相关论文: Formally Verified Trades in Financial Markets

We introduce a formal framework for analyzing trades in financial markets. An exchange is where multiple buyers and sellers participate to trade. These days, all big exchanges use computer algorithms that implement double sided auctions to…

Double sided auctions are widely used in financial markets to match demand and supply. Prior works on double sided auctions have focused primarily on single quantity trade requests. We extend various notions of double sided auctions to…

Double auctions are widely used in financial markets, such as those for stocks, derivatives, currencies, and commodities, to match demand and supply. Once all buyers and sellers have placed their trade requests, the exchange determines how…

We use formal methods to specify, design, and monitor continuous double auctions, which are widely used to match buyers and sellers at exchanges of foreign currencies, stocks, and commodities. We identify three natural properties of such…

Continuous double auctions are commonly used to match orders at currency, stock, and commodities exchanges. A verified implementation of continuous double auctions is a useful tool for market regulators as they give rise to automated…

Formal verification entails testing software to ensure it operates as specified. Smart contracts are self-executing contracts with the terms of the agreement directly written into lines of code. They run on blockchain platforms and…

This extended abstract is about an effort to build a formal description of a triangulation algorithm starting with a naive description of the algorithm where triangles, edges, and triangulations are simply given as sets and the most complex…

Current approaches for formal verification of algorithms face important limitations. For specification, they cannot express algorithms naturally and concisely, especially for algorithms with states and flexible control flow. For…

A central challenge in mechanism design is to develop truthful trade mechanisms that maximize the expected gains-from-trade (GFT) in two-sided markets with strategic agents. As achieving the full GFT is generally impossible, much of the…

This paper describes a formal proof library, developed using the Coq proof assistant, designed to assist users in writing correct diagrammatic proofs, for 1-categories. This library proposes a deep-embedded, domain-specific formal language,…

Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for…

An invaluable feature of computer algebra systems is their ability to plot the graph of functions. Unfortunately, when one is trying to design a library of mathematical functions, this feature often falls short, producing incorrect and…

Matching logic is a formalism for specifying, and reasoning about, mathematical structures, using patterns and pattern matching. Growing in popularity, it has been used to define many logical systems such as separation logic with recursive…

Common programming tools, like compilers, debuggers, and IDEs, crucially rely on the ability to analyse program code to reason about its behaviour and properties. There has been a great deal of work on verifying compilers and static…

We describe a formal correctness proof of RANKING, an online algorithm for online bipartite matching. An outcome of our formalisation is that it shows that there is a gap in all combinatorial proofs of the algorithm. Filling that gap…

Formal methods provide systematic and rigorous techniques for software development. We strongly believe that they must be taught in computer science curricula. In this paper we present the pedagogic rationale and the concrete implementation…

Formal verification of complex algorithms is challenging. Verifying their implementations goes beyond the state of the art of current automatic verification tools and usually involves intricate mathematical theorems. Certifying algorithms…

Formally verified compilers and formally verified static analyzers are a solution to the problem that certain industries face when they have to demonstrate to authorities that the object code they run truly corresponds to its source code…

The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states…

This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…