相关论文: Profit lag and alternate network mining

Whether you trade futures for yourself or a hedge fund, your strategy is counted. Long and short position limits make the number of unique strategies finite. Formulas of the numbers of strategies, transactions, do nothing actions are…

The core innovation in future 5G cellular networksnetwork slicing, aims at providing a flexible and efficient framework of network organization and resource management. The revolutionary network architecture based on slices, makes most of…

We study the profit maximization problem of a cognitive virtual network operator in a dynamic network environment. We consider a downlink OFDM communication system with various network dynamics, including dynamic user demands, uncertain…

This study analyses the tax-induced profit shifting behaviour of firms and the impact of governments' anti-shifting rules. We derive a model of a firm that combines internal sales and internal debt in a full profit shifting strategy, and…

Concentrated liquidity automated market makers (AMMs), such as Uniswap v3, enable liquidity providers (LPs) to earn liquidity rewards by depositing tokens into liquidity pools. However, LPs often face significant financial losses driven by…

We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE…

We consider a single security market based on a limit order book and two investors, with different speeds of trade execution. If the fast investor can front-run the slower investor, we show that this allows the fast trader to obtain risk…

With the emergence of decentralized finance, new trading mechanisms called Automated Market Makers have appeared. The most popular Automated Market Makers are Constant Function Market Makers. They have been studied both theoretically and…

We investigate online pricing in two-sided markets where a platform repeatedly posts prices based on binary accept/reject feedback to maximize gains-from-trade (GFT) or profit. We characterize the regret achievable across three mechanism…

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…

We consider a class of learning problems in which an agent liquidates a risky asset while creating both transient price impact driven by an unknown convolution propagator and linear temporary price impact with an unknown parameter. We…

We calculate the probability of success of block-hiding mining strategies in Bitcoin-like networks. These strategies involve building a secret branch of the block-tree and publishing it opportunistically, aiming to replace the top of the…

In this paper we study the mincut problem in the online setting. We consider two distinct models: A) competitive analysis and B) regret analysis. In the competitive setting we consider the vertex arrival model; whenever a new vertex arrives…

The data mining process consists of a series of steps ranging from data cleaning, data selection and transformation, to pattern evaluation and visualization. One of the central problems in data mining is to make the mined patterns or…

This paper introduces the novel concept of proactive resource allocation in which the predictability of user behavior is exploited to balance the wireless traffic over time, and hence, significantly reduce the bandwidth required to achieve…

In this paper, we provide a new theoretical framework of pyramid Markov processes to solve some open and fundamental problems of blockchain selfish mining under a rigorous mathematical setting. We first describe a more general model of…

Selfish Mining is strategic rule-breaking to maximize rewards in proof-of-work protocols [3] and Markov Decision Processes (MDPs) are the preferred tool for finding optimal strategies in Bitcoin [4, 10] and similar linear chain protocols…

We advocate a new resource allocation framework, which we term resource rationing, for wireless federated learning (FL). Unlike existing resource allocation methods for FL, resource rationing focuses on balancing resources across learning…

Currently, miners typically join mining pools to solve cryptographic puzzles together, and mining pools are in high competition. This has led to the development of several attack strategies such as block withholding (BWH) and fork after…

This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control…