An empirical study of DeFi liquidations

Financial speculators often seek to increase their potential gains with leverage. Debt is a popular form of leverage, and with over 39.88B USD of total value locked (TVL), the Decentralized Finance (DeFi) lending markets are thriving. Debts, however, entail the risks of liquidation, the process of selling the debt collateral at a discount to liquidators. Nevertheless, few quantitative insights are known about the existing liquidation mechanisms. In this paper, to the best of our knowledge, we are the first to study the breadth of the borrowing and lending markets of the Ethereum DeFi ecosystem. We focus on Aave, Compound, MakerDAO, and dYdX, which collectively represent over 85% of the lending market on Ethereum. Given extensive liquidation data measurements and insights, we systematize the prevalent liquidation mechanisms and are the first to provide a methodology to compare them objectively. We find that the existing liquidation designs well incentivize liquidators but sell excessive amounts of discounted collateral at the borrowers’ expenses. We measure various risks that liquidation participants are exposed to and quantify the instabilities of existing lending protocols. Moreover, we propose an optimal strategy that allows liquidators to increase their liquidation profit, which may aggravate the loss of borrowers

a4a short research project. Spatial effects on the stock dynamics of European Atlantic sardine stocks

Under the scope of the a4a Initiative a workshop dedicated to studying spatial effects on the stock dynamics of European Atlantic sardine took place in Ispra, Italy, the 14th to the 18th of December 2015, with the objectives of (i) explore a4a methods to assess the Southern sardine stock (Atlanto-Iberian stock) and compare the results with the current ICES assessment carried out with SS3; (ii) explore a4a methods to assess the Northern stock of sardine stock; and (iii) apply a4a to assess putative sub-stock units; discuss local depletion and mixing among sub-units of the stock. Sardine is fished mainly by UK, Netherlands France, Spain and Portugal across ICES areas VII, VIII and IXa. In France, Spain and Portugal sardine has significant social and economic importance to the fishing and canning industries. Sardine shows a complex population structure characterized by spatial heterogeneity in phenotypic characters and life-history traits. Evidence of spatial variability in dynamics does not preclude some fish mixing across the whole region, in agreement with both genetic homogeneity and the similarity in otolith element composition in larger fish. Current knowledge on sardine biology and dynamics is consistent with the hypothesis of a meta-population composed of three populations recruiting in the Bay of Biscay, off northern Portugal, and in the Gulf of Cadiz. The workshop looked into three options of spatial structures (i) current stock structure Bay of Biscay stock (BB; VIIIa,b) and Ibero Atlantic stock (IB; IXa and VIIIc); (ii) three separate sub-units Bay of Biscay, Northwest stock (NW; VIIIc, IXa-North to IXa-Central South) and South stock (S; IXa South); and (iii) a single stock. The a4a stock assessment model was used to estimate the dynamics of each sub-units in each option. To carry out the comparison across sub-units the models used were kept as similar as possible, to mitigate the effect that the choice of model can have on the final results. Uncertainty was estimated using MCMC with the ADMB implementation, which, in the most recent version, can be assessed through the FLa4a package. In the case of the overall stock, a sensitivity analysis about survey's data processing options was carried out, to investigate the robustness of the assessment results. For the Bay of Biscay a bayesian approach has also been implemented. In order to compare both methods (a4a and bayesian) a very simple separable model was selected. A visual evaluation of the consistency between the spatial hypothesis was done based on the SSB estimates, showing that both trends are remarkably similar until 2012, when they start to diverge. In 2012 the Iberian stock (sub-units NW and S) was at a very low level and the migration rates between the Iberian and the Bay of Biscay sub-units may have increased. In such case, the stock assessment model assumption of closed population is less likely to be maintained and the two estimates of SSB diverge. One of the advantages of the approach proposed is to make it possible to look into sub-units of the stock with regards to their productivity and exploitation. These results are shown as time series of fishing mortality and recruitment for each sub-unit.JRC.E.6-Demography, Migration and Governanc

Challenges of management strategy evaluation for small pelagic fish: the Bay of Biscay anchovy case study

