Related papers: CLVR Ordering of Transactions on AMMs
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…
We consider assortment and inventory planning problems with dynamic stockout-based substitution effects, and without replenishment, in two different settings: (1) Customers can see all available products when they arrive, a typical scenario…
In this paper, we focused on using deep learning methods for detecting money laundering in financial transaction networks, in order to demonstrate that it can be used as a complement or instead of the more commonly used rule-based systems…
In various practical situations, forecasting of aggregate values rather than individual ones is often our main focus. For instance, electricity companies are interested in forecasting the total electricity demand in a specific region to…
In this work, we tackle the problem of minimising the Conditional-Value-at-Risk (CVaR) of output quantities of complex differential models with random input data, using gradient-based approaches in combination with the Multi-Level Monte…
Consider a finite set of trade orders and automated market makers (AMMs) at some state. We propose a solution to the problem of finding an equilibrium price vector to execute all the orders jointly with corresponding optimal AMMs swaps. The…
We introduce a new framework for optimal routing and arbitrage in AMM driven markets. This framework improves on the original best-practice convex optimization by restricting the search to the boundary of the optimal space. We can…
Constraint ordering plays a critical role in the efficiency of Mixed-Integer Linear Programming (MILP) solvers, particularly for large-scale problems where poorly ordered constraints trigger increased LP iterations and suboptimal search…
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) framework that balances three competing objectives: order…
As a trusted middleware connecting the blockchain and the real world, the blockchain oracle can obtain trusted real-time price information for financial applications such as payment and settlement, and asset valuation on the blockchain.…
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 presents a general framework for the design and analysis of exchange mechanisms between two assets that unifies and enables comparisons between the two dominant paradigms for exchange, constant function market markers (CFMMs) and…
We propose LazyLedger, a design for distributed ledgers where the blockchain is optimised for solely ordering and guaranteeing the availability of transaction data. Responsibility for executing and validating transactions is shifted to only…
The purpose of Inventory Pricing is to bid the right prices to online ad opportunities, which is crucial for a Demand-Side Platform (DSP) to win advertising auctions in Real-Time Bidding (RTB). In the planning stage, advertisers need the…
There has been recent interest in the use of machine learning (ML) approaches within mathematical software to make choices that impact on the computing performance without affecting the mathematical correctness of the result. We address the…
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…
Multiversion Concurrency Control (MVCC) is a widely adopted concurrency control mechanism in database systems, which usually utilizes timestamps to resolve conflicts between transactions. However, centralized allocation of timestamps is a…
Decentralized exchanges are widely used platforms for trading crypto assets. The most common types work with automated market makers (AMM), allowing traders to exchange assets without needing to find matching counterparties. Thereby,…
We describe a plausible probabilistic model for a blockchain queueing environment in which rational, profit-maximising schedulers impose adversarial disciplines on incoming messages containing a payload that encodes a state transition in 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…