Round balls minimize liquid drop model volumes ≤ 1.
problem Minimizing volumes in liquid drop models.
method Proved uniqueness of minimizers for small volumes.
result Round balls uniquely minimize volumes ≤ 1.
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48 results for “liquid drops”
This paper analyzes the configurations of shapes that shows a spacelike liquid drop in Minkowski space deposited over a spacelike plane . We assume the presence of a uniform gravity field directed toward and that the volume of the drop is prescribed. Our interest are the liquid drops that are critical points of …
Study on liquidation games with market drop-out, proving unique equilibria.
problem Analyzing portfolio liquidation with market drop-out constraints.
method Proves existence and uniqueness of equilibria using integral equations.
result Existence and uniqueness of equilibria in both mean-field and finite-player games.
Stock loans with liquidationq-fin.PR
We derive a "semi-analytic" solution for a stock loan in which the lender forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to study the sensitivity of the contract to model parameters.
We study the long time existence theory for a non local flow associated to a free boundary problem for a trapped non liquid drop. The drop has free boundary components on two horizontal plates and its free energy is anisotropic and axially symmetric. For axially symmetric initial surfaces with sufficiently large volume…
Stability of hypersurfaces of constant mean curvature with free boundary in two parallel hyperplanesmath.DG
The paper examines stable CMC hypersurfaces with boundaries on parallel hyperplanes.
problem Stability of CMC hypersurfaces with free boundaries.
method Analysis and numerical computations.
result Equilibrium hypersurfaces are stable without self-intersection in all dimensions.
This paper models financial contagion with endogenously determined market liquidity.
problem Financial contagion and its impact on market liquidity during price drops.
method Developed a joint clearing system for interbank payments, asset prices, and market liquidity, with endogenous market capacity.
result Endogenous market liquidity significantly affects system risk during financial contagion.
Uniswap V3 struggles with price accuracy during sudden market drops.
problem Price inaccuracies on Uniswap V3 during abrupt price drops.
method Empirical study of Uniswap V3's performance during market shocks.
result Liquidity providers lack agility and incentives in volatile conditions.
In this article we study the shape of a compact surface of constant mean curvature of Euclidean space whose boundary is contained in a round sphere. We consider the case that the boundary is prescribed or that the surface meets the sphere with a constant angle. We study under what geometric conditions the surface must …
Model identifies order splitting and liquidity replenishment as necessary for the square-root law of market impact.
problem Quantifying the square-root law of market impact and identifying its underlying mechanisms.
method Minimal limit-order-book model with heterogeneous interacting agents calibrated against real data. Counterfactual ablation to isolate mechanisms.
result Order splitting and liquidity replenishment are necessary for the square-root law of market impact.
See http://www.youtube.com/watch?v=izbGXdjvK_I for a YouTube video showing part of the results in this paper.We will consider surfaces whose mean curvature at a point is a linear function of the square of the distance from that point to the vertical axis. We restrict ourselves here to surfaces which are cylinders over …
In this paper, we develop a theory of market crashes resulting from a deleveraging shock. We consider two representative investors in a market holding different opinions about the public available information. The deleveraging shock forces the high confidence investors to liquidate their risky assets to pay back their …
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in 2003. An inverse…
We introduce a new model for pricing corporate bonds, which is a modification of the classical model of Merton. In this new model, we drop the liquidity assumption of the firm's asset value process, and assume that there is a liquidly traded asset in the market whose value is correlated with the firm's asset value, and…
Empirical study shows GANs overfit and drop modes when training is deterministic.
problem Understanding overfitting and mode drop in GAN training.
method Empirical analysis of GAN training with and without stochasticity.
result GANs overfit and drop modes when training is deterministic.
Automated Market Makers: A Stochastic Optimization Approach for Profitable Liquidity Concentrationq-fin.TR
Optimizes liquidity provision intervals for profitable AMM participation.
problem Financial losses from poor liquidity provision intervals and reallocation costs.
method Developed a tractable stochastic optimization problem.
result Computes optimal liquidity provision intervals for profitable liquidity concentration.
Overfitting frequently occurs in deep learning. In this paper, we propose a novel regularization method called Drop-Activation to reduce overfitting and improve generalization. The key idea is to drop nonlinear activation functions by setting them to be identity functions randomly during training time. During testing, …
Study shows how crypto asset liquidity is affected by wash trading and proposes treatment to reduce liquidity diffusion.
problem Understanding and reducing crypto asset wash trading to improve liquidity.
method Proposed a two-component model for liquidity (jump and diffusion) and demonstrated the effectiveness of autoregressive models.
result Treatment on wash trading significantly reduces liquidity diffusion but not liquidity jump.
