2 Search Results for "Mladenic, Dunja"

Document
DOI: 10.4230/LIPIcs.AFT.2024.25
Adaptive Curves for Optimally Efficient Market Making

Authors: Viraj Nadkarni, Sanjeev Kulkarni, and Pramod Viswanath

Published in: LIPIcs, Volume 316, 6th Conference on Advances in Financial Technologies (AFT 2024)

Abstract
Automated Market Makers (AMMs) are essential in Decentralized Finance (DeFi) as they match liquidity supply with demand. They function through liquidity providers (LPs) who deposit assets into liquidity pools. However, the asset trading prices in these pools often trail behind those in more dynamic, centralized exchanges, leading to potential arbitrage losses for LPs. This issue is tackled by adapting market maker bonding curves to trader behavior, based on the classical market microstructure model of Glosten and Milgrom. Our approach ensures a zero-profit condition for the market maker’s prices. We derive the differential equation that an optimal adaptive curve should follow to minimize arbitrage losses while remaining competitive. Solutions to this optimality equation are obtained for standard Gaussian and Lognormal price models using Kalman filtering. A key feature of our method is its ability to estimate the external market price without relying on price or loss oracles. We also provide an equivalent differential equation for the implied dynamics of canonical static bonding curves and establish conditions for their optimality. Our algorithms demonstrate robustness to changing market conditions and adversarial perturbations, and we offer an on-chain implementation using Uniswap v4 alongside off-chain AI co-processors.
Cite as

Viraj Nadkarni, Sanjeev Kulkarni, and Pramod Viswanath. Adaptive Curves for Optimally Efficient Market Making. In 6th Conference on Advances in Financial Technologies (AFT 2024). Leibniz International Proceedings in Informatics (LIPIcs), Volume 316, pp. 25:1-25:22, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2024)

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@InProceedings{nadkarni_et_al:LIPIcs.AFT.2024.25,
  author =	{Nadkarni, Viraj and Kulkarni, Sanjeev and Viswanath, Pramod},
  title =	{{Adaptive Curves for Optimally Efficient Market Making}},
  booktitle =	{6th Conference on Advances in Financial Technologies (AFT 2024)},
  pages =	{25:1--25:22},
  series =	{Leibniz International Proceedings in Informatics (LIPIcs)},
  ISBN =	{978-3-95977-345-4},
  ISSN =	{1868-8969},
  year =	{2024},
  volume =	{316},
  editor =	{B\"{o}hme, Rainer and Kiffer, Lucianna},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/LIPIcs.AFT.2024.25},
  URN =		{urn:nbn:de:0030-drops-209612},
  doi =		{10.4230/LIPIcs.AFT.2024.25},
  annote =	{Keywords: Automated market makers, Adaptive, Glosten-Milgrom, Decentralized Finance}
}
Document
DOI: 10.4230/DagSemProc.08391.6
08391 Working Group Summary – Analyzing Tag Semantics Across Tagging Systems

Authors: Dominik Benz, Marko Grobelnik, Andreas Hotho, Robert Jäschke, Dunja Mladenic, Vito D. P. Servedio, Sergej Sizov, and Martin Szomszor

Published in: Dagstuhl Seminar Proceedings, Volume 8391, Social Web Communities (2008)

Abstract
The objective of our group was to exploit state-of-the-art Information Retrieval methods for finding associations and dependencies between tags, capturing and representing differences in tagging behavior and vocabulary of various folksonomies, with the overall aim to better understand the semantics of tags and the tagging process. Therefore we analyze the semantic content of tags in the Flickr and Delicious folksonomies. We find that: tag context similarity leads to meaningful results in Flickr, despite its narrow folksonomy character; the comparison of tags across Flickr and Delicious shows little semantic overlap, being tags in Flickr associated more to visual aspects rather than technological as it seems to be in Delicious; there are regions in the tag-tag space, provided with the cosine similarity metric, that are characterized by high density; the order of tags inside a post has a semantic relevance.
Cite as

Dominik Benz, Marko Grobelnik, Andreas Hotho, Robert Jäschke, Dunja Mladenic, Vito D. P. Servedio, Sergej Sizov, and Martin Szomszor. 08391 Working Group Summary – Analyzing Tag Semantics Across Tagging Systems. In Social Web Communities. Dagstuhl Seminar Proceedings, Volume 8391, pp. 1-15, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2008)

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@InProceedings{benz_et_al:DagSemProc.08391.6,
  author =	{Benz, Dominik and Grobelnik, Marko and Hotho, Andreas and J\"{a}schke, Robert and Mladenic, Dunja and Servedio, Vito D. P. and Sizov, Sergej and Szomszor, Martin},
  title =	{{08391 Working Group Summary – Analyzing Tag Semantics Across Tagging Systems}},
  booktitle =	{Social Web Communities},
  pages =	{1--15},
  series =	{Dagstuhl Seminar Proceedings (DagSemProc)},
  ISSN =	{1862-4405},
  year =	{2008},
  volume =	{8391},
  editor =	{Harith Alani and Steffen Staab and Gerd Stumme},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/DagSemProc.08391.6},
  URN =		{urn:nbn:de:0030-drops-17854},
  doi =		{10.4230/DagSemProc.08391.6},
  annote =	{Keywords: Social Web Communities, Folksonomy, Tag, Semantics}
}
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