4 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…