31 citations · 63 across the 39 of their papers we have counts for
8 papers · 1 filter
Blockchain Monetary Policy, Strategic Participation, and the Dynamics of Decentralization
Diodato Ferraioli, Paolo Penna, Manvir Schneider +1
Blockchain systems must navigate a fundamental tradeoff between rewarding capable participants for performance and preserving a sufficiently decentralized distribution of stake. We…
Multi-Agent Reinforcement Learning for Market Making: Competition without Collusion
Ziyi Wang, Carmine Ventre, Maria Polukarov
Algorithmic collusion has emerged as a central question in AI: Will the interaction between different AI agents deployed in markets lead to collusion? More generally, understanding…
DiffVolume: Diffusion Models for Volume Generation in Limit Order Books
Zhuohan Wang, Carmine Ventre
Modeling limit order books (LOBs) dynamics is a fundamental problem in market microstructure research. In particular, generating high-dimensional volume snapshots with strong tempo…
ARL-Based Multi-Action Market Making with Hawkes Processes and Variable Volatility
Ziyi Wang, Carmine Ventre, Maria Polukarov
We advance market-making strategies by integrating Adversarial Reinforcement Learning (ARL), Hawkes Processes, and variable volatility levels while also expanding the action space…
Robust Market Making: To Quote, or not To Quote
Ziyi Wang, Carmine Ventre, Maria Polukarov
Market making is a popular trading strategy, which aims to generate profit from the spread between the quotes posted at either side of the market. It has been shown that training m…
Performative Market Making
Charalampos Kleitsikas, Stefanos Leonardos, Carmine Ventre
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on…
Bitcoin's Edge: Embedded Sentiment in Blockchain Transactional Data
Charalampos Kleitsikas, Nikolaos Korfiatis, Stefanos Leonardos +1
Cryptocurrency blockchains, beyond their primary role as distributed payment systems, are increasingly used to store and share arbitrary content, such as text messages and files. A…
The Effectiveness of Golden Tickets and Wooden Spoons for Budget-Feasible Mechanisms
Bart de Keijzer, Guido Schäfer, Artem Tsikiridis +1
One of the main challenges in mechanism design is to carefully engineer incentives ensuring truthfulness while maintaining strong social welfare approximation guarantees. But these…