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Found 15 papers, 0 papers with code
Decentralized Finance: Protocols, Risks, and Governance
Financial markets are undergoing an unprecedented transformation.
The Paradox Of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Sometimes Mean Less Liquidity
We study Just-in-time (JIT) liquidity provision in blockchain-based decentralized exchanges.
Causal Inference (C-inf) -- asymmetric scenario of typical phase transitions
In this paper, we revisit and further explore a mathematically rigorous connection between Causal inference (C-inf) and the Low-rank recovery (LRR) established in [10].
Causal Inference (C-inf) -- closed form worst case typical phase transitions
In this paper we establish a mathematically rigorous connection between Causal inference (C-inf) and the low-rank recovery (LRR).
The Evolution of Blockchain: from Lit to Dark
A 1% increase in the probability of being frontrun raises users' adoption rate of the dark venue by 0. 6%.
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors
We study the forward investment performance process (FIPP) in an incomplete semimartingale market model with closed and convex portfolio constraints, when the investor's risk preferences are of the power form.
Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?
Does the proof-of-work protocol serve its intended purpose of supporting decentralized cryptocurrency mining?
The Adoption of Blockchain-based Decentralized Exchanges
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges.
Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB).
Risk Preferences and Efficiency of Household Portfolios
We propose a novel approach to infer investors' risk preferences from their portfolio choices, and then use the implied risk preferences to measure the efficiency of investment portfolios.
Market Efficient Portfolios in a Systemic Economy
We study the ex-ante minimization of market inefficiency, defined in terms of minimum deviation of market prices from fundamental values, from a centralized planner's perspective.
Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices
We introduce a reinforcement learning framework for retail robo-advising.
Personalized Robo-Advising: Enhancing Investment through Client Interaction
The risk-return tradeoff adapts to the client's risk profile, which depends on idiosyncratic characteristics, market returns, and economic conditions.
Risk-Sensitive Cooperative Games for Human-Machine Systems
Autonomous systems can substantially enhance a human's efficiency and effectiveness in complex environments.
