4 papers
Arbitrage on Decentralized Exchanges
Xue Dong He, Chen Yang, Yutian Zhou
Decentralized exchanges using automated market makers create arbitrage opportunities with centralized exchanges, where gas fees and transaction ordering are critical. Existing mode…
Optimal Design of Automated Market Makers on Decentralized Exchanges
Xue Dong He, Chen Yang, Yutian Zhou
Automated market makers are a popular mechanism used on decentralized exchange, through which users trade assets with each other directly and automatically through a liquidity pool…
Some Distributional Properties of Linear Stochastic Differential Equations
Xue Dong He, Zhaoli Jiang
In this paper, we prove a sufficient and necessary condition for the transition probability distribution of a general, time-inhomogeneous linear SDE to possess a density function a…
Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk
Xue Dong He, Xianhua Peng
The regulator is interested in proposing a capital adequacy test by specifying an acceptance set for firms' capital positions at the end of a given period. This set needs to be sur…