Related papers: Dynamic Fee for Reducing Impermanent Loss in Decen…
Incentivizing flexible consumption of end-users is key to maximizing the value of local exchanges within Renewable Energy Communities. If centralized coordination for flexible resources planning raises concerns regarding data privacy and…
Stablecoins are a class of cryptocurrencies which aim at providing consistency and predictability, typically by pegging the token's value to that of a real world asset. Designing resilient decentralized stablecoins is a challenge, and…
This paper examines the relationship between impermanent loss (IL) and loss-versus-rebalancing (LVR) in automated market makers (AMMs). Our main focus is on statistical properties, the impact of fees, the role of block times, and, related…
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…
Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that asymptotically replicates the payoff is constructed. An…
The limit order book mechanism has been the core trading mechanism of the modern financial market. In the cryptocurrency market, centralized exchanges also adopt this limit order book mechanism and a centralized matching engine dynamically…
The rise of Decentralized Finance (DeFi) has brought novel financial opportunities but also exposed serious security vulnerabilities, with flash loans frequently exploited for price manipulation attacks. These attacks, leveraging the atomic…
Financial speculators often seek to increase their potential gains with leverage. Debt is a popular form of leverage, and with over 39.88B USD of total value locked (TVL), the Decentralized Finance (DeFi) lending markets are thriving.…
Model-based Systems Engineering (MBSE) has been widely utilized to formalize system artifacts and facilitate their development throughout the entire lifecycle. During complex system development, MBSE models need to be frequently exchanged…
Federated Learning (FL) has emerged as a promising decentralized learning (DL) approach that enables the use of distributed data without compromising user privacy. However, FL poses several key challenges. First, it is frequently assumed…
We propose the first discrete-time infinite-horizon dynamic formulation of the financial index tracking problem under both return-based tracking error and value-based tracking error. The formulation overcomes the limitations of existing…
Previous research primarily characterized price movements according to time intervals, resulting in temporal discontinuity and overlooking crucial activities in financial markets. Directional Change (DC) is an alternative approach to…
This study proposes an Ensemble Differential Evolution with Simula-tion-Based Hybridization and Self-Adaptation (EDESH-SA) approach for inven-tory management (IM) under uncertainty. In this study, DE with multiple runs is combined with a…
The paper introduces an advanced Decentralized Energy Marketplace (DEM) integrating blockchain technology and artificial intelligence to manage energy exchanges among smart homes with energy storage systems. The proposed framework uses…
DeFi (Decentralized Finance) is one of the most important applications of today's cryptocurrencies and smart contracts. It manages hundreds of billions in Total Value Locked (TVL) on-chain, yet it remains susceptible to common DeFi price…
In the realm of real-world devices, centralized servers in Federated Learning (FL) present challenges including communication bottlenecks and susceptibility to a single point of failure. Additionally, contemporary devices inherently exhibit…
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.…
We consider the problem of dynamic pricing with limited supply. A seller has $k$ identical items for sale and is facing $n$ potential buyers ("agents") that are arriving sequentially. Each agent is interested in buying one item. Each…
Recently, there is growing interest and need for dynamic pricing algorithms, especially, in the field of online marketplaces by offering smart pricing options for big online stores. We present an approach to adjust prices based on the…
In this paper, we propose a fully decentralized and smart contract-based insurance protocol. We identify various issues in the Decentralized Finance (DeFi) insurance context and propose a solution to overcome these shortcomings. We…