Related papers: Improving DeFi Mechanisms with Dynamic Games and O…
We study a game between liquidity provider and liquidity taker agents interacting in an over-the-counter market, for which the typical example is foreign exchange. We show how a suitable design of parameterized families of reward functions…
In this paper, we consider a discrete-time stochastic Stackelberg game with a single leader and multiple followers. Both the followers and the leader together have conditionally independent private types, conditioned on action and previous…
Time-bound stablecoins are DeFi assets that temporarily tokenize traditional securities during market off-hours, enabling continuous cross-market liquidity. We introduce the Liquidity-of-Time Premium (TLP): the extra return or cost of…
In modern buildings renewable energy generators and storage devices are spreading, and consequently the role of the users in the power grid is shifting from passive to active. We design a demand response scheme that exploits the prosumers'…
We consider a random financial network with a large number of agents. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the liabilities. The settlement of the debts of various…
An existing challenge in power systems is the implementation of optimal demand management through dynamic pricing. This paper encompasses the design, analysis and implementation of a novel on-line pricing scheme based on coalitional game…
The pursuit of sustainability motivates microgrids that depend on distributed resources to produce more renewable energies. An efficient operation and planning relies on a holistic framework that takes into account the interdependent…
Stablecoins, which are primarily intended to function as a global reserve of value are insubstantial in their design and present many failure points. The primary mechanism to enable these coins to hold on to a fixed value is by backing them…
As AI systems grow more capable and autonomous, ensuring their safety and reliability requires not only model-level alignment but also strategic oversight of the humans and institutions involved in their development and deployment. Existing…
Decentralized finance (DeFi) is an integral component of the blockchain ecosystem, enabling a range of financial activities through smart-contract-based protocols. Traditional DeFi governance typically involves manual parameter adjustments…
This paper analyzes realized return behavior across a broad set of crypto assets by estimating heterogeneous exposures to idiosyncratic and systematic risk. A key challenge arises from the latent nature of broader economy-wide risk sources:…
This paper introduces a structural game-theoretic model to value decentralized digital assets like Bitcoin. Instead of relying on speculative beliefs, it frames the asset's price within a Rational-Expectations Security-Utility Nash…
To maintain blockchain-based services with ensuring its security, it is an important issue how to decide a mining reward so that the number of miners participating in the mining increases. We propose a dynamical model of decision-making for…
An important feature of a dynamic game is its monitoring structure namely, what the players effectively see from the played actions. We consider games with arbitrary monitoring structures. One of the purposes of this paper is to know to…
Traditional blockchain systems, such as Ethereum, typically rely on a \emph{single volatile cryptocurrency for transaction fees}. This leads to fluctuating transaction fee prices and limits the flexibility of users' payment options. To…
Asset custody is a core financial service in which the custodian holds in-safekeeping assets on behalf of the client. Although traditional custody service is typically endorsed by centralized authorities, decentralized custody scheme has…
This paper introduces JANUS, a Stablecoin 3.0 protocol designed to address the stablecoin trilemma--simultaneously improving decentralization (D), capital efficiency (E), and safety-stability (S). Building upon insights from previous…
The transaction ordering dependency of the smart contracts building decentralized exchanges (DEXes) allow for predatory trading strategies. In particular, front-running attacks present a constant risk for traders on DEXes. Whereas legal…
We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic…
Remote estimation is a crucial element of real time monitoring of a stochastic process. While most of the existing works have concentrated on obtaining optimal sampling strategies, motivated by malicious attacks on cyber-physical systems,…