Related papers: Quantifying the Value of Revert Protection
This paper presents numerical algorithm and results for pricing a capital protection option offered by many asset managers for investment portfolios to take advantage of market growth and protect savings. Under optimal withdrawal…
The application of Bitcoin enables people to understand blockchain technology gradually. Bitcoin is a decentralized currency that does not rely on third-party credit institutions, and the core of Bitcoin's underlying technology is…
Bitcoin mining presents a significant economic incentive for efficient hashing and broadcast of data, both parameters stemming from the Proofs of Work used to advance the network. This incentive has led to the development of Bitcoin…
Blockchains offer strong security gurarantees, but cannot protect users against the ordering of transactions. Players such as miners, bots and validators can reorder various transactions and reap significant profits, called the Maximal…
Blockchain systems often employ proof-of-work consensus protocols to validate and add transactions into hashchains. These protocols stimulate competition among miners in solving cryptopuzzles (e.g. SHA-256 hash computation in Bitcoin) in…
We investigate the profitability and risk of energy storage arbitrage in electricity markets under price uncertainty, exploring both robust and chance-constrained optimization approaches. We analyze various uncertainty representations,…
In recent years, blockchain has gained widespread attention as an emerging technology for decentralization, transparency, and immutability in advancing online activities over public networks. As an essential market process, auctions have…
Maximal (also miner) extractable value, or MEV, usually refers to the value that privileged players can extract by strategically ordering, censoring, and placing transactions in a blockchain. Each blockchain network, which we refer to as a…
Secondary markets and resale are integral components of all emission trading systems. Despite the justification for these secondary trades, such as unpredictable demand, they may encourage speculation and result in the misallocation of…
We are interested in the problem of optimal commitments in rank-and-bid based auctions, a general class of auctions that include first price and all-pay auctions as special cases. Our main contribution is a novel approach to solve for…
This paper proposes a risk-averse approach to energy storage price arbitrage, leveraging conformal uncertainty quantification for electricity price predictions. The method addresses the significant challenges posed by the inherent…
As machine learning models are increasingly being employed to make consequential decisions in real-world settings, it becomes critical to ensure that individuals who are adversely impacted (e.g., loan denied) by the predictions of these…
We study equilibrium investment into bidding and latency reduction for different sequencing policies. For a batch auction design, we observe that bidders shade bids according to the likelihood that competing bidders land in the current…
We analyze bribing attacks in Proof-of-Stake distributed ledgers from a game theoretic perspective. In bribing attacks, an adversary offers participants a reward in exchange for instructing them how to behave, with the goal of attacking the…
We study reserve price optimization in multi-phase second price auctions, where the seller's prior actions affect the bidders' later valuations through a Markov Decision Process (MDP). Compared to the bandit setting in existing works, the…
A growing number of products use layer 2 solutions to expand the capabilities of primary blockchains like Ethereum, where computation is off-loaded from the root chain, and the results are published to it in bulk. Those include optimistic…
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random…
Single-turn safety evaluation is a poor proxy for real fraud defense, where attackers escalate across multiple rounds. This paper evaluates fraud defenders under replay and adaptive multi-round attacks and measures when a defender refuses,…
In this paper, we present a pricing mechanism that aligns incentives of agents who exchange resources on a decentralized ledger with the goal of maximizing transaction throughput. Subdividing a blockchain ledger into shards promises to…
Convergence (virtual) bidding is an important part of two-settlement electric power markets as it can effectively reduce discrepancies between the day-ahead and real-time markets. Consequently, there is extensive research into the bidding…