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Papers

How the protocol works from technical, economical and mathematical perspectives
  1. Protocol whitepaper

    This whitepaper describes the protocol and explores how traders, market makers, and node operators interact to collectively run high performance, fully decentralised markets in a deterministic way without the need for human intervention.

  2. Technical overview

    This three-page document describes the architecture and trading core components of the Vega framework, from an engineering perspective.

Technical implementations, exploration and innovations
  1. Unbiased deep solvers for parametric PDEs

    This research is co-authored by Dr David Siska and provides several algorithms for how to train appropriate neural networks that can be used to price derivatives and tests to validate them.

  2. Incentives for Model Calibration on Decentralised Derivatives Exchanges: Consensus in Continuum

    In this research, Dr David Siska writes on the problem of risk model calibration faced by all decentralised derivative exchanges, and presents empirical results for simple situations that arise when the risk model is assumed to be a linear function of calibration parameters.

  3. Wendy, the Good Little Fairness Widget

    Current blockchains either provide explicit ways to front run or leave transaction ordering to the full discretion of the miners. In this paper Klaus Kursawe proposes a new definition of fairness in terms of transaction ordering on blockchains using local time.

  4. Market Based Mechanisms for Incentivising Exchange Liquidity Provision

    A key problem for exchanges is how to attract liquidity providers and retain their support in all market conditions. This paper develops mechanisms for creating open, automated and scalable liquidity markets. It outlines formal methods to quantify liquidity, determine its price and allocate rewards derived from trading fees between market makers.

  5. Wendy grows up

    Klaus Kursawe has developed his original research for Wendy, the good little fairness widget, to include a framework for implementation across all blockchains and a simulator to calculate latency and throughput implications.