31 citations · 63 across the 39 of their papers we have counts for
5 papers · 1 filter
Clearing Financial Networks with Derivatives: From Intractability to Algorithms
Stavros D. Ioannidis, Bart de Keijzer, Carmine Ventre
Financial networks raise a significant computational challenge in identifying insolvent firms and evaluating their exposure to systemic risk. This task, known as the clearing probl…
Strategic Bidding Wars in On-chain Auctions
Fei Wu, Thomas Thiery, Stefanos Leonardos +1
The Ethereum block-building process has changed significantly since the emergence of Proposer-Builder Separation. Validators access blocks through a marketplace, where block builde…
Detecting Financial Market Manipulation with Statistical Physics Tools
Haochen Li, Maria Polukarova, Carmine Ventre
We take inspiration from statistical physics to develop a novel conceptual framework for the analysis of financial markets. We model the order book dynamics as a motion of particle…
An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics
Haochen Li, Yi Cao, Maria Polukarov +1
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing…
On the Connection between Greedy Algorithms and Imperfect Rationality
Diodato Ferraioli, Carmine Ventre
The design of algorithms or protocols that are able to align the goals of the planner with the selfish interests of the agents involved in these protocols is of paramount importanc…