Related papers: CLVR Ordering of Transactions on AMMs
A natural optimization model that formulates many online resource allocation and revenue management problems is the online linear program (LP) in which the constraint matrix is revealed column by column along with the corresponding…
The Capacitated Vehicle Routing Problem (CVRP) is a fundamental NP-hard problem in logistics. Augmented Lagrangian Methods (ALM) for solving CVRP performance depends heavily on well-tuned penalty parameters. In this paper, we propose a…
Order execution is a fundamental task in quantitative finance, aiming at finishing acquisition or liquidation for a number of trading orders of the specific assets. Recent advance in model-free reinforcement learning (RL) provides a…
Machine learning (ML) model trading, known for its role in protecting data privacy, faces a major challenge: information asymmetry. This issue can lead to model deception, a problem that current literature has not fully solved, where the…
Automated Market Makers (AMMs), as a core infrastructure of decentralized finance (DeFi), uniquely drive on-chain asset pricing through a deterministic reserve ratio mechanism. Unlike traditional markets, AMM price dynamics is triggered…
Conversion Rate (\emph{CVR}) prediction in modern industrial e-commerce platforms is becoming increasingly important, which directly contributes to the final revenue. In order to address the well-known sample selection bias (\emph{SSB}) and…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
We propose a secure, stateless and composable transaction scheme to establish delivery-versus-payment (DvP) across two (or more) blockchains without relying on time-locks, centralized escrow, or stateful intermediaries. The method minimizes…
Triangle fees are a novel fee structure for AMMs, in which marginal fees are decreasing in a trade's size. That decline is proportional to the movement in the AMM's implied price, i.e. for every basis point the trade moves the ratio of…
Integrating time-frequency resource conversion (TFRC), a new network resource allocation strategy, with call admission control can not only increase the cell capacity but also reduce network congestion effectively. However, the optimal…
Recently, there is growing interest and need for dynamic pricing algorithms, especially, in the field of online marketplaces by offering smart pricing options for big online stores. We present an approach to adjust prices based on the…
Anti-Money Laundering (AML) is a crucial task in ensuring the integrity of financial systems. One keychallenge in AML is identifying high-risk groups based on their behavior. Unsupervised learning, particularly clustering, is a promising…
We present an automated market-making (AMM) cross-settlement mechanism for digital assets on interoperable blockchains, focusing on central bank digital currencies (CBDCs) and stable coins. We develop an innovative approach for generating…
Autonomous cyber and cyber-physical systems need to perform decision-making, learning, and control in unknown environments. Such decision-making can be sensitive to multiple factors, including modeling errors, changes in costs, and impacts…
We derive the stochastic price process for tokens whose sole price discovery mechanism is a constant-product automated market maker (AMM). When the net flow into the pool follows a diffusion, the token price follows a constant elasticity of…
Multiple model reduction techniques have been proposed to tackle linear and non linear problems. Intrusive model order reduction techniques exhibit high accuracy levels, however, they are rarely used as a standalone industrial tool, because…
In blockchain systems, fair transaction ordering is crucial for a trusted and regulation-compliant economic ecosystem. Unlike traditional State Machine Replication (SMR) systems, which focus solely on liveness and safety, blockchain systems…
In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing.…
This work's purpose is to understand the dynamics of limit order books in order-driven markets. We try to illustrate a dynamical trading mechanism attached to the microstructure of limit order markets. We capture the iterative nature of…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…