2 citations · 3 across the 6 of their papers we have counts for
6 papers
Optimal execution on Uniswap v2/v3 under transient price impact
Bastien Baude, Damien Challet, Ioane Muni Toke
We study the optimal liquidation of a large position on Uniswap v2 and Uniswap v3 in discrete time. The instantaneous price impact is derived from the AMM pricing rule. Transient i…
Noise-proofing Universal Portfolio Shrinkage
Paul Ruelloux, Christian Bongiorno, Damien Challet
We enhance the Universal Portfolio Shrinkage Approximator (UPSA) of Kelly et al. (2023) by making it more robust with respect to estimation noise and covariate shift. UPSA optimize…
Optimal risk-aware interest rates for decentralized lending protocols
Bastien Baude, Damien Challet, Ioane Muni Toke
Interest rates in decentralized lending protocols are set algorithmically and adjust to supply and demand for liquidity. In this study, we propose an optimal interest rate model th…
Consistent time travel for realistic interactions with historical data: reinforcement learning for market making
Vincent Ragel, Damien Challet
Reinforcement learning works best when the impact of the agent's actions on its environment can be perfectly simulated or fully appraised from available data. Some systems are howe…
Equity auction dynamics: latent liquidity models with activity acceleration
Mohammed Salek, Damien Challet, Ioane Muni Toke
Equity auctions display several distinctive characteristics in contrast to continuous trading. As the auction time approaches, the rate of events accelerates causing a substantial…
Covariance matrix filtering and portfolio optimisation: the Average Oracle vs Non-Linear Shrinkage and all the variants of DCC-NLS
Christian Bongiorno, Damien Challet
The Average Oracle, a simple and very fast covariance filtering method, is shown to yield superior Sharpe ratios than the current state-of-the-art (and complex) methods, Dynamic Co…