相关论文: Defensive Rebalancing for Automated Market Makers

In this paper, we consider the problem of distributed optimisation of a separable convex cost function over a graph, where every edge and node in the graph could carry both linear equality and/or inequality constraints. We show how to…

We consider the fundamental theorem of asset pricing (FTAP) and hedging prices of options under non-dominated model uncertainty and portfolio constrains in discrete time. We first show that no arbitrage holds if and only if there exists…

This paper proposes a fully decentralized model predictive control (MPC) framework with control barrier function (CBF) constraints for safety-critical trajectory planning in multi-robot legged systems. The incorporation of CBF constraints…

In this paper we formulate the now classical problem of optimal liquidation (or optimal trading) inside a Mean Field Game (MFG). This is a noticeable change since usually mathematical frameworks focus on one large trader in front of a…

Decentralized exchanges using automated market makers create arbitrage opportunities with centralized exchanges, where gas fees and transaction ordering are critical. Existing models largely overlook competition among arbitrageurs, despite…

We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…

Payment channels effectively move the transaction load off-chain thereby successfully addressing the inherent scalability problem most cryptocurrencies face. A major drawback of payment channels is the need to ``top up'' funds on-chain when…

Federated Learning (FL) solutions with central Differential Privacy (DP) have seen large improvements in their utility in recent years arising from the matrix mechanism, while FL solutions with distributed (more private) DP have lagged…

We derive the arbitrage gains or, equivalently, Loss Versus Rebalancing (LVR) for arbitrage between \textit{two imperfectly liquid} markets, extending prior work that assumes the existence of an infinitely liquid reference market. Our…

Constant function market makers (CFMMs) such as Uniswap, Balancer, Curve, and mStable, among many others, make up some of the largest decentralized exchanges on Ethereum and other blockchains. Because all transactions are public in current…

In this paper, we derive a temporal arbitrage policy for storage via reinforcement learning. Real-time price arbitrage is an important source of revenue for storage units, but designing good strategies have proven to be difficult because of…

We study the problem of guaranteeing low regret in repeated games against an opponent with unknown membership in one of several classes. We add the constraint that our algorithm is non-exploitable, in that the opponent lacks an incentive to…

Fairness is well studied in the context of resource allocation. Researchers have proposed various fairness notions like envy-freeness (EF), and its relaxations, proportionality and max-min share (MMS). There is vast literature on the…

Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…

Affine formation control (AFC) is a distributed networked control system that has recently received increasing attention in various applications. AFC is typically achieved using a generalized consensus system where the stress matrix, which…

We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…

Liquidity Providers on Automated Market Makers generate millions of USD in transaction fees daily. However, the net value of a Liquidity Position is vulnerable to price changes in the underlying assets in the pool. The dominant measure of…

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…

Financial markets such as bond, derivatives, and repo markets form networks of interdependent obligations. Existing multilateral netting methods typically trade off the extent of netting against preservation of counterparty exposure:…

We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly…