相关论文: Implementing Automated Market Makers with Constant…
This study provides a practical introduction to high-frequency trading in blockchain-based currency markets. These types of markets have some specific characteristics that differentiate them from the stock markets, such as a large number of…
This paper is the first attempt to formalize a new field of economics; studding the Intangibles Goods available on the Internet. We are taking advantage of the digital world's specific rules, in particular the zero marginal cost, to propose…
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 lay the foundations for a blockchain scheme, whose consensus is reached via a proof of work algorithm based on the solution of consecutive discrete logarithm problems over the point group of elliptic curves. In the considered…
Batch auctions are a classical market microstructure, acclaimed for their fairness properties, and have received renewed interest in the context of blockchain-based financial systems. Constant function market makers (CFMMs) are another…
Stablecoins, which are primarily intended to function as a global reserve of value are insubstantial in their design and present many failure points. The primary mechanism to enable these coins to hold on to a fixed value is by backing them…
Use of explicit integration methods for power electronic circuits with ideal switch models significantly improves simulation speed. The PLECS package [1] has effectively used this idea; however, the implementation details involved in PLECS…
Liquidity providers are essential for the function of decentralized exchanges to ensure liquidity takers can be guaranteed a counterparty for their trades. However, liquidity providers investing in liquidity pools face many risks, the most…
Elastic Cash is a new decentralized mechanism for regulating the money supply. The mechanism operates by modifying the supply so that an interest rate determined by a public market is kept approximately fixed. It can be incorporated into…
An automated market maker (AMM) is a state machine that manages pools of assets, allowing parties to buy and sell those assets according to a fixed mathematical formula. AMMs are typically implemented as smart contracts on blockchains, and…
The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…
Estimating the overlap between two states is an important task with several applications in quantum information. However, the typical swap test circuit can only measure a sole pair of quantum states at a time. In this study we designed a…
The popularity of cryptocurrencies has grown significantly in recent years, and they have become an important asset for internet trading. One of the main drawbacks of cryptocurrencies is the high volatility and fluctuation in value. The…
We introduce mlOSP, a computational template for Machine Learning for Optimal Stopping Problems. The template is implemented in the R statistical environment and publicly available via a GitHub repository. mlOSP presents a unified numerical…
In a market with transaction costs, the price of a derivative can be expressed in terms of (preconsistent) price systems (after Kusuoka (1995)). In this paper, we consider a market with binomial model for stock price and discuss how to…
In this paper, we provide non-averaged and transient performance guarantees for recently developed, tube-based robust economic model predictive control (MPC) schemes. In particular, we consider both tube-based MPC schemes with and without…
This is my working paper on a proposed logical framework for the practice of mathematics, which is paralleled by philosophical considerations and a computer implementation (a variant of Automath). Updated 10/27/2016 with a version from…
We present a general derivation of the arbitrage-free pricing framework for multiple-currency collateralized products. We include the impact on option pricing of the policy adopted to fund in foreign currency, so that we are able to price…
Exchange markets are a significant type of market economy, in which each agent holds a budget and certain (divisible) resources available for trading. Most research on equilibrium in exchange economies is based on an environment of…
In this study, we introduce the first-of-its-kind class of tests for detecting change points in the distribution of a sequence of independent matrix-valued random variables. The tests are constructed using the weighted square integral…