English

Concentrated Superelliptical Market Maker

Trading and Market Microstructure 2024-11-27 v2

Abstract

An automated market maker where the price can cross the zero bound into the negative price domain with applications in electricity, energy, and derivatives markets is presented. A unique feature involves the ability to swap both negatively and positively priced assets between one another, which unlike traditional markets requires a numeraire in the form of a currency. Model extensions to skew and concentrate liquidity are shown. The liquidity fingerprint, payoff, and invariant are compared to the Black-Scholes covered call and the Logarithmic Market Scoring Rule invariants.

Keywords

Cite

@article{arxiv.2410.13265,
  title  = {Concentrated Superelliptical Market Maker},
  author = {Vasily Tolstikov},
  journal= {arXiv preprint arXiv:2410.13265},
  year   = {2024}
}

Comments

8 pages, 5 figures

R2 v1 2026-06-28T19:25:23.584Z