yc4646/code.academic_webpage
1
0
Fork 0
Code Issues Pull Requests Releases Wiki Activity

Updated DEX arbitrage SSRN link and LOB abstract.

Browse Source
This commit is contained in:
Chen Yang
2025-07-11 15:39:12 +08:00
parent 039289cbd8
commit 21b4e93917
1 changed files with 8 additions and 6 deletions
Download Patch File Download Diff File Expand all files Collapse all files

14
index.html
View File

@@ -148,11 +148,12 @@
<ol> <ol>
<li>Arbitraging on Decentralized Exchanges (with <a class="authorlink" href="https://sites.google.com/site/xuedonghepage/home" <li>Arbitraging on Decentralized Exchanges (with <a class="authorlink" href="https://sites.google.com/site/xuedonghepage/home"
target="_blank">Xuedong He</a> and <a class="authorlink" href="https://hk.linkedin.com/in/yutian-zhou-555870189" target="_blank">Yutian Zhou</a>).<br> target="_blank">Xuedong He</a> and <a class="authorlink" href="https://hk.linkedin.com/in/yutian-zhou-555870189" target="_blank">Yutian Zhou</a>).<br>
Working Paper. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_arbDEX');return false">Abstract</a>]</span><br> Working Paper. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_arbDEX');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5347630" target="_blank">SSRN</a>]</span><br>
<div class="fade-in" style="display:none" id="abs_arbDEX"> <div class="fade-in" style="display:none" id="abs_arbDEX">
<hr> <hr>
Decentralized exchanges (DEXs) are alternative venues to centralized exchanges to trade Decentralized exchanges (DEXs) are alternative venues to centralized exchanges (CEXs) for trading
cryptocurrencies (CEXs) and have become increasingly popular. An arbitrage opportunity arises when cryptocurrencies and have become increasingly popular. An arbitrage opportunity arises when
the exchange rate of two cryptocurrencies in a DEX differs from that in a CEX. Arbitrageurs can then the exchange rate of two cryptocurrencies in a DEX differs from that in a CEX. Arbitrageurs can then
trade on the DEX and CEX to make a profit. Trading on the DEX incurs a gas fee, which determines the trade on the DEX and CEX to make a profit. Trading on the DEX incurs a gas fee, which determines the
priority of the trade being executed. We study a gas-fee competition game between two arbitrageurs priority of the trade being executed. We study a gas-fee competition game between two arbitrageurs
@@ -322,16 +323,17 @@
effects of three key features of market microstructure --- market tightness, market depth, and effects of three key features of market microstructure --- market tightness, market depth, and
finite market resilience --- on the investor's decision. By employing a Bachelier process to model finite market resilience --- on the investor's decision. By employing a Bachelier process to model
the dynamic of the fundamental value of the asset and assuming CARA-type utility for the investor, the dynamic of the fundamental value of the asset and assuming CARA-type utility for the investor,
we manage to obtain the investor's optimal dynamic trading strategy in closed form by solving the we obtain the investor's optimal dynamic trading strategy in closed form by solving the
resulting high-dimensional singular control problem. Furthermore, we extend the model to incorporate resulting high-dimensional singular control problem. Furthermore, we extend the model to incorporate
return-predicting signals and utilize an asymptotic expansion approach to derive approximate optimal return-predicting signals and utilize an asymptotic expansion approach to derive approximate optimal
trading strategies. The theoretical and numerical results emphasize the vital role of patience. trading strategies. The theoretical and numerical results emphasize the vital role of patience.
Specifically, rather than dispersing small trades continuously over time as advocated by the Specifically, rather than dispersing small trades continuously over time as advocated by the
existing literature, our findings suggest that investors should strategically time their trading existing literature, our findings suggest that investors should strategically time their trading
activities to align with the aim portfolio in the presence of market resilience. To quantify this activities jointly based on market liquidity and market signal. To quantify this
timing decision, we introduce a patience index that enables investors to strike a balance among timing decision, we introduce a patience index that enables investors to strike a balance among
various competing goals, including achieving currently optimal risk exposure, incorporating signals various competing goals, including achieving currently optimal risk exposure, incorporating signals
about future predictions, and minimizing trading costs, by leveraging market resilience. about future predictions, and minimizing trading costs, by leveraging market resilience. We also
demonstrate how to implement our patient trading strategy using real-life market data.
</div> </div>
</li><br> </li><br>