The Flash Loan Arbitrage bot project entails creating a bot that can use flash loans to perform lucrative arbitrage trades across many decentralised exchanges. To ease arbitrage transactions, the project uses Solidity code to develop a smart contract that interacts with several ERC20 tokens and...

I explore the premise that the abundance of arbitrage capital varies over time and that future asset prices, proxied by a set of cross-sectional stock anomalies, depend on arbitrage capital availability. When arbitrage capital is abundant, investors are able to deploy capital flow successfully,...

Arbitrage trading strategies are a class of trading strategies that involve buying and selling financial instruments to take advantage of price discrepancies. The goal of arbitrage trading is to make a profit from the differences in prices between securities or markets, without taking on...

What role does the selection of an investor and the timing of financing play in initial coin offerings (ICOs)? We investigate the operating and financial performance of ventures conducting ICOs with different types of investors at different points in the ventures’ life cycle. We find that,...

Motivated by the short-lived arbitrage model, we jointly imply volatilities and virtual interest rates of options to develop minimum variance hedge ratios. We use artificial neural networks to capture the dynamics between the underlying asset price and correlated state variables, which improves...

This paper shows how to uniquely price non-traded assets using no-arbitrage in an otherwise friction-less market setting. The approach requires the assumption that the hedging error, properly defined, is non-priced or idiosyncratic risk. This methodology can be applied to private loans, illiquid...

We analyze the run risk of USD-backed stablecoins. Stablecoin issuers aim to keep the stablecoin price at $1 by holding a portfolio of US dollar assets like bank deposits, Treasuries, and corporate bonds while promising to exchange stablecoins for $1 in cash with arbitrageurs. We show that asset...

Automated market makers (AMMs) are a new type of trading venue where the rules for liquidity provision and liquidity taking are considerably different from those of the traditional electronic trading venues. AMMs have become one of the key markets to trade crypto-currencies, whose liquidity is...

We argue that owing to traders' inability to fully express their preferences over the execution times of their orders, contemporary stock market designs are prone to latency arbitrage. In turn, we propose a new order type, which allows traders to specify the time at which their orders are...

This paper rationalizes the LASSO algorithm based on uncertain fat-tail priors and max-min robust optimization. Our rationalization excludes heuristic learning or restrictive prior assumptions in the original interpretation of LASSO (Tibshirani (1996)). In our setting, economic agents...