The study introduces new liquidity measures and models for assets with extreme liquidity.
problem Modeling assets with extreme liquidity, especially in crypto markets.
method Developed innovative liquidity premium measures, liquidity-adjusted return and volatility models, and used ARMA-GARCH/EGARCH models.
result The liquidity-adjusted models outperform traditional models in predicting asset performance at extreme liquidity.
The study examines mass drop and multiplicity in mean curvature flow.
problem Analyzing mass drop and multiplicity in mean curvature flow.
method Defined Brakke flow with variational inequality, proved mass drop conditions.
result Mass drop and multiplicity one conjecture are equivalent for Brakke flows.
Deep neural networks have dramatically achieved great success on a variety of challenging tasks. However, most successful DNNs have an extremely complex structure, leading to extensive research on model compression.As a significant area of progress in model compression, traditional gradual pruning approaches involve an…
The study uses statistical methods to analyze nuclear mass models.
problem Understanding the information content of nuclear masses from models.
method Bayesian calibration, Bayesian model averaging, chi-square correlation analysis, principal component analysis.
result A dramatic parameter reduction can be achieved in both 4-parameter and 14-parameter models.
A liquidity measure based on consideration and price range is proposed. Initially defined for daily data, Liquidity Index (LIX) can also be estimated via intraday data by using a time scaling mechanism. The link between LIX and the liquidity measure based on weighted average bid-ask spread is established. Using this li…
Research proposes a model to estimate transaction costs and assess asset liquidity risk.
problem Lack of standardized models for asset liquidity risk in asset management.
method Develops a market impact model and a two-regime model based on power-law property.
result Defines liquidity measures and applies model to stocks and bonds.
Improved ARMA-GARCH model for illiquid assets like cryptocurrencies.
problem Inadequate modeling of illiquid assets, especially cryptocurrencies, with traditional ARMA-GARCH models.
method Introducing liquidity-adjusted liquidity jump and diffusion metrics into ARMA-GARCH framework.
result The liquidity-adjusted model improves model fit and volatility sensitivity for cryptocurrencies.
Optimizes liquidity provision in decentralized exchanges with utility indifference market makers.
problem Impermanent loss in decentralized exchanges without transaction fees.
method Mathematical formulation of liquidity provision, focusing on utility indifference market makers.
result No-arbitrage conditions and optimal arbitrage strategies are established.
Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Riskq-fin.RM
Third part of a study on liquidity risk in asset management, focusing on managing the asset-liability liquidity risk.
problem Managing the asset-liability liquidity risk in asset management.
method Develops a methodological and practical framework for liquidity stress testing programs.
result Proposes measurement, management, and monitoring tools for controlling the liquidity gap.
Develops a new model to better estimate cryptocurrency and stock volatility.
problem Misrepresentation of volatility and co-movement in traditional models.
method Introduces liquidity-sensitive multivariate volatility framework with novel liquidity measures.
result Liquidity-adjusted models yield more stable and interpretable risk structures.
Optimal early liquidation strategy reduces financial losses during crises.
problem Substantial losses from simultaneous asset liquidation at depressed prices.
method Developed a worst-case approach for optimal early liquidation, considering uncertainty of other banks' decisions.
result Proposed robust optimal strategy maximizes liquid assets' value at clearing, even with uncertainty.
JIT liquidity providers can sometimes reduce overall market liquidity by crowding out passive LPs.
problem JIT liquidity providers can reduce overall market liquidity by crowding out passive LPs.
method Game-theoretic model with asymmetrically informed agents to analyze JIT liquidity provision in blockchain-based decentralized exchanges.
result JIT LPs only provide liquidity to uninformed orders and crowd out passive LPs when order volume is not sufficiently elastic to pool depth, potentially reducing overall market liquidity.
New framework detects crypto wash trading using liquidity measures.
problem Detecting and monitoring wash trading in crypto assets.
method Developed a new framework to detect wash trading through real-time liquidity fluctuation measures.
result Joint elevation in liquidity jump and diffusion indicates wash trading in crypto assets.
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi and Sverdlove (2008) and Buhler and Trapp (2006, 2008), adopting different assumptions on how liquidity rates enter the CD…
We refine toxicity bounds for dynamic liquidation incentives in CP-AMM systems.
problem Ensuring stability in dynamic liquidation incentives in automated market makers.
method Derived state-dependent toxicity bounds for dynamic liquidation incentives, reconciling them with CP-AMM price dynamics.
result State-dependent bounds and liquidity-depth-only condition for dynamic liquidation incentives.
