Related papers: Autodeleveraging: Impossibilities and Optimization
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery…
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 study the liquid welfare in sequential first-price auctions with budget-limited buyers. We focus on first-price auctions, which are increasingly commonly used in many settings, and consider liquid welfare, a natural and well-studied…
Deep learning (DL) has proven to be a highly effective approach for developing models in diverse contexts, including visual perception, speech recognition, and machine translation. However, the end-to-end process for applying DL is not…
Solidification governs the microstructure and, therefore, the mechanical response of metal components, yet the atomistic details of nucleation and defect formation are often difficult to determine experimentally. Molecular dynamics can…
Regardless of the selected asset class and the level of model complexity (Transformer versus LSTM versus Perceptron/RNN), the GMADL loss function produces superior results than standard MSE-type loss functions and has better numerical…
In open Federated Learning (FL) environments where no central authority exists, ensuring collaboration fairness relies on decentralized reward settlement, yet the prohibitive cost of permissionless blockchains directly clashes with the…
Active learning (AL) techniques optimally utilize a labeling budget by iteratively selecting instances that are most valuable for learning. However, they lack ``prerequisite checks'', i.e., there are no prescribed criteria to pick an AL…
Federated learning (FL) is proving to be one of the most promising paradigms for leveraging distributed resources, enabling a set of clients to collaboratively train a machine learning model while keeping the data decentralized. The…
Rideshare platforms, when assigning requests to drivers, tend to maximize profit for the system and/or minimize waiting time for riders. Such platforms can exacerbate biases that drivers may have over certain types of requests. We consider…
We propose a novel one-step supervised imitation learning (IL) framework called Adversarial Density Regression (ADR). This IL framework aims to correct the policy learned on unknown-quality to match the expert distribution by utilizing…
Real-world federated systems seldom operate on static data: input distributions drift while privacy rules forbid raw-data sharing. We study this setting as Federated Domain-Incremental Learning (FDIL), where (i) clients are heterogeneous,…
Label Distribution Learning (LDL) is a novel machine learning paradigm that assigns label distribution to each instance. Many LDL methods proposed to leverage label correlation in the learning process to solve the exponential-sized output…
Adversarial Imitation Learning (AIL) faces challenges with sample inefficiency because of its reliance on sufficient on-policy data to evaluate the performance of the current policy during reward function updates. In this work, we study the…
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 study the security of stock price forecasting using Deep Learning (DL) in computational finance. Despite abundant prior research on the vulnerability of DL to adversarial perturbations, such work has hitherto hardly addressed practical…
Decentralized Finance (DeFi) lending protocols like Aave v3 rely on over-collateralization to secure loans, yet users frequently face liquidation due to volatile market conditions. Existing risk management tools utilize static health-factor…
Adaptive charging can charge electric vehicles (EVs) at scale cost effectively, despite the uncertainty in EV arrivals. We formulate adaptive EV charging as a feasibility problem that meets all EVs' energy demands before their deadlines…
With the recent advancements in machine learning (ML), artificial neural networks (ANN) are starting to play an increasingly important role in quantitative finance. Dynamic portfolio optimization is among many problems that have…
We model the role of an online platform disrupting a market with unit-demand buyers and unit-supply sellers. Each seller can transact with a subset of the buyers whom she already knows, as well as with any additional buyers to whom she is…