1 citations · 1 across the 3 of their papers we have counts for
4 papers
DEX Specs: A Mean Field Approach to DeFi Currency Exchanges
Erhan Bayraktar, Asaf Cohen, April Nellis
We investigate the behavior of liquidity providers (LPs) by modeling a decentralized cryptocurrency exchange (DEX) based on Uniswap v3. LPs with heterogeneous characteristics choos…
A neural network approach to high-dimensional optimal switching problems with jumps in energy markets
Erhan Bayraktar, Asaf Cohen, April Nellis
We develop a backward-in-time machine learning algorithm that uses a sequence of neural networks to solve optimal switching problems in energy production, where electricity and fos…
Quantifying and managing uncertainty in piecewise-deterministic Markov processes
Elliot Cartee, Antonio Farah, April Nellis +2
In piecewise-deterministic Markov processes (PDMPs) the state of a finite-dimensional system evolves continuously, but the evolutive equation may change randomly as a result of dis…
A Macroeconomic SIR Model for COVID-19
Erhan Bayraktar, Asaf Cohen, April Nellis
The current COVID-19 pandemic and subsequent lockdowns have highlighted the close and delicate relationship between a country's public health and economic health. Macroeconomic mod…