Concave Continuation: Linking Routing to Arbitrage
Optimization and Control
2026-04-06 v1 Trading and Market Microstructure
Abstract
We extend AMM trade functions to negative inputs via the \textit{concave continuation}, derived from the invariance of the local conservation law under allocation direction flips. This unifies routing and arbitrage into a single problem. We extend the one-hop transfer algorithm proposed in \cite{jiang} to this setting.
Cite
@article{arxiv.2604.02909,
title = {Concave Continuation: Linking Routing to Arbitrage},
author = {Ruichao Jiang and Long Wen},
journal= {arXiv preprint arXiv:2604.02909},
year = {2026}
}