Modelling of major uncertainties in population and fishing dynamics are fundamental for reliable Management Strategy Evaluation. Present work describes the modelling work carried out for the bio-economic impact assessment of alternative Harvest Control Rules (HCRs) for developing a management plan for Bay of Biscay anchovy, using FLBEIA software, and how the modelling work was adapted as new biological information and data sources were available. The underlying general HCR consists of exploiting a proportion of the estimated Spawning Stock Biomass and is operative for two alternative management calendars: July-June or January-December. The final shape of the rule is determined by the harvest rate, the biomass trigger points and the TAC thresholds. The performance of the HCRs is evaluated according to the biological and economic risks, probability of fishery closure, expected average catches and their standard deviation. Robustness of these rules, given alternative recruitment models and quota shares among fleets, is also tested. In general, the inclusion of an available recruitment index allows moving the management calendar from July-June to January-December and leads to higher (~15%) and more stable average catches, while reducing biological risks and the probability of fishery closure (by ~25%). The presence of minimum and maximum TAC levels allowed to improve fishery performance. Recruitment was the uncertainty of major relevance in determining the relative performance of the rules, while there was little effect on biological risk of different quota shares among countries. The simulation results were the cornerstone for the selection of the adopted HCRs by stakeholders and managers.JRC.D.2-Water and Marine Resource

Testing spatial heterogeneity with stock assessment models

This paper describes a methodology that combines meta-population theory and stock assessment models to gain insights about spatial heterogeneity of the meta-population in an operational time frame. The methodology was tested with stochastic simulations for different degrees of connectivity between sub-populations and applied to two case studies, North Sea cod (\emph{Gadus morua}) and Northeast Atlantic sardine (\emph{Sardina pilchardus}). Considering that the biological components of a population can be partitioned into discrete spatial units, we extended this idea into a property of additivity of sub-population abundances. If the additivity results hold true for putative sub-populations, then the sub-populations are isolated spatial components of the meta-population and assessment results based on sub-populations will provide information to develop and monitor the implementation of finer scale/local management. The simulation study confirmed that when sub-populations are independent and not too heterogeneous with regards to productivity, the sum of stock assessment model estimates of sub-populations' SSB is similar to the SSB estimates of the meta-population. It also showed that a strong diffusion process can be detected and that the stronger the connection between SSB and recruitment, the better the diffusion process will be detected. On the other hand it showed that weak to moderate diffusion processes are not easy to identify and large differences between sub-populations productivities may be confounded with weak diffusion processes. The application to North Sea cod and Atlantic sardine exemplified how much insight can be gained. For the North Sea cod there is a large amount of information that advocates the existence of sub-populations and our results support such claim. In relation to sardine not so much information exists, nevertheless the results obtained were sufficiently robust to support the regional analysis.JRC.D.2-Water and Marine Resource

Environmental quality assessment combining sediment metal levels, biomarkers and macrobenthic communities: application to the Óbidos coastal lagoon (Portugal)

Macroinvertebrate benthic communities are one of the key biological components considered for the assessment of benthic integrity in the context of the Water Framework Directive (WFD). However, under moderate contamination scenarios, the assessment of macrobenthic alterations at community level alone could be insufficient to discriminate the environmental quality of coastal and transitional waters. Keeping this in view, sediment quality of moderately contaminated sites in a coastal lagoon (Óbidos lagoon, Portugal) was assessed by the combination of sediment metal levels, Carcinus maenas biomarkers (accumulated metals and oxidative stress responses) and macrobenthic communities. Two sites were selected in confined inner branches (BS and BB) and a third one in the middle lagoon (ML). The site BB presented slightly higher levels of metals in sediment but biological variables calculated for macrobenthic data were not significantly different between sites. The biotic index M-AMBI that is being applied to assess environmental quality of transitional waters in the scope of the WFD pointed either to high (site ML) or good quality status (BS and BB) in the selected sites. However, crabs from BB site presented significantly higher levels of Ni in hepatopancreas than those from ML and macrobenthic community structure was significantly different between BB and ML. Additionally, spatial differences were obtained for oxidative stress parameters suggesting that BB site presented stressors for crabs (higher GST and lower GSH(t) at BB site). Factor analysis (PCA) integrating sediment contamination, biomarkers in crabs and macrobenthic data also distinguished BB site as the most environmentally disturbed. On the other hand, at ML site, some macrobenthic variables (equitability and polychaetes' diversity) were found to be enhanced by current environmental conditions, suggesting the existence of a better sediment quality. Current results pointed to the usefulness of integrating macrobenthic community alterations with responses at organism level (bioaccumulation and biochemical endpoints) in order to increase the accuracy of environmental quality assessment in lagoon systems. Moreover, the application of different statistical methods was also found to be recommendable.publishe