Related papers: Impermanent loss and Loss-vs-Rebalancing II
To trade tokens in cryptoeconomic systems, automated market makers (AMMs) typically rely on liquidity providers (LPs) that deposit tokens in exchange for rewards. To profit from such rewards, LPs must use effective liquidity provisioning…
In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-reverting process for the security price with proportional…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
The focus of this paper is a Bayesian framework for solving a class of problems termed multi-agent inverse reinforcement learning (MIRL). Compared to the well-known inverse reinforcement learning (IRL) problem, MIRL is formalized in the…
Multi-agent learning is a promising method to simulate aggregate competitive behaviour in finance. Learning expert agents' reward functions through their external demonstrations is hence particularly relevant for subsequent design of…
This paper studies relations among axioms on individuals' intertemporal choices under risk. The focus is on Risk Averse over Time Lotteries (RATL), meaning that a fixed prize is preferred to a lottery with the same monetary prize but a…
Automated market makers (AMM) have grown to obtain significant market share within the cryptocurrency ecosystem, resulting in a proliferation of new products pursuing exotic strategies for horizontal differentiation. Yet, their theoretical…
Designing and analyzing model-based RL (MBRL) algorithms with guaranteed monotonic improvement has been challenging, mainly due to the interdependence between policy optimization and model learning. Existing discrepancy bounds generally…
The Invariant Risk Minimization (IRM) framework aims to learn invariant features from a set of environments for solving the out-of-distribution (OOD) generalization problem. The underlying assumption is that the causal components of the…
Conditional value-at-risk (CVaR) is a prominent risk measure in financial engineering, energy systems, and supply chain management. In these domains, Markov decision processes (MDPs) with a long-run CVaR criterion effectively mitigate cost…
Reinforcement learning with verifiable rewards (RLVR) has recently unlocked strong reasoning capabilities in large language models (LLMs), triggering rapid exploration of new algorithms and data. However, RLVR training is notoriously…
The alignment of large language models (LLMs) is crucial for generating helpful and harmless content. Existing approaches leverage preference-based human feedback data to learn the reward function and align the LLM with the feedback data.…
LLMs acquire a wide range of abilities during pre-training, but aligning LLMs under Reinforcement Learning with Human Feedback (RLHF) can lead to forgetting pretrained abilities, which is also known as the alignment tax. To investigate…
Deep learning algorithms can fare poorly when the training dataset suffers from heavy class-imbalance but the testing criterion requires good generalization on less frequent classes. We design two novel methods to improve performance in…
We study the effect of fading in the communication channels between nodes on the performance of the incremental least mean square (ILMS) algorithm. We derive steady-state performance metrics, including the mean-square deviation (MSD),…
Recent extensive research has demonstrated that the enhanced reasoning capabilities acquired by models through Reinforcement Learning with Verifiable Rewards (RLVR) are primarily concentrated within the rank-1 components. Predicated on this…
Reward models (RMs) are central to aligning large language models (LLMs) with human values but have received less attention than pretrained and post-trained LLMs themselves. Because RMs are initialized from LLMs, they inherit…
As distribution systems move towards being more actively managed there is increased potential for regional markets and the application of locational marginal prices (LMPs) to capture spatial variation in the marginal cost of electricity at…
High penetration of photovoltaic (PV) generators can lead to voltage issues in distribution networks. Various approaches including the real power control through PV inverters have been proposed to address voltage issues. However, among…
In this paper, a novel approach to the output-feedback inverse reinforcement learning (IRL) problem is developed by casting the IRL problem, for linear systems with quadratic cost functions, as a state estimation problem. Two observer-based…