142 citations · 280 across the 34 of their papers we have counts for
48 papers
Oracle-Parametrized Constant Function Market Makers: From Price Feeds to Pricing Rules
Hamed Amini, Zachary Feinstein
This paper introduces oracle-parametrized automated market makers (OP-AMMs), i.e., automated market makers whose quoted price depends jointly on the pool reserves and an external o…
The Price of Liquidity: Implied Volatility of Automated Market Maker Fees
Maxim Bichuch, Zachary Feinstein
An automated market maker (AMM) provides a method for creating a decentralized exchange on the blockchain. For this purpose, individual investors lend liquidity to the AMM pool in…
Computing all Nash equilibria of low-rank bi-matrix games
Zachary Feinstein, Andreas Löhne, Birgit Rudloff
We study constrained bi-matrix games, with a particular focus on low-rank games. Our main contribution is a framework that reduces low-rank games to smaller, equivalent constrained…
A Derivative Pricing Perspective on Liquidity Tokens in Constant Product Market Makers
Maxim Bichuch, Zachary Feinstein
In decentralized finance, any individual can pool their assets into an automated market maker (AMM) -- herein we focus on the constant product market maker (CPMM) -- in exchange fo…
The not-so-hidden risks of 'hidden-to-maturity' accounting: on depositor runs and bank resilience
Zachary Feinstein, Grzegorz Halaj, Andreas Sojmark
We introduce a simple model of depositor runs to capture run risks at financial institutions based on their balance sheet composition. Specifically, we consider a reduced potential…
Price-mediated contagion with endogenous market liquidity
Zhiyu Cao, Zachary Feinstein
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings.…
Approximating the set of Nash equilibria for convex games
Zachary Feinstein, Niklas Hey, Birgit Rudloff
In Feinstein and Rudloff (2023), it was shown that the set of Nash equilibria for any non-cooperative player game coincides with the set of Pareto optimal points of a certain v…
Modeling Inverse Demand Function with Explainable Dual Neural Networks
Zhiyu Cao, Zihan Chen, Prerna Mishra +2
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms…
Decentralized Prediction Markets and Sports Books
Hamed Amini, Maxim Bichuch, Zachary Feinstein
Prediction markets allow traders to bet on potential future outcomes. These markets exist for weather, political, sports, and economic forecasting. Within this work we consider a d…
Stochastic Cell Transmission Models of Traffic Networks
Zachary Feinstein, Marcel Kleiber, Stefan Weber
We introduce a rigorous framework for stochastic cell transmission models for general traffic networks. The performance of traffic systems is evaluated based on preference function…
Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
Zachary Feinstein, Andreas Sojmark
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This…
Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Finance
Maxim Bichuch, Zachary Feinstein
Within this work we consider an axiomatic framework for Automated Market Makers (AMMs). AMMs are smart contracts that set prices for swaps on a pool of assets. By imposing reasonab…
Deep Learning the Efficient Frontier of Convex Vector Optimization Problems
Zachary Feinstein, Birgit Rudloff
In this paper, we design a neural network architecture to approximate the weakly efficient frontier of convex vector optimization problems (CVOP) satisfying Slater's condition. The…
Characterizing and Computing the Set of Nash Equilibria via Vector Optimization
Zachary Feinstein, Birgit Rudloff
Nash equilibria and Pareto optimality are two distinct concepts when dealing with multiple criteria. It is well known that the two concepts do not coincide. However, in this work w…
Decentralized Payment Clearing using Blockchain and Optimal Bidding
Hamed Amini, Maxim Bichuch, Zachary Feinstein
In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims resolution procedure. This mechanism can be used to clear a ne…
Contagious McKean-Vlasov systems with heterogeneous impact and exposure
Zachary Feinstein, Andreas Sojmark
We introduce a heterogeneous formulation of a contagious McKean-Vlasov system, whose inherent heterogeneity comes from asymmetric interactions with a natural and highly tractable s…
Set-Valued Dynamic Risk Measures for Processes and Vectors
Yanhong Chen, Zachary Feinstein
The relationship between set-valued risk measures for processes and vectors on the optional filtration is investigated. The equivalence of risk measures for processes and vectors a…
Clearing prices under margin calls and the short squeeze
Zachary Feinstein
In this paper, we propose a clearing model for prices in a financial markets due to margin calls on short sold assets. In doing so, we construct an explicit formulation for the pri…
Endogenous inverse demand functions
Maxim Bichuch, Zachary Feinstein
In this work we present an equilibrium formulation for price impacts. This is motivated by the Buhlmann equilibrium in which assets are sold into a system of market participants, e…
Dynamic Default Contagion in Heterogeneous Interbank Systems
Zachary Feinstein, Andreas Sojmark
In this work we provide a simple setting that connects the structural modelling approach of Gai-Kapadia interbank networks with the mean-field approach to default contagion. To acc…
Optimal Network Compression
Hamed Amini, Zachary Feinstein
This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compress…
Continuity and sensitivity analysis of parameterized Nash games
Zachary Feinstein
In this paper we consider continuity of the set of Nash equilibria and approximate Nash equilibria for parameterized games. For parameterized games with unique Nash equilibria, the…
Contingent Convertible Obligations and Financial Stability
Zachary Feinstein, T. R. Hurd
This paper investigates whether a financial system can be made more stable if financial institutions share risk by exchanging contingent convertible (CoCo) debt obligations. The qu…
A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms
Maxim Bichuch, Zachary Feinstein
We consider a network of banks that optimally choose a strategy of asset liquidations and borrowing in order to cover short term obligations. The borrowing is done in the form of c…