Related papers: Liquidity provision in CLMMs: evidence from transa…
Pumped storage hydro units (PSHU) are great sources of flexibility in power systems. This is especially valuable in modern systems with increasing shares of intermittent renewable resources. However, the flexibility from PSHUs, particularly…
Pricing multi-interval economic dispatch of electric power under operational uncertainty is considered in this two-part paper. Part I investigates dispatch-following incentives for generators under the locational marginal pricing (LMP) and…
Traditional consensus mechanisms, such as Proof of Stake (PoS), increasingly reveal an excessive dependency on large liquidity providers. Although the Proof of Liquidity (PoL) mechanism serves as a critical paradigm for incentivizing…
Liquidation of collateral are the primary safeguard for solvency of lending protocols in decentralized finance. However, the mechanics of liquidations expose these protocols to predatory price manipulations and other forms of Maximal…
This paper presents a novel approach to solve capacitated facility location problems (FLP) that encompass various resource allocation problems. FLPs are a class of NP-hard combinatorial optimization problems, involving optimal placement and…
Large Language Models (LLMs) excel at understanding context and qualitative nuances but struggle with the rigorous and transparent reasoning required in high-stakes quantitative domains such as financial trading. We propose a model-first…
We propose and analyze a model-based bootstrap for transition kernels in finite controlled Markov chains (CMCs) with possibly nonstationary or history-dependent control policies, a setting that arises naturally in offline reinforcement…
Local Process Models (LPM) describe structured fragments of process behavior occurring in the context of less structured business processes. Traditional LPM discovery aims to generate a collection of process models that describe highly…
The soft capacitated facility location problem (SCFLP) is a classic combinatorial optimization problem, with its variants widely applied in the fields of operations research and computer science. In the SCFLP, given a set $\mathcal{F}$ of…
The problem of pricing utility-scale energy storage resources (ESRs) in the real-time electricity market is considered. Under a rolling-window dispatch model where the operator centrally dispatches generation and consumption under…
Liquid staking has become the largest category of decentralized finance protocols in terms of total value locked. However, few studies exist on its implementation designs or underlying risks. The liquid staking protocols allow for earning…
Introduction of market mechanisms in distribution systems is currently subject to extensive studies. One of the challenges facing Distribution Market Operators (DMOs) is to implement a fair and economically efficient pricing mechanism that…
We consider a dynamic pricing problem in network revenue management where customer behavior is predicted by a choice model, i.e., the multinomial logit (MNL) model. The problem, even in the static setting (i.e., customer demand remains…
The short-term forecasting of real-time locational marginal price (LMP) and network congestion is considered from a system operator perspective. A new probabilistic forecasting technique is proposed based on a multiparametric programming…
This article analytically characterizes the impermanent loss of concentrated liquidity provision for automatic market makers in decentralised markets such as Uniswap. We propose two static replication formulas for the impermanent loss by a…
An effective distribution electricity market (DEM) is required to manage the rapidly growing small-scale distributed energy resources (DERs) in distribution systems (DSs). This paper proposes a day-ahead DEM clearing and pricing mechanism…
The wastage of perishable items has led to significant health and economic crises, increasing business uncertainty and fluctuating customer demand. This issue is worsened by online food delivery services, where frequent and unpredictable…
In this paper, we introduce a novel pricing model for Uniswap V3, built upon stochastic processes and the Martingale Stopping Theorem. This model innovatively frames the valuation of positions within Uniswap V3. We further conduct a…
Automated market makers with concentrated liquidity capabilities are programmable at the tick level. The maximization of earned fees, plus depreciated reserves, is a convex optimization problem whose vector solution gives the best provision…
Market fragmentation across multiple Automated Market Makers (AMMs) creates inefficiencies such as costly arbitrage, unnecessarily high slippage and delayed incorporation of new information into prices. These inefficiencies raise trading…