WORKING PAPERS
Aggregating Distributed Plug & Play Battery Storage Units: Effects on Local Grid Dynamics and Efficiency. Paper 208, CIRED CONFERENCE 2025.
This study presents a field experiment in Zeeland, Netherlands, that evaluates the effectiveness of residential battery storage within a VPP framework in achieving peak shaving and enhancing grid stability at the low voltage level. Launched in July 2024 in collaboration with Stedin, the experiment involves deploying 1 kW residential plug-and-play battery storage devices— Flexbox—across 20 households equipped with photovoltaic panels. The batteries are scheduled to address daily injection and consumption peaks, with a gradient boosting model used to forecast the peaks. From July to September 2024, the VPP mitigated 42% of injection peaks and 79% of consumption peaks, achieving average daily reductions of 12.5% and 20%, respectively. Simulations further suggest that scaling the VPP to 140 batteries could decrease average daily peaks by 51% for injection and 98% for consumption. These findings highlight the potential of distributed battery storage, in supporting grid stability and enhancing renewable energy integration.
The Market Microstructure of Uniswap (Job Market Paper)
Uniswap is the largest decentralized exchange operating on the Ethereum Blockchain. It allows users to exchange one cryptoasset for another through liquidity pools whose exchange rate is set algorithmically. Uniswap has gained popularity as an oracle, providing real-time price data to diverse Decentralized Finance (DeFi) protocols. To maintain its reputation as a reliable oracle, it is crucial that Uniswap's prices closely track reference market prices. This accuracy in pricing crucially relies on arbitrage activity. However, inventory holding costs can impact the ability of traders to engage in arbitrage. This paper develops a microstructure model to analyze the impact of these costs on the price accuracy of Uniswap. The model is estimated using price data from Uniswap and Binance. I find that traders are less likely to close the arbitrage opportunities as the size of the pool increases, a finding that is in line with the impact of inventory holding costs.
Contagion in Decentralized Lending Protocols: A Case Study of Compound (join work with Julien Prat, Natkamon Tovanich and Simon Weidenholze). Proceedings of the 2023 Workshop on Decentralized Finance and Security, ACM, Nov 2023, Copenhagen, Denmark. ⟨10.1145/3605768.3623544⟩. [hal-04221228]
We study financial contagion in Compound V2, a decentralized lending protocol deployed on the Ethereum blockchain. We explain how to construct the balance sheets of Compound's liquidity pools and use our methodology to characterize the financial network. Our analysis reveals that most users either borrow stablecoins or engage in liquidity mining. We then study the robustness of Compound through a series of stress tests, identifying the pools that are most likely to set off a cascade of defaults.
SoK: Constant Function Market Makers (with Michele Fabi and Julien Prat). Chapter 10 in “A Companion to Decentralized Finance, Digital Assets and Blockchain Technologies”, edited by Eward Elgar Publishing Ltd) [working paper version]
We provide an overview of the academic literature on Automated Market Makers for Decentralized Exchanges. Our review puts an emphasis on contributions from researchers in economics and finance. We cover papers that study the optimal design of Automated Market Makers. Then we discuss models that leverage the insights from the literature on two-sided markets to characterize the equilibrium size of liquidity pools and the incentives of liquidity providers. Finally, we review recent research on the interactions between Miner Extractible Value and Decentralized Exchanges.
SURVEY
Along with other academic researchers, we created the first large-scale survey mapping the diversity and the energy of crypto space as a whole.
The survey - available in several languages - covers broad aspects of both the crypto and financial sphere, with special emphasis in investor’s socioeconomic characteristics and knowledge.
This is our webpage https://stateofcrypto.net/.
SUMMER SCHOOLS & WORKSHOPS
Blockchain@X-OMI Workshop on Blockchain and Decentralized Finance, Ecole Polytechnique,, Sept. 2023.
Co-organized by Blockchain@X Research Center (Ecole Polytechnique) and Oxford-Man Institute of Quantitative Finance (University of Oxford).
ERC Summer School/PhD Workshop on Incentives in Finance, HEC Paris, Sept. 2023.
MEGA ACE Summer School, Algorand Foundation, May 2023.