A Fault Location Method Based on Electromagnetic Transient Convolution Considering Frequency-Dependent Parameters and Lossy Ground

no code implementations • 29 Dec 2022 • Guanbo Wang, Chijie Zhuang, Jun Deng, Zhicheng Xie

In this paper, we propose a fault location method that utilizes electromagnetic transient convolution (EMTC).

Static Replication of Impermanent Loss for Concentrated Liquidity Provision in Decentralised Markets

no code implementations • 24 May 2022 • Jun Deng, Hua Zong, Yun Wang

This article analytically characterizes the impermanent loss of concentrated liquidity provision for automatic market makers in decentralised markets such as Uniswap.

Net Buying Pressure and the Information in Bitcoin Option Trades

no code implementations • 6 Sep 2021 • Carol Alexander, Jun Deng, Jianfen Feng, Huning Wan

How do supply and demand from informed traders drive market prices of bitcoin options?

Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets

no code implementations • 9 Feb 2021 • Zhiyong Cheng, Jun Deng, Tianyi Wang, Mei Yu

Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long and short futures positions.

Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading

no code implementations • 4 Jan 2021 • Carol Alexander, Jun Deng, Bin Zou

We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice.

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