Related papers: A mathematical framework for modelling CLMM dynami…
We investigate the behavior of liquidity providers (LPs) by modeling a decentralized cryptocurrency exchange (DEX) based on Uniswap v3. LPs with heterogeneous characteristics choose optimal liquidity positions subject to uncertainty…
Mobile data offloading is an emerging technology to avoid congestion in cellular networks and improve the level of user satisfaction. In this paper, we develop a distributed market framework to price the offloading service, and conduct a…
Tradable mobility credit (TMC) schemes are an approach to travel demand management that have received significant attention in recent years. This paper proposes and analyzes alternative market models for a TMC system -- focusing on market…
Decentralized Exchanges (DEXs) are new types of marketplaces leveraging Blockchain technology. They allow users to trade assets with Automatic Market Makers (AMM), using funds provided by liquidity providers, removing the need for order…
In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then…
The rapid advancement of Large Language Models (LLMs) has led to a surge of financial benchmarks, evolving from static knowledge evaluation toward interactive trading simulations. However, existing frameworks for evaluating real-time…
In this paper we introduce a sublinear conditional expectation with respect to a family of possibly nondominated probability measures on a progressively enlarged filtration. In this way, we extend the classic reduced-form setting for credit…
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential…
In the Decentralized Finance (DeFi) setting, we present a new parametrized family of Constant Function Market Makers (CFMMs) which we call the Generalized Mean Market Makers (G3Ms), based on the generalized means. The G3Ms are intermediate…
This letter introduces a convergence prediction model (CPM) for decentralized market clearing mechanisms. The CPM serves as a tool to detect potential cyber-attacks that affect the convergence of the consensus mechanism during ongoing…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
Transient computational fluid dynamics (CFD) remains expensive when long horizons and multi-scale turbulence are involved. Data-driven surrogates promise relief, yet many degrade over multiple steps or drift from physical behavior. This…
Significant progress has been made in automated problem-solving using societies of agents powered by large language models (LLMs). In finance, efforts have largely focused on single-agent systems handling specific tasks or multi-agent…
The rise of Ethereum and other blockchains that support smart contracts has led to the creation of decentralized exchanges (DEXs), such as Uniswap, Balancer, Curve, mStable, and SushiSwap, which enable agents to trade cryptocurrencies…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
This paper addresses a key challenge in CDO modeling: achieving a perfect fit to market prices across all tranches using a single, consistent model. The existence of such a perfect-fit model implies the absence of arbitrage among CDO…
In this paper, we describe a novel agent-based approach for modelling the transaction cost of buying or selling an asset in financial markets, e.g., to liquidate a large position as a result of a margin call to meet financial obligations.…
This research investigates liquidity dynamics in fractional ownership markets, focusing on illiquid alternative investments traded on a FinTech platform. By leveraging empirical data and employing agent-based modeling (ABM), the study…
Recent advancements in large language models (LLMs) and agentic systems have shown exceptional decision-making capabilities, revealing significant potential for autonomic finance. Current financial trading agents predominantly simulate…
In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the immersion property is satisfied between some relevant…