Related papers: Short Paper: Atomic Execution is Not Enough for Ar…
We study and formulate arbitrage in display advertising. Real-Time Bidding (RTB) mimics stock spot exchanges and utilises computers to algorithmically buy display ads per impression via a real-time auction. Despite the new automation, the…
This article clarifies the relationship between pricing kernel monotonicity and the existence of opportunities for stochastic arbitrage in a complete and frictionless market of derivative securities written on a market portfolio. The…
In typical black-box optimization applications, the available computational budget is often allocated to a single algorithm, typically chosen based on user preference with limited knowledge about the problem at hand or according to some…
Aggregators are playing an increasingly crucial role in the integration of renewable generation in power systems. However, the intermittent nature of renewable generation makes market interactions of aggregators difficult to monitor and…
An agent-based modelling methodology for the joint price evolution of two stocks is put forward. The method models future multidimensional price trajectories reflecting how a class of agents rebalance their portfolios in an operational way…
The goal of this paper is to rigorously interrogate conventional wisdom about centralization in block-building (due to, e.g., MEV and private order flow) and the outsourcing of block-building by validators to specialists (i.e.,…
In blockchain networks, the strategic ordering of transactions within blocks has emerged as a significant source of profit extraction, known as Maximal Extractable Value (MEV). The transition from spam-based Priority Gas Auctions to…
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 generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…
The application of robotic solutions to small-batch production is challenging: economical constraints tend to dramatically limit the time for setting up new batches. Organizing robot tasks into modular software components, called skills,…
Simulating chemical reaction networks is often computationally demanding, in particular due to stiffness. We propose a novel simulation scheme where long runs are not simulated as a whole but assembled from shorter precomputed segments of…
Automated Market Makers (AMMs) are essential to decentralized finance, offering continuous liquidity and enabling intermediary-free trading on blockchains. However, participants in AMMs are vulnerable to Maximal Extractable Value (MEV)…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
The increasing adoption of blockchain technology has led to a growing demand for higher transaction throughput. Traditional blockchain platforms, such as Ethereum, execute transactions sequentially within each block, limiting scalability.…
Decentralized exchanges using automated market makers create arbitrage opportunities with centralized exchanges, where gas fees and transaction ordering are critical. Existing models largely overlook competition among arbitrageurs, despite…
Given the rapid rise of electric vehicles (EVs) worldwide, and the ambitious targets set for the near future, the management of large EV fleets must be seen as a priority. Specifically, we study a scenario where EV charging is managed…
Markov chain Monte Carlo is an inherently serial algorithm. Although likelihood calculations for individual steps can sometimes be parallelized, the serial evolution of the process is widely viewed as incompatible with parallelization,…
This paper analyzes the Execution Tickets proposal on Ethereum Research, unveiling its potential to revolutionize the Ethereum blockchain's economic model. At the core of this proposal lies a novel ticketing mechanism poised to redefine how…
Block production on the Ethereum blockchain has adopted an auction-based mechanism known as Proposer--Builder Separation (PBS), where validators outsource block creation to builders competing in MEV--Boost auctions for Maximal Extractable…