Study finds Indian mutual funds adjust cash holdings based on inflows, impacting stock purchases.
problem Active liquidity management by mutual funds in India.
method Examined cash holdings and stock purchases of Indian equity mutual funds.
result Funds with active liquidity choices outperform, highlighting the importance of this strategy.
New metric to measure liquidity position PNL, delta hedging algorithm for automated market makers.
problem Vulnerability of liquidity positions to price changes in underlying assets.
method Proposes a new metric for measuring PNL, delta hedging algorithm for various AMMs.
result New metric more accurately measures net value change due to price movement.
The study examines when large trades are considered news or liquidity shocks in a market model.
problem Understanding when large trades are news or liquidity shocks in a market model.
method A sequential competitive limit order book model with asymmetric information and Student-t tails for liquidity demand.
result Heavy-tailed liquidity demand flattens and concavifies price impact, delaying price discovery.
Study shows HFT improves market liquidity indicators.
problem Impact of high-frequency trading on market liquidity.
method Agent-based simulations comparing HFT and non-HFT markets.
result All liquidity indicators improved in markets with HFTs.
This study examines liquidation risks in DeFi lending markets.
problem Liquidity risks in decentralized finance lending protocols.
method Quantitative analysis of liquidation data from four major DeFi platforms.
result Current liquidation mechanisms incentivize liquidators but lead to excessive collateral sales.
Study calculates liquidity costs for delta hedging of European options.
problem Determining expected liquidity costs in delta hedging.
method Derives an integration formula for liquidity costs, including option prices and delta process.
result Expected liquidity costs can be calculated faster than Monte Carlo simulations.
We present a large-scale study of commonality in liquidity and resilience across assets in an ultra high-frequency (millisecond-timestamped) Limit Order Book (LOB) dataset from a pan-European electronic equity trading facility. We first show that extant work in quantifying liquidity commonality through the degree of ex…
This paper optimizes liquidation strategies in DeFi protocols to prevent MEV attacks.
problem Predatory price manipulations and Maximal Extractable Value (MEV) attacks in DeFi protocols.
method Dynamic program modeling, Constant Product Market Maker (CPMM) transaction fees analysis.
result CPMM transaction fees make liquidation manipulations unprofitable for attackers.
High-fee pools attract more liquidity but execute less volume; low-fee pools have more stable LPs.
problem Optimal liquidity supply and execution on decentralized exchanges with fixed gas costs.
method Analysis of Uniswap data to compare high- and low-fee pools.
result Fragmented liquidity leads to more LPs and competition, improving overall market efficiency.
Uniswap V3 requires more decisions from liquidity providers, making it complex and risky.
problem Complexity and risk in liquidity provision on Uniswap V3.
method Developed a theoretical model and analyzed real data.
result Liquidity provision on Uniswap V3 is highly complex and risky.
Study factors affecting liquidity on decentralized exchanges, introducing new metrics.
problem Understanding and predicting liquidity on decentralized exchanges (DEXs).
method Analyzes platform, blockchain, token pair, and liquidity pool factors; introduces new metrics.
result Identifies how various factors affect liquidity through concentration and total value locked.
Optimal strategy for liquidating portfolios under discrete time intervals.
problem Optimizing liquidation of portfolios with discrete time constraints and impact effects.
method Modeling portfolio liquidation with N risky assets, using VaR for cost measurement, and deriving an optimal liquidation time.
result The optimal liquidation time is only influenced by temporary price impacts, not permanent ones.
Study analyzes impact of concentrated liquidity on trading fees and provider returns.
problem Impact of concentrated liquidity on trading fees and provider returns.
method Comparison of average liquidity provider returns before and after concentrated liquidity introduction; quantification of fundamental strategies performance.
result Concentrated liquidity strategies outperform in certain trading pairs and market conditions.
Study liquidity provision in decentralized exchanges considering risk aversion and replication costs.
problem Economic viability of liquidity provision in decentralized exchanges (DEXs).
method Formulated strategic interactions as a sequential game with risk-averse LP, traders, and arbitrageurs.
result DEX liquidity depth is crucial for risk management, influenced by risk aversion and replication costs.
Mitigates DeFi liquidations with reversible call options.
problem Systemic failures in DeFi due to liquidations.
method Introduces reversible call options to prevent liquidations.
result Reduces liquidated collateral by 89.82% in simulations.