David Siska

University of Edinburgh - School of Mathematics

United Kingdom

http://https://www.maths.ed.ac.uk/~dsiska/

Vega

Vega Holdings Limited

Suite 23 Portland House, Glacis Road

Gibraltar, GX11 1AA

Gibraltar

http://vega.xyz/

  • University of Edinburgh - School of Mathematics

  • Vega

SCHOLARLY PAPERS

8

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Rank 38,187

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Top 38,187

in Total Papers Downloads

2,839

TOTAL CITATIONS

9

Scholarly Papers (8)

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1.

Automated Market Makers Designs Beyond Constant Functions

Number of pages: 34 Posted: 25 May 2023 Last Revised: 17 Apr 2024
Álvaro Cartea, Fayçal Drissi, Leandro Sánchez-Betancourt, David Siska and Lukasz Szpruch
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Mathematical Institute, University of Oxford, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 688 (81,180)
Citation 4

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decentralised finance, automated market making, smart contracts, algorithmic trading, market making, stochastic AMMs

2.

Market Based Mechanisms for Incentivising Exchange Liquidity Provision

Number of pages: 15 Posted: 14 Aug 2020 Last Revised: 13 Apr 2021
Witold Gawlikowicz, Barnaby Mannerings, Tamlyn Rudolph and David Siska
Vega, Vega, Vega and University of Edinburgh - School of Mathematics
Downloads 504 (120,170)

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Liquidity, Market Based Mechanism Design, Radical Markets, Agent Based Models

3.

Strategic Bonding Curves in Automated Market Makers

Number of pages: 40 Posted: 26 Nov 2024
Álvaro Cartea, Fayçal Drissi, Leandro Sánchez-Betancourt, David Siska and Lukasz Szpruch
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, Mathematical Institute, University of Oxford, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 444 (141,490)

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decentralised finance, automated market making, smart contracts, algorithmic trading, market making, stochastic AMMs, Uniswap v4, hooks

4.

Robust Pricing and Hedging via Neural SDEs

Number of pages: 34 Posted: 05 Aug 2020
Patryk Gierjatowicz, Marc Sabate-Vidales, David Siska, Lukasz Szpruch and Zan Zuric
University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics and Kaiju Capital Management
Downloads 431 (144,881)
Citation 2

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Stochastic Differential Equations, Deep Neural Network, Derivative Pricing, Stochastic Gradient Descent

5.

The Case for Variable Fees in Constant Product Markets: An Agent Based Simulation

Number of pages: 10 Posted: 06 Apr 2022
Marc Sabate-Vidales and David Siska
University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 284 (229,745)

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DeFi, Agent-based model, Liquidity, Constant product market, Reinforcement learning, Market Microstructure

6.

Incentives for Model Calibration on Decentralized Derivatives Exchanges: Consensus in Continuum

Number of pages: 15 Posted: 25 Feb 2020
David Siska
University of Edinburgh - School of Mathematics
Downloads 250 (260,602)
Citation 1

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Game Theory, Model Calibration, Nash Equilibrium, Derivatives

7.

Inefficiency of CFMs: Hedging Perspective and Agent-Based Simulations

Number of pages: 11 Posted: 10 Feb 2023
Samuel N. Cohen, Marc Sabate-Vidales, David Siska and Lukasz Szpruch
University of Oxford - Mathematical Institute, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 133 (458,332)
Citation 2

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8.

Competitive pricing using model-based bandits

Number of pages: 52 Posted: 10 Apr 2024 Last Revised: 06 Dec 2024
Lukasz Sliwinski, Tanut Treetanthiploet, David Siska and Lukasz Szpruch
University of Edinburgh - School of Mathematics, University of Oxford - Mathematical Institute, University of Edinburgh - School of Mathematics and University of Edinburgh - School of Mathematics
Downloads 105 (549,094)

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algorithmic pricing, multi-armed bandits, pricing game