
There has been a growing interest in shared sequencing solutions, in which transactions for multiple rollups are processed together. Their proponents argue that these solutions allow for better composability and can potentially increase…
This paper examines the impact of reducing Ethereum slot time on decentralized exchange activity, with a focus on CEX-DEX arbitrage behavior. We develop a trading model where the agent's DEX transaction is not guaranteed to land, and the…
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…
In this paper, we consider zero-sum repeated games in which the maximizer is restricted to strategies requiring no more than a limited amount of randomness. Particularly, we analyze the maxmin payoff of the maximizer in two models: the…
This study presents a rigorous mathematical approach to the optimization of round and betting policies in Blackjack, using Markov Decision Processes (MDP) and Expected Utility Theory. The analysis considers a direct confrontation between a…
Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. We study this problem from the perspective of a broker, in a regret…
We study optimal execution in markets with transient price impact in a competitive setting with $N$ traders. Motivated by prior negative results on the existence of pure Nash equilibria, we consider randomized strategies for the traders and…
The evolution of blockchain technology, from its origins as a decentralized ledger for cryptocurrencies to its broader applications in areas like decentralized finance (DeFi), has significantly transformed financial ecosystems while…
We explore brokerage between traders in an online learning framework. At any round $t$, two traders meet to exchange an asset, provided the exchange is mutually beneficial. The broker proposes a trading price, and each trader tries to sell…
We develop a novel optimization model to maximize the profit of a Demand-Side Platform (DSP) while ensuring that the budget utilization preferences of the DSP's advertiser clients are adequately met. Our model is highly flexible and can be…
Polymarket is a prediction market platform where users can speculate on future events by trading shares tied to specific outcomes, known as conditions. Each market is associated with a set of one or more such conditions. To ensure proper…
We design and analyze minimax-optimal algorithms for online linear optimization games where the player's choice is unconstrained. The player strives to minimize regret, the difference between his loss and the loss of a post-hoc benchmark…
The Foreign Exchange (Forex) is a large decentralized market, on which trading analysis and algorithmic trading are popular. Research efforts have been focusing on proof of efficiency of certain technical indicators. We demonstrate,…
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…
Each of two players, by turns, rolls a dice several times accumulating the successive scores until he decides to stop, or he rolls an ace. When stopping, the accumulated turn score is added to the player account and the dice is given to his…
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…
We consider games of chance played by someone with external capital that cannot be applied to the game and determine how this affects risk-adjusted optimal betting. Specifically, we focus on Kelly optimization as a metric, optimizing the…
An arbitrage strategy allows a financial agent to make certain profit out of nothing, i.e., out of zero initial investment. This has to be disallowed on economic basis if the market is in equilibrium state, as opportunities for riskless…