相关论文: ZeroSwap: Data-driven Optimal Market Making in DeF…
We introduce a decentralized mechanism for pricing and exchanging alternatives constrained by transaction costs. We characterize the time-invariant solutions of a heat equation involving a (weighted) Tarski Laplacian operator, defined for…
Motivated by the need of assessing the optimal allocation of battery energy storage services across various markets and the corresponding impact on market operations, an optimization framework is proposed in this work to coordinate the…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
Motivated by the emergence of local groundwater exchanges, we construct and analyze stochastic models of dynamic groundwater markets. Our primary focus is endogenizing the price formation and groundwater pumping strategies in a closed…
This paper introduces and analyzes \emph{defensive rebalancing}, a novel mechanism for protecting constant-function market makers (CFMMs) from value leakage due to arbitrage. A \emph{rebalancing} transfers assets directly from one CFMM's…
We propose a data-driven algorithm for the maximum a posteriori (MAP) estimation of stochastic processes from noisy observations. The primary statistical properties of the sought signal is specified by the penalty function (i.e., negative…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
Blockchain technology has revolutionized financial markets by enabling decentralized exchanges (DEXs) that operate without intermediaries. Uniswap V2, a leading DEX, facilitates the rapid creation and trading of new tokens, which offer high…
Organizations often lack sufficient data to effectively train machine learning (ML) models, while others possess valuable data that remains underutilized. Data markets promise to unlock substantial value by matching data suppliers with…
Latency (i.e., time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB)…
Price stability has often been cited as a key reason that cryptocurrencies have not gained widespread adoption as a medium of exchange and continue to prove incapable of powering the economy of decentralized applications (DApps)…
We consider a prediction market in which all aspects are controlled by market forces, in particular the correct outcomes of events are decided by the market itself rather than by trusted arbiters. This kind of a decentralized prediction…
We study data exchange among strategic agents without monetary transfers, motivated by domains such as research consortia and healthcare collaborations where payments are infeasible or restricted. The central challenge is to reap the…
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…
Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
With the growing use of distributed machine learning techniques, there is a growing need for data markets that allows agents to share data with each other. Nevertheless data has unique features that separates it from other commodities…
The majority of studies in the field of AI guided financial trading focus on purely applying machine learning algorithms to continuous historical price and technical analysis data. However, due to non-stationary and high volatile nature of…
Advancements in digitization have enabled two sided manufacturing-as-a-service (MaaS) marketplaces which has significantly reduced product development time for designers. These platforms provide designers with access to manufacturing…
Stablecoins are a class of cryptocurrencies which aim at providing consistency and predictability, typically by pegging the token's value to that of a real world asset. Designing resilient decentralized stablecoins is a challenge, and…