{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,1,24]],"date-time":"2025-01-24T05:10:19Z","timestamp":1737695419815,"version":"3.33.0"},"reference-count":42,"publisher":"IEEE","license":[{"start":{"date-parts":[[2024,11,26]],"date-time":"2024-11-26T00:00:00Z","timestamp":1732579200000},"content-version":"stm-asf","delay-in-days":0,"URL":"https:\/\/doi.org\/10.15223\/policy-029"},{"start":{"date-parts":[[2024,11,26]],"date-time":"2024-11-26T00:00:00Z","timestamp":1732579200000},"content-version":"stm-asf","delay-in-days":0,"URL":"https:\/\/doi.org\/10.15223\/policy-037"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2024,11,26]]},"DOI":"10.1109\/bcca62388.2024.10844460","type":"proceedings-article","created":{"date-parts":[[2025,1,22]],"date-time":"2025-01-22T18:46:32Z","timestamp":1737571592000},"page":"774-781","source":"Crossref","is-referenced-by-count":0,"title":["Optimal Portfolios Of Liquidity Positions"],"prefix":"10.1109","author":[{"given":"Dmitry","family":"Kroo","sequence":"first","affiliation":[{"name":"MIPT,Dept. of Blockchain,Moscow,Russia"}]},{"given":"Vladimir","family":"Gorgadze","sequence":"additional","affiliation":[{"name":"MIPT,Dept. of Blockchain,Moscow,Russia"}]},{"given":"George","family":"Ovchinnikov","sequence":"additional","affiliation":[{"name":"Skoltech,Center for AI Tech,Moscow,Russia"}]},{"given":"Artem","family":"Barger","sequence":"additional","affiliation":[{"name":"IdeaDLT,Blockchain Consulting,Haifa,Israel"}]}],"member":"263","reference":[{"key":"ref1","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3636514"},{"key":"ref2","doi-asserted-by":"publisher","DOI":"10.1016\/j.orl.2023.03.002"},{"key":"ref3","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3550601"},{"key":"ref4","article-title":"Trading volume and liquidity provision in cryptocurrency markets","author":"Bianchi","year":"2019","journal-title":"SSRN"},{"article-title":"Automated Market Making and Loss-Versus-Rebalancing","year":"2024","author":"Milionis","key":"ref5"},{"key":"ref6","article-title":"A risk-based explanation of cryptocurrency returns","author":"Bianchi","year":"2021","journal-title":"SSRN"},{"key":"ref7","article-title":"Uniswap V2 Subgraph"},{"article-title":"A non-custodial portfolio manager, liquidity provider, and price sensor","year":"2019","author":"Martinelli","key":"ref8"},{"key":"ref9","article-title":"Automatic market-making with dynamic peg","volume-title":"Curve","author":"Egorov","year":"2021"},{"key":"ref10","article-title":"Uniswap v3 Core","volume-title":"Uniswap Labs","author":"Adams","year":"2021"},{"key":"ref11","doi-asserted-by":"publisher","DOI":"10.1145\/3558535.3559780"},{"key":"ref12","doi-asserted-by":"crossref","first-page":"612","DOI":"10.1016\/B978-0-12-407948-9.00010-4","article-title":"Variations on Brownian Motion","volume-title":"Introduction to Probability Models","author":"Ross","year":"2014"},{"key":"ref13","doi-asserted-by":"publisher","DOI":"10.1137\/1.9780898719857.ch13"},{"key":"ref14","doi-asserted-by":"publisher","DOI":"10.1007\/BF01589116"},{"key":"ref15","doi-asserted-by":"publisher","DOI":"10.1080\/00036840903388285"},{"key":"ref16","doi-asserted-by":"crossref","DOI":"10.2139\/ssrn.4529513","article-title":"An economic model of a decentralized exchange with concentrated liquidity","volume-title":"SSRN Electronic Journal","author":"Hasbrouck","year":"2023"},{"issue":"7","key":"ref17","first-page":"2493","article-title":"Optimal liquidity provision","volume-title":"Stochastic Processes and Their Applications","volume":"125","author":"K\u00fchn","year":"2015"},{"article-title":"Sok: decentralized exchanges (dex) with automated market maker (amm) protocols","year":"2021","author":"Xu","key":"ref18"},{"key":"ref19","doi-asserted-by":"crossref","DOI":"10.1145\/3474374.3486916","article-title":"Your smart contracts are not secure","volume-title":"Proceedings of the 3rd Workshop on Cyber-Security Arms Race","author":"Tjiam"},{"key":"ref20","doi-asserted-by":"crossref","DOI":"10.1109\/ICBC56567.2023.10174947","article-title":"Decentralized exchanges: the profitability frontier of constant product market makers","author":"Bitterli","year":"2023"},{"article-title":"Delta hedging liquidity positions on automated market makers","year":"2022","author":"Khakhar","key":"ref21"},{"key":"ref22","doi-asserted-by":"crossref","DOI":"10.1145\/3558535.3559772","article-title":"Risks