A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
This paper analyzes a time-dependent CFMM called RMM-01, focusing on its pricing and stability.
Copula models have become popular in different applications, including modeling shocks, in view of their ability to describe better the dependence concepts in stochastic systems. The class of maxmin copulas was recently introduced by Omladič and Ružić. It extends the well known classes of Marshall-Olkin and Marshall co…
In this paper we introduce some new copulas emerging from shock models. It was shown earlier that reflected maxmin copulas (RMM for short) are not just some specific singular copulas; they contain many important absolutely continuous copulas including the negative quadrant dependent part of the Eyraud-Farlie-Gumbel-Mor…
A new method for creating derivatives without oracles.
A new UCB algorithm for heavy-tailed bandits with near-optimal regret.
This paper examines MEV attacks in dynamic AMMs and proposes new protections.
When choosing the right copula for our data a key point is to distinguish the family that describes it at the best. In this respect, a better choice of the copulas could be obtained through the information about the (non)symmetry of the data. Exchangeability as a probability concept (first next to independence) has bee…