Related papers: Better market Maker Algorithm to Save Impermanent …
Training models with discrete latent variables is challenging due to the difficulty of estimating the gradients accurately. Much of the recent progress has been achieved by taking advantage of continuous relaxations of the system, which are…
Decentralized Exchanges (DEXs) are pivotal applications in the Decentralized Finance (DeFi) landscape, aiming to facilitate trustless cryptocurrency trading by relying on smart contracts and blockchain networks. The developments in the DEXs…
This paper addresses a multi-stage generation investment problem for a strategic (price-maker) power producer in electricity markets. This problem is exposed to different sources of uncertainty, including short-term operational (e.g.,…
Geometric Mean Market Makers (G3M) such as Uniswap, Sushiswap or Balancer are key building blocks of the nascent Decentralised Finance system. We establish non-arbitrage bounds for the wealth process of such Automated Market Makers in the…
Merging mobile edge computing (MEC) functionality with the dense deployment of base stations (BSs) provides enormous benefits such as a real proximity, low latency access to computing resources. However, the envisioned integration creates…
The latency of the exchanges in Market Making (MM) is inevitable due to hardware limitations, system processing times, delays in receiving data from exchanges, the time required for order transmission to reach the market, etc. Existing…
Block majorization-minimization (BMM) is a simple iterative algorithm for constrained nonconvex optimization that sequentially minimizes majorizing surrogates of the objective function in each block while the others are held fixed. BMM…
The trending integrations of Battery Energy Storage System (BESS, stationary battery) and Electric Vehicles (EV, mobile battery) to distribution grids call for advanced Demand Side Management (DSM) technique that addresses the scalability…
There has been a recent surge in interest in the application of artificial intelligence to automated trading. Reinforcement learning has been applied to single- and multi-instrument use cases, such as market making or portfolio management.…
In modern large-scale machine learning applications, the training data are often partitioned and stored on multiple machines. It is customary to employ the "data parallelism" approach, where the aggregated training loss is minimized without…
To meet the ever growing demand for both high throughput and uniform coverage in future wireless networks, dense network deployment will be ubiquitous, for which co- operation among the access points is critical. Considering the…
In this paper, a decentralized proximal method of multipliers (DPMM) is proposed to solve constrained convex optimization problems over multi-agent networks, where the local objective of each agent is a general closed convex function, and…
This work aims to extend the residual distribution (RD) framework to stiff relaxation problems. The RD is a class of schemes which is used to solve hyperbolic system of partial differential equations. Up to our knowledge, it was used only…
In recent years, there is a growing need to train machine learning models on a huge volume of data. Designing efficient distributed optimization algorithms for empirical risk minimization (ERM) has therefore become an active and challenging…
Simulating physical systems is essential in engineering, but analytical solutions are limited to straightforward problems. Consequently, numerical methods like the Finite Element Method (FEM) are widely used. However, the FEM becomes…
Decentralized exchanges (DEXs) form a cornerstone of the decentralized finance (DeFi) ecosystem, processing token trades worth billions of dollars daily. Yet, a significant fraction of these trades are suboptimal: alternative routing paths…
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…
We present our Agent-Based Market Microstructure Simulation (ABMMS), an Agent-Based Financial Market (ABFM) that captures much of the complexity present in the US National Market System for equities (NMS). Agent-Based models are a natural…
Automated market makers (AMMs) are automata that trade electronic assets at rates set by mathematical formulas. AMMs are usually implemented by smart contracts on blockchains. In practice, AMMs are often composed: and outputs from AMMs can…
Although modern blockchains almost universally produce blocks at fixed intervals, existing models still lack an analytical formula for the loss-versus-rebalancing (LVR) incurred by Automated Market Makers (AMMs) liquidity providers in this…