Related papers: Better market Maker Algorithm to Save Impermanent …

We address the co-optimization of behind-the-meter (BTM) distributed energy resources (DER), including flexible demands, renewable distributed generation (DG), and battery energy storage systems (BESS) under net energy metering (NEM)…

Automated market makers (AMMs) quote prices from pool state rather than from a limit order book. AMM pools often stay close to a reference price because arbitrageurs correct profitable mispricing. A large part of decentralized finance…

This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…

We introduce a new framework for optimal routing and arbitrage in AMM driven markets. This framework improves on the original best-practice convex optimization by restricting the search to the boundary of the optimal space. We can…

We present an automated market-making (AMM) cross-settlement mechanism for digital assets on interoperable blockchains, focusing on central bank digital currencies (CBDCs) and stable coins. We develop an innovative approach for generating…

Decentralized Finance (DeFi) has revolutionized financial markets by enabling complex asset-exchange protocols without trusted intermediaries. Automated Market Makers (AMMs) are a central component of DeFi, providing the core functionality…

To incentivize flexible resources such as Battery Energy Storage Systems (BESSs) to offer Frequency Control Ancillary Services (FCAS), Australia's National Electricity Market (NEM) has implemented changes in recent years towards…

A recent approach to automated mechanism design, differentiable economics, represents auctions by rich function approximators and optimizes their performance by gradient descent. The ideal auction architecture for differentiable economics…

We study the deployment performance of machine learning based enforcement systems used in cryptocurrency anti money laundering (AML). Using forward looking and rolling evaluations on Bitcoin transaction data, we show that strong static…

We study the problem of optimal liquidity withdrawal for a representative liquidity provider (LP) in an automated market maker (AMM). LPs earn fees from trading activity but are exposed to impermanent loss (IL) due to price fluctuations.…

Multi-agent distributed consensus optimization problems arise in many signal processing applications. Recently, the alternating direction method of multipliers (ADMM) has been used for solving this family of problems. ADMM based distributed…

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…

Alternating Direction Method of Multipliers (ADMM) algorithm has been widely adopted for solving the distributed optimization problem (DOP). In this paper, a new distributed parallel ADMM algorithm is proposed, which allows the agents to…

The popularity of cryptocurrencies has grown significantly in recent years, and they have become an important asset for internet trading. One of the main drawbacks of cryptocurrencies is the high volatility and fluctuation in value. The…

We develop a mixed control framework that combines absolutely continuous controls with impulse interventions subject to stochastic execution delays. The model extends current impulse control formulations by allowing (i) the controller to…

We study a novel automated market maker design: the function maximizing AMM (FM-AMM). Our central assumption is that trades are batched before execution. Because of competition between arbitrageurs, the FM-AMM eliminates arbitrage profits…

This paper studies liquid staking tokens (LSTs) on automated market makers (AMMs), both theoretically and empirically. LSTs are tokenized representations of staked assets on proof-of-stake blockchains. First, we model LST-liquidity on AMMs…

The current design space of derivatives in Decentralized Finance (DeFi) relies heavily on oracle systems. Replicating market makers (RMMs) provide a mechanism for converting specific payoff functions to an associated Constant Function…

This paper explores the critical domain of Revenue Management (RM) within Operations Research (OR), focusing on intricate pricing dynamics. Utilizing Mixed Integer Linear Programming (MILP) models, the study enhances revenue optimization by…

This paper introduces OPTIMUM-DERAM, a highly consistent, scalable, secure, and decentralized shared memory solution. Traditional distributed shared memory implementations offer multi-object support by multi-threading a single object memory…