and returns of uniswap v3 liquidity providers","author":"Heimbach","year":"2022"},{"key":"ref23","first-page":"182","article-title":"Multi-portfolio optimization: a potential game approach","volume-title":"Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering","author":"Yang","year":"2012"},{"issue":"1","key":"ref24","first-page":"49","article-title":"Credit risk optimization using factor models","volume-title":"Annals of Operations Research","volume":"152","author":"Saunders","year":"2006"},{"key":"ref25","doi-asserted-by":"crossref","DOI":"10.2139\/ssrn.1344583","article-title":"Optimal liquidation in dark pools","volume-title":"SSRN Electronic Journal","author":"Kratz","year":"2012"},{"key":"ref26","doi-asserted-by":"crossref","DOI":"10.2139\/ssrn.1995421","article-title":"Portfolio liquidation in dark pools in continuous time","volume-title":"SSRN Electronic Journal","author":"Kratz","year":"2012"},{"key":"ref27","doi-asserted-by":"crossref","DOI":"10.1145\/2020408.2020588","article-title":"Meta optimization and its application to portfolio selection","volume-title":"Proceedings of the 17th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining","author":"Das"},{"issue":"2","key":"ref28","first-page":"5","article-title":"Optimal execution of portfolio transactions","volume-title":"The Journal of Risk","volume":"3","author":"Almgren","year":"2001"},{"key":"ref29","doi-asserted-by":"crossref","DOI":"10.1145\/3558535.3559784","article-title":"Sok: preventing transaction reordering manipulations in decentralized finance","author":"Heimbach","year":"2022"},{"article-title":"Liquidity provider returns in geometric mean markets","year":"2020","author":"Evans","key":"ref30"},{"key":"ref31","doi-asserted-by":"crossref","DOI":"10.21428\/58320208.c9738e64","article-title":"An analysis of uniswap markets","volume-title":"Cryptoeconomic Systems","author":"Angeris","year":"2020"},{"key":"ref32","doi-asserted-by":"crossref","DOI":"10.1145\/3419614.3423251","article-title":"Improved price oracles: constant function market makers","volume-title":"SSRN Electronic Journal","author":"Angeris","year":"2020"},{"key":"ref33","doi-asserted-by":"crossref","DOI":"10.2139\/ssrn.4267429","article-title":"Liquidity fragmentation on decentralized exchanges","volume-title":"SSRN Electronic Journal","author":"Lehar","year":"2022"},{"key":"ref34","doi-asserted-by":"crossref","DOI":"10.2139\/ssrn.4529513","article-title":"An economic model of a decentralized exchange with concentrated liquidity","volume-title":"SSRN Electronic Journal","author":"Hasbrouck","year":"2023"},{"key":"ref35","first-page":"457","article-title":"The taxonomy of blockchain-based technology in the financial industry","volume-title":"F1000Research","volume":"12","author":"Alamsyah"},{"article-title":"Privacy-preserving decentralized exchange marketplaces","year":"2021","author":"Govindarajan","key":"ref36"},{"article-title":"Automated market makers for decentralized finance (defi)","year":"2020","author":"Wang","key":"ref37"},{"article-title":"Liquidity Providers Greeks and Impermanent Gain","year":"2023","author":"Bardoscia","key":"ref38"},{"key":"ref39","doi-asserted-by":"publisher","DOI":"10.2478\/danb-2020-0015"},{"key":"ref40","doi-asserted-by":"publisher","DOI":"10.1080\/13504851.2019.1697420"},{"key":"ref41","doi-asserted-by":"publisher","DOI":"10.1080\/00036846.2018.1488076"},{"key":"ref42","doi-asserted-by":"publisher","DOI":"10.1016\/j.physa.2020.125354"}],"event":{"name":"2024 6th International Conference on Blockchain Computing and Applications (BCCA)","start":{"date-parts":[[2024,11,26]]},"location":"Dubai, United Arab Emirates","end":{"date-parts":[[2024,11,29]]}},"container-title":["2024 6th International Conference on Blockchain Computing and Applications (BCCA)"],"original-title":[],"link":[{"URL":"http:\/\/xplorestaging.ieee.org\/ielx8\/10844360\/10844378\/10844460.pdf?arnumber=10844460","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,1,23]],"date-time":"2025-01-23T06:26:01Z","timestamp":1737613561000},"score":1,"resource":{"primary":{"URL":"https:\/\/ieeexplore.ieee.org\/document\/10844460\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024,11,26]]},"references-count":42,"URL":"https:\/\/doi.org\/10.1109\/bcca62388.2024.10844460","relation":{},"subject":[],"published":{"date-parts":[[2024,11,26]]}}}