Related papers: Perpetual Demand Lending Pools
This paper develops a rigorous mathematical framework for analyzing Concentrated Liquidity Market Makers (CLMMs) in Decentralized Finance (DeFi) within a continuous-time setting. We model the evolution of liquidity profiles as…
In this article, we address a class of non convex, integer, non linear mathematical programs using dynamic programming. The mathematical program considered, whose properties are studied in this article, may be used to model the optimal…
Electrified chemical processes are incentivized by exposure to time-varying electricity markets to operate flexibly, but participating in demand response schemes can require satisfying terminal constraints over long horizons. Specifically,…
We present a mathematical formulation of liquidity provision in decentralized exchanges. We focus on constant function market makers of utility indifference type, which include constant product market makers with concentrated liquidity as a…
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…
Liquidity providers (LPs) on decentralized exchanges (DEXs) can protect themselves from adverse selection risk by updating their positions more frequently. However, repositioning is costly, because LPs have to pay gas fees for each update.…
Underground pumped hydro energy storage (UPHES) systems play a critical role in grid-scale energy storage for renewable integration, yet optimal day-ahead scheduling remains computationally prohibitive due to nonlinear turbine performance…
SPEEDEX is a decentralized exchange (DEX) that lets participants securely trade assets without giving any single party undue control over the market. SPEEDEX offers several advantages over prior DEXes. It achieves high throughput -- over…
This article analytically characterizes the impermanent loss for automatic market makers in decentralized exchanges such as Uniswap or Balancer (CPMM). We present a theoretical static replication formula for the pool value using a…
Passive liquidity providers (LPs) in automated market makers (AMMs) face losses due to adverse selection (LVR), which static trading fees often fail to offset in practice. We study the key determinants of LP profitability in a dynamic…
Decentralized exchanges (DEXs) face persistent challenges in liquidity retention and user engagement due to inefficiencies in conventional automated market maker (AMM) designs. This work proposes a dual-mechanism framework to address these…
Concentrated Liquidity Market Makers (CLMMs) represent a fundamental innovation in market microstructure, transforming liquidity provision from passive portfolio allocation to active risk management. This evolution creates significant…
We present PDLP, a practical first-order method for linear programming (LP) that can solve to the high levels of accuracy that are expected in traditional LP applications. In addition, it can scale to very large problems because its core…
Perpetual swaps are derivative contracts that allow traders to speculate on, or hedge, the price movements of cryptocurrencies. Unlike futures contracts, perpetual swaps have no settlement or expiration in the traditional sense. The funding…
The trustless nature of permissionless blockchains renders overcollateralization a key safety component relied upon by decentralized finance (DeFi) protocols. Nonetheless, factors such as price volatility may undermine this mechanism. In…
We consider the scheduling of multiple tasks with pre-determined deadlines under random processing cost. This problem is motivated by the potential of large scale adoption of plug-in (hybrid) electric vehicles (PHEVs) in the near future.…
This article analytically characterizes the impermanent loss of concentrated liquidity provision for automatic market makers in decentralised markets such as Uniswap. We propose two static replication formulas for the impermanent loss by a…
Decentralized Exchanges (DEXs) are now a significant component of the financial world where billions of dollars are traded daily. Differently from traditional markets, which are typically based on Limit Order Books, DEXs typically work as…
Digital payments play a pivotal role in the burgeoning digital economy. Moving forward, the enhancement of digital payment systems necessitates programmability, going beyond just efficiency and convenience, to meet the evolving needs and…
An important virtue of distributed ledger technologies is their acclaimed higher level of decentralisation compared to traditional financial systems. Empirical literature, however, suggests that many systems tend towards centralisation as…