no code implementations • 29 Dec 2022 • Guanbo Wang, Chijie Zhuang, Jun Deng, Zhicheng Xie
In this paper, we propose a fault location method that utilizes electromagnetic transient convolution (EMTC).
no code implementations • 24 May 2022 • Jun Deng, Hua Zong, Yun Wang
This article analytically characterizes the impermanent loss of concentrated liquidity provision for automatic market makers in decentralised markets such as Uniswap.
no code implementations • 6 Sep 2021 • Carol Alexander, Jun Deng, Jianfen Feng, Huning Wan
How do supply and demand from informed traders drive market prices of bitcoin options?
no code implementations • 9 Feb 2021 • Zhiyong Cheng, Jun Deng, Tianyi Wang, Mei Yu
Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long and short futures positions.
no code implementations • 4 Jan 2021 • Carol Alexander, Jun Deng, Bin Zou
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice.