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