相关论文: Short Paper: Atomic Execution is Not Enough for Ar…
This paper presents a comparative analysis of discrete and continuous action spaces within the contexts of reservoir management and inventory control problems. We explore the computational trade-offs between discrete action discretizations…
We study merchant energy production modeled as a compound switching and timing option. The resulting Markov decision process is intractable. State-of-the-art approximate dynamic programming methods applied to realistic instances of this…
We consider a financial market where stocks are available for dynamic trading, and European and American options are available for static trading (semi-static trading strategies). We assume that the American options are infinitely…
Modern blockchains increasingly rely on parallel execution to improve throughput. We show several industry and academic transaction fee mechanisms (TFMs) struggle to simultaneously account for execution parallelism while remaining…
In our problem, we are given access to a number of sequences of nonnegative i.i.d. random variables, whose realizations are observed sequentially. All sequences are of the same finite length. The goal is to pick one element from each…
This paper proposes a novel energy storage price arbitrage algorithm combining supervised learning with dynamic programming. The proposed approach uses a neural network to directly predicts the opportunity cost at different energy storage…
Estimating heterogeneous treatment effects with machine learning has attracted substantial attention in both academic research and industrial practice. However, the two communities often evaluate models under markedly different conditions.…
Processing sets or other unordered, potentially variable-sized inputs in neural networks is usually handled by aggregating a number of input tensors into a single representation. While a number of aggregation methods already exist from…
Although modern blockchains almost universally produce blocks at fixed intervals, existing models still lack an analytical formula for the loss-versus-rebalancing (LVR) incurred by Automated Market Makers (AMMs) liquidity providers in this…
Public blockchains such as Ethereum and Bitcoin do not give enterprises the privacy they need for many of their business processes. Consequently consortiums are exploring private blockchains to keep their membership and transactions…
In this paper, we take a close look at a problem labeled maximal extractable value (MEV), which arises in a blockchain due to the ability of a block producer to manipulate the order of transactions within a block. Indeed, blockchains such…
Since most of the traded options on individual stocks is of American type it is of interest to generalize the results obtained in semi-static trading to the case when one is allowed to statically trade American options. However, this…
If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX)…
Arbitrage is one important revenue source for energy storage in electricity markets. However, a large amount of storage in the market will impact the energy price and reduce potential revenues. This can lead to strategic behaviors of…
Understanding the strategic behavior of miners in a blockchain is of great importance for its proper operation. A common model for mining games considers an infinite time horizon, with players optimizing asymptotic average objectives.…
We study the complexity of central controller synthesis problems for finite-state Markov decision processes, where the objective is to optimize both the expected mean-payoff performance of the system and its stability. We argue that the…
We previously developed an algorithm, called resolution exchange, which improves canonical sampling of atomic resolution models by swapping conformations between high- and low-resolution simulations[1]. Here, we demonstrate a generally…
Decentralized Exchanges (DEXes) enable users to create markets for exchanging any pair of cryptocurrencies. The direct exchange rate of two tokens may not match the cross-exchange rate in the market, and such price discrepancies open up…
The increasing interconnection of power systems through AC and DC links enables energy storage units to access multiple electricity markets yet most existing arbitrage models remain limited to singlemarket participation This gap restricts…
Blockchains have popularized the Automated Market Makers (AMMs), where users trade crypto-assets directly with a smart contract, governed by a pricing function embedded in the contract's code. Today, users of AMMs are often forced to accept…