27 citations · 159 across the 58 of their papers we have counts for
69 papers
Equilibrium Liquidity and Risk Offsetting in Decentralised Markets
Fayçal Drissi, Xuchen Wu, Sebastian Jaimungal
We study the economic viability of liquidity provision in decentralised exchanges (DEXs) within a structural framework in which market outcomes are endogenous. We formulate strateg…
Deep Learning and Elicitability for McKean-Vlasov FBSDEs With Common Noise
Felipe J. P. Antunes, Yuri F. Saporito, Sebastian Jaimungal
We present a novel numerical method for solving McKean--Vlasov forward--backward stochastic differential equations (MV--FBSDEs) with common noise, combining Picard iterations, elic…
Deep reinforcement learning for optimal trading with partial information
Andrea Macrì, Sebastian Jaimungal, Fabrizio Lillo
Reinforcement Learning (RL) has attracted increasing interest in financial applications, including optimal trading and execution. However, the use of RL for optimal trading strateg…
Deviations from Tradition: Stylized Facts in the Era of DeFi
Daniele Maria Di Nosse, Federico Gatta, Fabrizio Lillo +1
Decentralized Exchanges (DEXs) are now a significant component of the financial world where billions of dollars are traded daily. Differently from traditional markets, which are ty…
Multi-Agent Reinforcement Learning for Greenhouse Gas Offset Credit Markets
Liam Welsh, Udit Grover, Sebastian Jaimungal
Climate change is a major threat to the future of humanity, and its impacts are being intensified by excess man-made greenhouse gas emissions. One method governments can employ to…
Model Combination in Risk Sharing under Ambiguity
Emma Kroell, Sebastian Jaimungal, Silvana M. Pesenti
We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is un…