31 citations · 63 across the 39 of their papers we have counts for
9 papers · 1 filter
FactorBench: A Portfolio-Aware Benchmark for Automated Factor Mining
Zhuohan Wang, Carmine Ventre
Factor mining seeks to discover signals from financial data that predict future asset returns and guide portfolio construction. Automated factor mining now spans genetic programmin…
SAiFE-gym: Model-based Environments for Automated Market Making with Concentrated Liquidity
Georgios Chionas, Charalampos Kleitsikas, Stefanos Leonardos +2
We present SAiFE_gym, a Python module that provides a collection of simulation environments for studying trading problems in Constant Product Markets (CPMs) with Concentrated Liqui…
NFT-Based Reward Mechanisms: Sybil Farming, Vesting, and Stochastic Verification
Marco Alberto Javarone, Stefanos Leonardos, Carmine Ventre
We study NFT-based reward mechanisms in which a user can create multiple identities and submit fraudulent claims that mature a reward subject to vesting. We assume that the issuer…
Eliciting ESG Preferences for Reinforcement Learning-Based Portfolio Optimization
Giovanni Dispoto, Marcello Restelli, Carmine Ventre
Modern portfolio management increasingly demands a balance between traditional risk-adjusted returns and strict Environmental, Social, and Governance (ESG) mandates. Current Reinfo…
Concentrated Liquidity Provision: a Reinforcement Learning Perspective
Georgios Chionas, Charalampos Kleitsikas, Stefanos Leonardos +2
Automated market makers (AMMs) are a cornerstone of decentralised finance (DeFi). Constant product markets with concentrated liquidity, such as UniswapV3, are now a well-establishe…
FlowLOB: Efficient and Controllable Limit Order Book Generation with Flow Matching
Zhuohan Wang, Andreea Bacalum, Ollie Olby +2
Limit order book (LOB) simulators are most useful to practitioners when they combine realistic market dynamics, computationally efficient sampling, controllable scenario generation…
Diffusion Models in Finance: A Survey
Zhuohan Wang, Carmine Ventre
Diffusion generative models have rapidly emerged as powerful tools for modeling complex financial data. Their appeal is both structural and practical: they offer stable likelihood-…
Interbank Lending Games
Jinyun Tong, Bart de Keijzer, Haoxiang Wang +1
We define and study a lending game to model the interbank money market, in which lending banks strategically allocate their cash to borrowing banks. The interest rate offered by ea…
DiffLOB: Diffusion Models for Counterfactual Generation in Limit Order Books
Zhuohan Wang, Carmine Ventre
Modern generative models for limit order books (LOBs) can reproduce realistic market dynamics, but remain fundamentally passive: they either model what typically happens without ac…