Related papers: Toxicity Bounds for Dynamic Liquidation Incentives
Risk-aware navigation should be selective: a policy should expose evasive degrees of freedom only when the local scene admits a lower-risk feasible maneuver, and suppress them when no safer alternative exists. We show that adding one…
We postulates, and then show experimentally, that liquidity deficit is the driving force of the markets. In the first part of the paper a kinematic of liquidity deficit is developed. The calculus-like approach, which is based on…
Continuous influence maximization (CIM) generalizes the original influence maximization by incorporating general marketing strategies: a marketing strategy mix is a vector $\boldsymbol x = (x_1,\dots,x_d)$ such that for each node $v$ in a…
We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement. In constructing this modeling framework, we introduce a…
In dynamic mechanism design literature, one critical aspect has been typically ignored-the agents' periodic participation, which they can adapt and plan strategically. We propose a framework for dynamic principal-multiagent problems,…
Automated market makers (AMMs) are smart contracts that automatically trade electronic assets according to a mathematical formula. This paper investigates how an AMM's formula affects the interests of liquidity providers, who endow the AMM…
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide variety of cases, from conditional expected utility and…
The classical literature on optimal liquidation, rooted in Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk. Therefore, it only answers the general question of the optimal…
Maximum likelihood estimation in logistic regression with mixed effects is known to often result in estimates on the boundary of the parameter space. Such estimates, which include infinite values for fixed effects and singular or infinite…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
We study a discrete portfolio pricing problem that selects one price per product from a finite menu under margin and fairness constraints. To account for demand uncertainty, we incorporate a budgeted robust formulation that controls…
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of volatility risk and transaction costs arising…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…
Complicated boundary conditions are essential to accurately describe phenomena arising in nature and engineering. Recently, the investigation of a potential speedup through quantum algorithms in simulating the governing ordinary and partial…
Liquidity providers are currently incentivised to provide liquidity through the LP Incentives Programme on dYdX. Based on the various parameters - makerVolume, depths and spreads, they are rewarded accordingly based on their activities.…
Concentrated liquidity automated market makers (AMMs), such as Uniswap v3, enable liquidity providers (LPs) to earn liquidity rewards by depositing tokens into liquidity pools. However, LPs often face significant financial losses driven by…
We develop a new type of automated market maker (AMM) that helps to maintain stability and long-term viability in a stablecoin. This primary market AMM (P-AMM) is an autonomous mechanism for pricing minting and redemption of stablecoins in…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in…
Modern LLM agents solve complex tasks by operating in iterative execution loops, where they repeatedly reason, act, and self-evaluate progress to determine when a task is complete. In this work, we show that while this self-directed loop…