Let the winter come
Winter is not a catastrophe; it is a testament that DeFi can adapt and grow.
Notes
Posts, essays, and research notes on quantitative finance, frontier assets, and machine learning.
Auction Design and Price Discovery in Decentralized Markets
Seminar at the National University of Singapore. Classical auction formats, game-theoretic foundations, Revenue Equivalence Theorem, and applications to decentralized markets.
The fallacy of compute
Big data promised to reveal unseen patterns. Machine learning promised to unearth insights into big data. GenAI now promises actionable understanding.
Market Fragmentation in Digital Assets
Seminar at the Nanyang Technological University. Structure, liquidity and implications of fragmentation across CEX and DEX venues.
Is AI becoming taboo in mathematics?
The danger isn't AI in mathematics; it's using it in secret.
Arbitrage-free pricing on blockchains with the "Validator Account"
Staking rewards are protocol-guaranteed and deterministic. We introduce the first formal risk-free rate framework for blockchain assets.
Conversation on AI‑Driven finance
I joined Derek Ting on his "What I Think" podcast to walk through AI's evolution; from basic regressions to transformers, and what that means for finance today.
Using LLMs to quantify the Fed's Beige Book
Eight times a year, the Federal Reserve publishes a qualitative report that influences trillion-dollar decisions. Can we use LLMs to process it faster?
BTC and ETH display intraday seasonality
The January 2024 approval of the US Bitcoin ETF was hailed as a watershed moment. What actually changed in the market?