Related papers: Autodeleveraging: Impossibilities and Optimization
We develop static and dynamic approaches for hedging of the impermanent loss (IL) of liquidity provision (LP) staked at Decentralised Exchanges (DEXes) which employ Uniswap V2 and V3 protocols. We provide detailed definitions and formulas…
With the proliferation of intelligent mobile devices in wireless device-to-device (D2D) networks, decentralized federated learning (DFL) has attracted significant interest. Compared to centralized federated learning (CFL), DFL mitigates the…
Deep reinforcement learning (DRL) has been envisioned to have a competitive edge in quantitative finance. However, there is a steep development curve for quantitative traders to obtain an agent that automatically positions to win in the…
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of timing buy and then sell an asset subject…
Financial markets have experienced significant instabilities in recent years, creating unique challenges for trading and increasing interest in risk-averse strategies. Distributional Reinforcement Learning (RL) algorithms, which model the…
Hierarchical Federated Learning (HFL) faces the significant challenge of adversarial or unreliable vehicles in vehicular networks, which can compromise the model's integrity through misleading updates. Addressing this, our study introduces…
The paper explores the use of Deep Reinforcement Learning (DRL) in stock market trading, focusing on two algorithms: Double Deep Q-Network (DDQN) and Proximal Policy Optimization (PPO) and compares them with Buy and Hold benchmark. It…
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…
In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-reverting process for the security price with proportional…
Deep reinforcement learning (DRL) has emerged as a promising approach for developing more intelligent autonomous vehicles (AVs). A typical DRL application on AVs is to train a neural network-based driving policy. However, the black-box…
In this work, we study the optimal discretization error of stochastic integrals, in the context of the hedging error in a multidimensional It\^{o} model when the discrete rebalancing dates are stopping times. We investigate the convergence,…
In collaborative human-robot order picking systems, human pickers and Autonomous Mobile Robots (AMRs) travel independently through a warehouse and meet at pick locations where pickers load items onto the AMRs. In this paper, we consider an…
This work analytically characterizes impermanent loss for automated market makers (AMMs) in decentralized markets such as Uniswap or Balancer (CPMM). We derive a static replication formula for the pool's value using a combination of…
Ride-hailing systems often suffer from spatiotemporal supply-demand imbalances, largely due to the independent and uncoordinated actions of drivers. While existing fleet rebalancing methods offer repositioning recommendations to idle…
Although Deep Reinforcement Learning (DRL) and Large Language Models (LLMs) each show promise in addressing decision-making challenges in autonomous driving, DRL often suffers from high sample complexity, while LLMs have difficulty ensuring…
Federated learning enables a cluster of decentralized mobile devices at the edge to collaboratively train a shared machine learning model, while keeping all the raw training samples on device. This decentralized training approach is…
Large Language Models (LLMs) have demonstrated remarkable potential as autonomous agents, approaching human-expert performance through advanced reasoning and tool orchestration. However, decision-making in fully dynamic and live…
Dynamic portfolio optimization is the process of sequentially allocating wealth to a collection of assets in some consecutive trading periods, based on investors' return-risk profile. Automating this process with machine learning remains a…
The integration of Deep Reinforcement Learning (DRL) and Evolutionary Computation (EC) is frequently hypothesized to be the "Holy Grail" of algorithmic trading, promising systems that adapt autonomously to non-stationary market regimes.…
We consider the martingale optimal transport duality for c\`adl\`ag processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static superhedging strategies) are proved for a class of…