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1. Leibniz International Proceedings in Informatics (LIPIcs):15th Innovations in Theoretical Computer Science Conference (ITCS 2024)

   https://doi.org/10.4230/LIPIcs.ITCS.2024.81  

   Milionis, Jason; Moallemi, Ciamac C; Roughgarden, Tim (January 2024, Schloss Dagstuhl – Leibniz-Zentrum für Informatik)

   Guruswami, Venkatesan (Ed.)

   In decentralized finance ("DeFi"), automated market makers (AMMs) enable traders to programmatically exchange one asset for another. Such trades are enabled by the assets deposited by liquidity providers (LPs). The goal of this paper is to characterize and interpret the optimal (i.e., profit-maximizing) strategy of a monopolist liquidity provider, as a function of that LP’s beliefs about asset prices and trader behavior. We introduce a general framework for reasoning about AMMs based on a Bayesian-like belief inference framework, where LPs maintain an asset price estimate, which is updated by incorporating traders' price estimates. In this model, the market maker (i.e., LP) chooses a demand curve that specifies the quantity of a risky asset to be held at each dollar price. Traders arrive sequentially and submit a price bid that can be interpreted as their estimate of the risky asset price; the AMM responds to this submitted bid with an allocation of the risky asset to the trader, a payment that the trader must pay, and a revised internal estimate for the true asset price. We define an incentive-compatible (IC) AMM as one in which a trader’s optimal strategy is to submit its true estimate of the asset price, and characterize the IC AMMs as those with downward-sloping demand curves and payments defined by a formula familiar from Myerson’s optimal auction theory. We generalize Myerson’s virtual values, and characterize the profit-maximizing IC AMM. The optimal demand curve generally has a jump that can be interpreted as a "bid-ask spread," which we show is caused by a combination of adverse selection risk (dominant when the degree of information asymmetry is large) and monopoly pricing (dominant when asymmetry is small). This work opens up new research directions into the study of automated exchange mechanisms from the lens of optimal auction theory and iterative belief inference, using tools of theoretical computer science in a novel way. 

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2. Decentralized Prediction Markets and Sports Books

   Amini, Hamed; Bichuch, Maxim; Feinstein, Zachary (September 2023, arXiv preprints)

   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 decentralized framework for prediction markets using automated market makers (AMMs). Specifically, we construct a liquidity-based AMM structure for prediction markets that, under reasonable axioms on the underlying utility function, satisfy meaningful financial properties on the cost of betting and the resulting pricing oracle. Importantly, we study how liquidity can be pooled or withdrawn from the AMM and the resulting implications to the market behavior. In considering this decentralized framework, we additionally propose financially meaningful fees that can be collected for trading to compensate the liquidity providers for their vital market function. 

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3. Automated Market Making and Arbitrage Profits in the Presence of Fees

   Milionis, Jason; Moallemi, Ciamac; Roughgarden, Tim (March 2024, Financial Cryptography)

   We consider the impact of trading fees on the profits of arbitrageurs trading against an automated marker marker (AMM) or, equivalently, on the adverse selection incurred by liquidity providers due to arbitrage. We extend the model of Milionis et al. [2022] for a general class of two asset AMMs to both introduce fees and discrete Poisson block generation times. In our setting, we are able to compute the expected instantaneous rate of arbitrage profit in closed form. When the fees are low, in the fast block asymptotic regime, the impact of fees takes a particularly simple form: fees simply scale down arbitrage profits by the fraction of time that an arriving arbitrageur finds a profitable trade. 

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4. Forecasting influenza activity using machine-learned mobility map

   https://doi.org/10.1038/s41467-021-21018-5  

   Venkatramanan, Srinivasan; Sadilek, Adam; Fadikar, Arindam; Barrett, Christopher L.; Biggerstaff, Matthew; Chen, Jiangzhuo; Dotiwalla, Xerxes; Eastham, Paul; Gipson, Bryant; Higdon, Dave; et al (February 2021, Nature Communications)

   Abstract Human mobility is a primary driver of infectious disease spread. However, existing data is limited in availability, coverage, granularity, and timeliness. Data-driven forecasts of disease dynamics are crucial for decision-making by health officials and private citizens alike. In this work, we focus on a machine-learned anonymized mobility map (hereon referred to as AMM) aggregated over hundreds of millions of smartphones and evaluate its utility in forecasting epidemics. We factor AMM into a metapopulation model to retrospectively forecast influenza in the USA and Australia. We show that the AMM model performs on-par with those based on commuter surveys, which are sparsely available and expensive. We also compare it with gravity and radiation based models of mobility, and find that the radiation model’s performance is quite similar to AMM and commuter flows. Additionally, we demonstrate our model’s ability to predict disease spread even across state boundaries. Our work contributes towards developing timely infectious disease forecasting at a global scale using human mobility datasets expanding their applications in the area of infectious disease epidemiology. 

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5. Identification of optimally stable nanocluster geometries via mathematical optimization and density-functional theory

   https://doi.org/10.1039/c9me00108e  

   Isenberg, Natalie M.; Taylor, Michael G.; Yan, Zihao; Hanselman, Christopher L.; Mpourmpakis, Giannis; Gounaris, Chrysanthos E. (January 2020, Molecular Systems Design & Engineering)

   null (Ed.)

   Small nanoparticles, a.k.a. nanoclusters, of transition metals have been studied extensively for a wide range of applications due to their highly tunable properties dependent on size, structure, and composition. For these small particles, there has been considerable effort towards theoretically predicting what is the most energetically favorable arrangement of atoms when forming a nanocluster. In this work, we develop a computational framework that couples density-functional theory calculations with mathematical optimization modeling to identify highly stable, mono-metallic transition metal nanoclusters of various sizes. This is accomplished by devising and solving a rigorous mathematical optimization model that maximizes a general cohesive energy function to obtain nanocluster structures of provably maximal cohesiveness. We then utilize density-functional theory calculations and error term regression to identify model corrections that are necessary to account with better accuracy for different transition metals. This allows us to encode metal-specific, analytical functions for cohesive energy into a mathematical optimization-based framework that can accurately predict which nanocluster geometries will be most cohesive according to density-functional theory calculations. We employ our framework in the context of Ag, Au, Cu, Pd and Pt, and we present sequences of highly cohesive nanoclusters for sizes up to 100 atoms, yielding insights into structures that might be experimentally accessible and/or structures that could be used as model nanoclusters for further study. 

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