arXiv research

No fair and strategy-proof automated market maker exists for more than two assets.

New spoofing strategies show PoL verification is more vulnerable than previously thought.

A note on utility maximization with costs, proving trading strategies.

New proof shows minimal submanifolds of sphere are totally geodesic.

Simplified proof of Honda-Huang's contact convexity result.

Transformers improve logical reasoning on longer proofs but struggle with length.

Optimal trading strategy in Proof-of-Stake blockchain using continuous-time control.

This paper provides a framework for modeling the financial system with multiple illiquid assets during a crisis. This work generalizes the paper by Amini, Filipovic and Minca (2016) by allowing for differing liquidation strategies. The main result is a proof of sufficient conditions for the existence of an equilibrium …

We consider a game-theoretic model of a market where investors compete for payoffs yielded by several assets. The main result consists in a proof of the existence and uniqueness of a strategy, called relative growth optimal, such that the logarithm of the share of its wealth in the total wealth of the market is a subma…

Optimal reinsurance strategies for multi-line insurance companies.

Polynomial inequalities lie at the heart of many mathematical disciplines. In this paper, we consider the fundamental computational task of automatically searching for proofs of polynomial inequalities. We adopt the framework of semi-algebraic proof systems that manipulate polynomial inequalities via elementary inferen…

New strategies avoid forced exploration for unimodal bandits.

Gaussian process (GP) models have become a well-established frameworkfor the adaptive design of costly experiments, and notably of computerexperiments. GP-based sequential designs have been found practicallyefficient for various objectives, such as global optimization(estimating the global maximum or maximizer(s) of a …

Minimal surfaces with negative curvature found in large spheres.

Study utility maximization with costs, proving convergence and strategies.

Original abstract: "We construct periodic solutions of nonlinear wave equations using analytic continuation. The construction applies in particular to Einstein equations, leading to infinite-dimensional families of time-periodic solutions of the vacuum, or of the Einstein-Maxwell-dilaton-scalar fields-Yang-Mills-Higgs-…

Paper proves CMC hypersurfaces in R6 are minimal if they have finite index.

Mechanisms for fair resource allocation learn user preferences online.

Researchers analyze optimal investment strategies for a collectivised pension fund with identical investors.

We consider $K$-armed stochastic bandits and consider cumulative regret bounds up to time $T$. We are interested in strategies achieving simultaneously a distribution-free regret bound of optimal order $\sqrt{KT}$ and a distribution-dependent regret that is asymptotically optimal, that is, matching the $κ\ln T$ lower b…

We give a new, elementary proof that Khovanov homology with $\mathbb{Z}/2\mathbb{Z}$--coefficients is invariant under Conway mutation. This proof also gives a strategy to prove Baldwin and Levine's conjecture that $δ$--graded knot Floer homology is mutation--invariant. Using the Clifford module structure on $\widetilde…

Study proves upper semicontinuity of index plus nullity for minimal and H-CMC hypersurfaces.

Optimizes dividend and reinsurance strategies for correlated insurance lines.

The paper analyzes optimal retirement strategies in a market with habit persistence and jump diffusion, finding discontinuous investment strategies.

Minimal submanifolds are found as energy concentration sets in variational problems.

Robust, or model-independent properties of the variance swap are well-known, and date back to Dupire and Neuberger, who showed that, given the price of co-terminal call options, the price of a variance swap was exactly specified under the assumption that the price process is continuous. In Cox and Wang we showed that a…

We consider stochastic gradient descent algorithms for minimizing a non-smooth, strongly-convex function. Several forms of this algorithm, including suffix averaging, are known to achieve the optimal $O(1/T)$ convergence rate in expectation. We consider a simple, non-uniform averaging strategy of Lacoste-Julien et al. …

We provide a proof for an inequality between volume and L2-Betti numbers of aspherical manifolds for which Gromov outlined a strategy based on general ideas of Connes. The implementation of that strategy involves measured equivalence relations, Gaboriau's theory of L2-Betti numbers of R-simplicial complexes, and other …

In the spirit of [Surya07'], we develop an average problem approach to prove the optimality of threshold type strategies for optimal stopping of Lévy models with a continuous additive functional (CAF) discounting. Under spectrally negative models, we specialize this in terms of conditions on the reward function and ran…

We consider the problem of portfolio optimization in a simple incomplete market and under a general utility function. By working with the associated Hamilton-Jacobi-Bellman partial differential equation (HJB PDE), we obtain a closed-form formula for a trading strategy which approximates the optimal trading strategy whe…

We present a detailed analysis and implementation of a splitting strategy to identify simultaneously the local-volatility surface and the jump-size distribution from quoted European prices. The underlying model consists of a jump-diffusion driven asset with time and price dependent volatility. Our approach uses a forwa…

The study examines stability of Sobolev inequalities on manifolds with Ricci bounds.

Centralized exchanges influence staking behavior and decentralization in Proof of Stake blockchain ecosystems.

Study on wealth and trading in PoS blockchain.

DeFi TrustBoost uses blockchain and AI to assess small business loans.

We study the superreplication of contingent claims under model uncertainty in discrete time. We show that optimal superreplicating strategies exist in a general measure-theoretic setting; moreover, we characterize the minimal superreplication price as the supremum over all continuous linear pricing functionals on a sui…

Develops new strategy for Hessian estimates in Lagrangian mean curvature equation.

PoEL protocol aims to efficiently create and secure liquidity for blockchain networks.

Originally motivated by default risk management applications, this paper investigates a novel problem, referred to as the profitable bandit problem here. At each step, an agent chooses a subset of the K possible actions. For each action chosen, she then receives the sum of a random number of rewards. Her objective is t…

Quantum Proof-of-Work uses boson sampling to secure blockchain consensus.

We study an optimal execution problem in illiquid markets with both instantaneous and persistent price impact and stochastic resilience when only absolutely continuous trading strategies are admissible. In our model the value function can be described by a three-dimensional system of backward stochastic differential eq…

In recent years several trading platforms appeared which provide a backtest engine to calculate historic performance of self designed trading strategies on underlying candle data. The construction of a correct working backtest engine is, however, a subtle task as shown by Maier-Paape and Platen (cf. arXiv:1412.5558 [q-…

Proofs show finite subgroups of homeomorphism groups are almost nilpotent.

Study analyzes optimal execution under uncertain volatility and liquidity.

We study the high-frequency limits of strategies and costs in a Nash equilibrium for two agents that are competing to minimize liquidation costs in a discrete-time market impact model with exponentially decaying price impact and quadratic transaction costs of size $θ\ge0$. We show that, for $θ=0$, equilibrium strategie…

Optimal Kelly strategy for multi-outcome parlay bets proven using implicit cash approach.

Let $π: \mathcal{X}\rightarrow Δ$ be a holomorphic family of compact complex manifolds over an open disk in $\mathbb{C}$. If the fiber $π^{-1}(t)$ for each nonzero $t$ in an uncountable subset $B$ of $Δ$ is Moishezon and the reference fiber $X_0$ satisfies the local deformation invariance for Hodge number of type $(0,1…

Trend-following strategies outperform in a noisy financial market, mirroring ancient wisdom.