相关论文: Short Paper: Atomic Execution is Not Enough for Ar…

Ensembles of artificial neural networks show improved generalization capabilities that outperform those of single networks. However, for aggregation to be effective, the individual networks must be as accurate and diverse as possible. An…

Stochastic processing networks (SPNs) have broad applications in healthcare, transportation, and communication networks. The control of SPN is to dynamically assign servers in batches under uncertainty to optimize long-run performance. This…

Decentralized finance (DeFi) markets spread across Layer-1 (L1) and Layer-2 (L2) blockchains rely on arbitrage to keep prices aligned. Today most price gaps are closed against centralized exchanges (CEXes), whose deep liquidity and fast…

The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…

Automated Market Makers (AMMs) hold assets and are constantly being rebalanced by external arbitrageurs to match external market prices. Loss-versus-rebalancing (LVR) is a pivotal metric for measuring how an AMM pool performs for its…

Dynamic-weight AMMs (aka Temporal Function Market Makers, TFMMs) implement algorithmic asset allocation, analogous to index or smart beta funds, by continuously updating pools' weights. A strategy updates target weights over time, and…

We investigate triangular arbitrage within the spot foreign exchange market using high-frequency executable prices. We show that triangular arbitrage opportunities do exist, but that most have short durations and small magnitudes. We find…

We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulated by trading in the market, the shares detained by the…

Layer-2 (L2) blockchains inherit Ethereums security guarantees while reducing gas fees. As a result, they are gaining traction among traders at Automated Market Makers (AMMs), sparking debate over whether they contribute to liquidity…

Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or…

This paper studies parallelization schemes for stochastic Vector Quantization algorithms in order to obtain time speed-ups using distributed resources. We show that the most intuitive parallelization scheme does not lead to better…

We delve into the intricate world of share buy-backs, a strategic corporate capital allocation tool that has gained significant prominence over the past few decades. Despite being the subject of extensive research and debate, the execution…

The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the…

Convex optimisation has provided a mechanism to determine arbitrage trades on automated market markets (AMMs) since almost their inception. Here we outline generic closed-form solutions for $N$-token geometric mean market maker pool…

The always-available liquidity of automated market makers (AMMs) has been one of the most important catalysts in early cryptocurrency adoption. However, it has become increasingly evident that AMMs in their current form are not viable…

Linearizability is the gold standard among algorithm designers for deducing the correctness of a distributed algorithm using implemented shared objects from the correctness of the corresponding algorithm using atomic versions of the same…

In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…

We propose a new, more potent attack on decentralized exchanges. This attack leverages absolute commitments, which are commitments that can condition on the strategies made by other agents. This attack allows an adversary to charge monopoly…

Autonomous crypto trading systems often spend most of their design effort on finding entries, while exits are left to fixed rules that are rarely tested in a systematic way. This paper examines whether better stop-loss and take-profit…

On high-throughput, low-fee blockchains, a qualitatively new form of maximal extractable value (MEV) has emerged: searchers submit large volumes of speculative transactions, whose profitability is resolved only at execution time. We refer…