Related papers: Ergodic optimal liquidations in DeFi
With the development of decentralized finance (DeFi), lending protocols have been increasingly proposed in the market. A comprehensive and in-depth evaluation of lending protocol is essential to the DeFi market participants. Due to the…
Decentralized Finance (DeFi) services are moving traditional financial operations to the Internet of Value (IOV) by exploiting smart contracts, distributed ledgers, and clever heterogeneous transactions among different protocols. The…
Zero-Liquidation loans allow DeFi users to borrow USDC against their ETH holdings, but without the risk of being liquidated in case of LTV shortfalls. This is achieved by giving users the option to repay their loans, either in USDC or…
We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market…
Decentralized exchanges (DEXs) provide a means for users to trade pairs of assets on-chain without the need for a trusted third party to effectuate a trade. Amongst these, constant function market maker DEXs such as Uniswap handle the most…
We study optimal trade execution strategies in financial markets with discrete order flow. The agent has a finite liquidation horizon and must minimize price impact given a random number of incoming trade counterparties. Assuming that the…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
The goal of cryptocurrencies is decentralization. In principle, all currencies have equal status. Unlike traditional stock markets, there is no default currency of denomination (fiat), thus the trading pairs can be set freely. However, it…
We study the formation of an optimal interbank network in a model where banks control both their supply of liquidity, through cash reserves, and their exposures to other banks' risky projects. The value of each bank's project may suddenly…
We present a measurement study on compositions of Decentralized Finance protocols, which aim to disrupt traditional finance and offer services on top of distributed ledgers, such as Ethereum. DeFi compositions may impact the development of…
We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a…
Decentralised Finance (DeFi) applications constitute an entire financial ecosystem deployed on blockchains. Such applications are based on complex protocols and incentive mechanisms whose financial safety is hard to determine. Besides,…
The paper deals with an optimal control problem in a dynamical system described by a linear differential equation with the Caputo fractional derivative. The goal of control is to minimize a Bolza-type cost functional, which consists of two…
The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objective functional associated with his profit-and-loss of trading…
We study relaxed stochastic control problems where the state equation is a one dimensional linear stochastic differential equation with random and unbounded coefficients. The two main results are existence of an optimal relaxed control and…
We consider a two-sided singular stochastic control problem with a risk-sensitive ergodic criterion. In particular, we consider a stochastic system whose uncontrolled dynamics are modelled by a linear diffusion. The control that can be…
Prediction markets have gained adoption as on-chain mechanisms for aggregating information, with platforms such as Polymarket demonstrating demand for stablecoin-denominated markets. However, denominating in non-interest-bearing stablecoins…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
Decentralized Exchanges are becoming even more predominant in today's finance. Driven by the need to study this phenomenon from an academic perspective, the SIAG/FME Code Quest 2023 was announced. Specifically, participating teams were…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…