3 papers in the archive (2023–2025), average empirical rigor 2/10, average math complexity 8.7/10. Quadrant mix: Lab Rats ×3.
Works mostly in Crypto Markets & DeFi, Market Microstructure, Volatility Modeling & Forecasting, Stochastic Control & Optimal Stopping.
Frequent co-authors: Joseph Najnudel (1), Shen-Ning Tung (1), Ju-Yi Yen (1), Wenyuan Wang (1), Zuo Quan Xu (1), Kaixin Yan (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We present a model for price dynamics in the Automated Market Makers (AMM) setting. Within this framework, we propose a reference market price following a geometric Brownian motion. The AMM price is constrained by upper and lower bounds, determined by constant multiplications of the reference price.
We consider a version of the continuous-time multi-armed bandit problem where decision opportunities arrive at Poisson arrival times, and study its Gittins index policy. When driven by spectrally one-sided Lévy processes, the Gittins index can be written explicitly in terms of the scale function, an
In this paper, we examine a modified version of de Finetti’s optimal dividend problem, incorporating fixed transaction costs and altering the surplus process by introducing two-valued drift and two-valued volatility coefficients. This modification aims to capture the transitions or adjustments in th