Related papers: Autodeleveraging: Impossibilities and Optimization
The high penetration of distributed energy resources, resulting in backfeed of power at the transmission and distribution interface, is causing conventional underfrequency load shedding (UFLS) schemes to become nonconforming. Adaptive…
Lending protocols are one of the main applications of Decentralized Finance (DeFi), enabling crypto-assets loan markets with a total value estimated in the tens of billions of dollars. Unlike traditional lending systems, these protocols…
In this work, a novel Stackelberg game theoretic framework is proposed for trading energy bidirectionally between the demand-response (DR) aggregator and the prosumers. This formulation allows for flexible energy arbitrage and additional…
Decentralized learning (DL) offers a novel paradigm in machine learning by distributing training across clients without central aggregation, enhancing scalability and efficiency. However, DL's peer-to-peer model raises challenges in…
Decentralized Exchanges (DEXs) are new types of marketplaces leveraging Blockchain technology. They allow users to trade assets with Automatic Market Makers (AMM), using funds provided by liquidity providers, removing the need for order…
On November 22nd 2022, the lending platform AAVE v2 (on Ethereum) incurred bad debt resulting from a major liquidation event involving a single user who had borrowed close to \$40M of CRV tokens using USDC as collateral. This incident has…
This paper studies the fundamental limits of availability and throughput for independent and heterogeneous demands of a limited resource. Availability is the probability that the demands are below the capacity of the resource. Throughput is…
Acyclic schemes posses known benefits for database design, speeding up queries, and reducing space requirements. An acyclic join dependency (AJD) is lossless with respect to a universal relation if joining the projections associated with…
Automated market makers (AMMs) are a new type of trading venues which are revolutionising the way market participants interact. At present, the majority of AMMs are constant function market makers (CFMMs) where a deterministic trading…
Ride-hailing platforms typically classify drivers as either employees or independent contractors. These classifications tend to emphasize either wage certainty or flexibility, but rarely both. We study an alternative or complementary…
Automated Market Makers (AMMs) are essential to decentralized finance, offering continuous liquidity and enabling intermediary-free trading on blockchains. However, participants in AMMs are vulnerable to Maximal Extractable Value (MEV)…
The lead-lag effect, where the price movement of one asset systematically precedes that of another, has been widely observed in financial markets and conveys valuable predictive signals for trading. However, traditional lead-lag detection…
Hedging a portfolio containing autocallable notes presents unique challenges due to the complex risk profile of these financial instruments. In addition to hedging, pricing these notes, particularly when multiple underlying assets are…
This paper extends the classical dividend problem by incorporating a novel, path-dependent mechanism of firm default. In the traditional framework, ruin occurs when the surplus process first reaches zero. In contrast, default in our model…
As the global economy transitions toward decarbonization, the aluminium sector has become a focal point for strategic resource management. While policies such as the Carbon Border Adjustment Mechanism (CBAM) aim to reduce emissions, they…
Artificial intelligence (AI) has demonstrated remarkable success across various applications. In light of this trend, the field of automated trading has developed a keen interest in leveraging AI techniques to forecast the future prices of…
Multi-view multi-label learning frequently suffers from simultaneous feature absence and incomplete annotations, due to challenges in data acquisition and cost-intensive supervision. To tackle the complex yet highly practical problem while…
We study the problem of asset liquidation in financial systems. During financial crises, asset liquidation is often inevitable but can lead to substantial losses if a significant amount of illiquid assets are sold simultaneously at…
Federated continual learning (FCL) offers an emerging pattern to facilitate the applicability of federated learning (FL) in real-world scenarios, where tasks evolve dynamically and asynchronously across clients, especially in medical…
Crypto enthusiasts claim that buying and holding crypto assets yields high returns, often citing Bitcoin's past performance to promote other tokens and fuel fear of missing out. However, understanding the real risk-return trade-off and what…