相关论文: Defensive Rebalancing for Automated Market Makers

We introduce a new framework for optimal routing and arbitrage in AMM driven markets. This framework improves on the original best-practice convex optimization by restricting the search to the boundary of the optimal space. We can…

Concentrated liquidity automated market makers (AMMs), such as Uniswap v3, enable liquidity providers (LPs) to earn liquidity rewards by depositing tokens into liquidity pools. However, LPs often face significant financial losses driven by…

We consider a nondominated model of a discrete-time financial market where stocks are traded dynamically, and options are available for static hedging. In a general measure-theoretic setting, we show that absence of arbitrage in a…

Constant-function market makers (CFMMs), such as Uniswap, are automated exchanges offering trades among a set of assets. We study their technical relationship to another class of automated market makers, cost-function prediction markets. We…

Control-flow hijacking attacks manipulate orchestration mechanisms in multi-agent systems into performing unsafe actions that compromise the system and exfiltrate sensitive information. Recently proposed defenses, such as LlamaFirewall,…

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…

The Alternating Direction Method of Multipliers (ADMM) is a widely used method for structured convex optimization, and its practical performance depends strongly on the choice of penalty and relaxation parameters. Motivated by settings such…

Bargaining can be used to resolve mixed-motive games in multi-agent systems. Although there is an abundance of negotiation strategies implemented in automated negotiating agents, most agents are based on single fixed strategies, while it is…

Automated Market Makers (AMMs) are essential in Decentralized Finance (DeFi) as they match liquidity supply with demand. They function through liquidity providers (LPs) who deposit assets into liquidity pools. However, the asset trading…

Continuous normalizing flows (CNFs) can model data distributions with expressive infinite-length architectures. But this modeling involves computationally expensive process of solving an ordinary differential equation (ODE) during maximum…

This work introduces a novel adaptive mesh refinement (AMR) method that utilizes dominant balance analysis (DBA) for efficient and accurate grid adaptation in computational fluid dynamics (CFD) simulations. The proposed method leverages a…

We provide a Fundamental Theorem of Asset Pricing and a Superhedging Theorem for a model independent discrete time financial market with proportional transaction costs. We consider a probability-free version of the Robust No Arbitrage…

A leveraged ETF is a fund aimed at achieving a rate of return several times greater than that of the underlying asset such as Nikkei 225 futures. Recently, it has been suggested that rebalancing trades of a leveraged ETF may destabilize the…

The Fisher market is one of the most fundamental models for resource allocation problems in economic theory, wherein agents spend a budget of currency to buy goods that maximize their utilities, while producers sell capacity constrained…

In this paper, we solve portfolio rebalancing problem when security returns are represented by uncertain variables considering transaction costs. The performance of the proposed model is studied using constant-proportion portfolio insurance…

This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…

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…

A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are…

We introduce a modular framework for market making. It combines cost-function based automated market makers with bandit algorithms. We obtain worst-case profits guarantee's relative to the best in hindsight within a class of natural…

Stablecoins face an unresolved trilemma of balancing decentralization, stability, and regulatory compliance. We present a hybrid stabilization protocol that combines crypto-collateralized reserves, algorithmic futures contracts, and…