Related papers: Optimal Benchmark Design under Costly Manipulation
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
As an emerging technology, blockchain has achieved great success in numerous application scenarios, from intelligent healthcare to smart cities. However, a long-standing bottleneck hindering its further development is the massive resource…
The uncertainties in future Bitcoin price make it difficult to accurately predict the price of Bitcoin. Accurately predicting the price for Bitcoin is therefore important for decision-making process of investors and market players in the…
Benchmarks offer a scientific way to compare algorithms using objective performance metrics. Good benchmarks have two features: (a) they should be widely useful for many research groups; (b) and they should produce reproducible findings. In…
A mean-reverting financial instrument is optimally traded by buying it when it is sufficiently below the estimated `mean level' and selling it when it is above. In the presence of linear transaction costs, a large amount of value is paid…
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…
Rather than directly predicting future prices or returns, we follow a more recent trend in asset management and classify the state of a market based on labels. We use numerous standard labels and even construct our own ones. The labels rely…
We consider a seller who offers services to a buyer with multi-unit demand. Prior to the realization of demand, the buyer receives a noisy signal of their future demand, and the seller can design contracts based on the reported value of…
As the core issue of blockchain, the mining requires solving a proof-of-work puzzle, which is resource expensive to implement in mobile devices due to high computing power needed. Thus, the development of blockchain in mobile applications…
Smart contracts provide the means to stipulate rules of interaction between mutually distrustful organizations. They encode contractual agreements on the basis of source code, which else need to be contractualized in natural language. While…
We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show…
Language models have seen enormous progress on advanced benchmarks in recent years, but much of this progress has only been possible by using more costly models. Benchmarks may therefore present a warped picture of progress in practical…
Commonly, AI or machine learning (ML) models are evaluated on benchmark datasets. This practice supports innovative methodological research, but benchmark performance can be poorly correlated with performance in real-world applications -- a…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…
Blockchains are widely used for secure transaction processing, but their scalability remains limited, and existing multichain designs are typically static even as demand and capacity shift. We cast blockchain configuration as a multiagent…
Machine learning has recently enabled large advances in artificial intelligence, but these results can be highly centralized. The large datasets required are generally proprietary; predictions are often sold on a per-query basis; and…
Model-based process simulation can be used to derive designs and operating conditions of chemical processes that optimally balance multiple objectives, such as quality, costs, or environmental impacts. This work focuses on identifying…
In the Bitcoin system, transaction fees serve as an incentive for blockchain confirmations. In general, a transaction with a higher fee is likely to be included in the next block mined, whereas a transaction with a smaller fee or no fee may…
We consider the optimal solutions to the trade execution problem in the two different classes of i) fully adapted or adaptive and ii) deterministic or static strategies, comparing them. We do this in two different benchmark models. The…