相关论文: Towards Private On-Chain Algorithmic Trading
We performed the first systematic study of a new attack on Ethereum that steals cryptocurrencies. The attack is due to the unprotected JSON-RPC endpoints existed in Ethereum nodes that could be exploited by attackers to transfer the Ether…
Cryptocurrency is a cryptography-based digital asset with extremely volatile prices. Around USD 70 billion worth of cryptocurrency is traded daily on exchanges. Trading cryptocurrency is difficult due to the inherent volatility of the…
We propose a novel framework for off-chain execution and verification of computationally-intensive smart contracts. Our framework is the first solution that avoids duplication of computing effort across multiple contractors, does not…
A central challenge in blockchain tokenomics is aligning short-term performance incentives with long-term decentralization goals. We propose a framework for algorithmic monetary policies that navigates this tradeoff in repeated…
Ethereum's scalability has been a major concern due to its limited transaction throughput and high fees. To address these limitations, Polygon has emerged as a sidechain solution that facilitates asset transfers between Ethereum and…
Lending protocols are one of the main applications of Decentralized Finance (DeFi), enabling crypto-assets loan markets with a total value estimated in the tens of billions of dollars. Unlike traditional lending systems, these protocols…
The intricate behavior patterns of financial markets are influenced by fundamental, technical, and psychological factors. During times of high volatility and regime shifts causes many traditional strategies like trend-following or…
Decentralized Finance (DeFi), in which digital assets are exchanged without trusted intermediaries, has grown rapidly in value in recent years. The global DeFi ecosystem is fragmented into multiple blockchains, fueling the demand for…
We explore brokerage between traders in an online learning framework. At any round $t$, two traders meet to exchange an asset, provided the exchange is mutually beneficial. The broker proposes a trading price, and each trader tries to sell…
In traditional banking, repeated deposit-and-lend cycles let a single dollar of reserves support multiple dollars of claims. Decentralized finance produces an analogous structure with tokens. Constructing a Token Graph of 10,200 tokens…
Cross-chain technology facilitates the interoperability among isolated blockchains on which users can freely communicate and transfer values. Existing cross-chain protocols suffer from the scalability problem when processing on-chain…
The widespread of Online Social Networks and the opportunity to commercialize popular accounts have attracted a large number of automated programs, known as artificial accounts. This paper focuses on the classification of human and fake…
We present a measurement study on compositions of Decentralized Finance protocols, which aim to disrupt traditional finance and offer services on top of distributed ledgers, such as Ethereum. DeFi compositions may impact the development of…
There has been a recent surge in interest in the application of artificial intelligence to automated trading. Reinforcement learning has been applied to single- and multi-instrument use cases, such as market making or portfolio management.…
In this paper, we propose a decentralized, privacy-friendly energy trading platform (PFET) based on game theoretical approach - specifically Stackelberg competition. Unlike existing trading schemes, PFET provides a competitive market in…
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…
This paper presents a sophisticated multi-day turnover quantitative trading algorithm that integrates advanced deep learning techniques with comprehensive cross-sectional stock prediction for the Chinese A-share market. Our framework…
This paper proposes a differentially private energy trading mechanism for prosumers in peer-to-peer (P2P) markets, offering provable privacy guarantees while approaching the Nash equilibrium with nearly socially optimal efficiency. We first…
The estimation of fill probabilities for trade orders represents a key ingredient in the optimization of algorithmic trading strategies. It is bound by the complex dynamics of financial markets with inherent uncertainties, and the…
The rise of connected personal devices together with privacy concerns call for machine learning algorithms capable of leveraging the data of a large number of agents to learn personalized models under strong privacy requirements. In this…