Related papers: Profit Maximization In Arbitrage Loops
We develop a distributed algorithm for convex Empirical Risk Minimization, the problem of minimizing large but finite sum of convex functions over networks. The proposed algorithm is derived from directly discretizing the second-order…
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which…
We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximize revenues, the broker considers trading in a currency triplet which consists of the…
It was recently shown in [http://arxiv.org/abs/1207.5518] that revenue optimization can be computationally efficiently reduced to welfare optimization in all multi-dimensional Bayesian auction problems with arbitrary (possibly…
Blockchains offer strong security guarantees, but they cannot protect the ordering of transactions. Powerful players, such as miners, sequencers, and sophisticated bots, can reap significant profits by selectively including, excluding, or…
We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find rebalancing times for the hedging portfolio which enable him…
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…
This paper studies a class of network games with linear-quadratic payoffs and externalities exerted through a strictly concave interaction function. This class of game is motivated by the diminishing marginal effects with peer influences.…
Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long and short futures positions. The empirical analysis of perpetual bitcoin futures on BitMEX…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The…
In this paper, we introduce a novel, non-recursive, maximal matching algorithm for double auctions, which aims to maximize the amount of commodities to be traded. It differs from the usual equilibrium matching, which clears a market at the…
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 the first comprehensive analysis of an emerging cryptocurrency scam named "arbitrage bot" disseminated on online social networks. The scam revolves around Decentralized Exchanges (DEX) arbitrage and aims to lure victims…
Maximal Extractable Value (MEV) drives the prosperity of the blockchain ecosystem. By strategically including, excluding, or reordering transactions within blocks, block producers can extract additional value, which in turn incentivizes…
The XRP Ledger (XRPL) is a peer-to-peer cryptographic ledger. It features a decentralized exchange (DEX) where network participants can issue and trade user-defined digital assets and currencies. We present Jack the Rippler, a bot that…
The Maker Protocol is a decentralized finance application that enables collateralized lending. The application uses open-bid, second-price auctions to complete its loan liquidation process. In this paper, we develop a bidding function for…
An important task in the analysis of multiagent systems is to understand how groups of selfish players can form coalitions, i.e., work together in teams. In this paper, we study the dynamics of coalition formation under bounded rationality.…
This paper examines replication portfolio construction in incomplete markets - a key problem in financial engineering with applications in pricing, hedging, balance sheet management, and energy storage planning. We model this as a…
Maximal Extractable Value (MEV) is value extractable by temporary monopoly power commonly found in decentralized systems. This extraction stems from a lack of user privacy upon transaction submission and the ability of a monopolist…