Related papers: Implementing Automated Market Makers with Constant…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
A review of the Loop Algorithm, its generalizations, and its relation to some other Monte Carlo techniques is given. The loop algorithm is a Quantum Monte Carlo procedure which employs nonlocal changes of worldline configurations,…
In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely follows the dynamics of the given…
The prosperity of the cryptocurrency ecosystem drives the need for digital asset trading platforms. Beyond centralized exchanges (CEXs), decentralized exchanges (DEXs) are introduced to allow users to trade cryptocurrency without…
There is a need for a simulation framework, which is develop as a software using modern engineering approaches (e.g., modularity --i.e., model reuse--, testing, continuous development and continuous integration, automated management of…
The study proposes a quote-driven predictive automated market maker (AMM) platform with on-chain custody and settlement functions, alongside off-chain predictive reinforcement learning capabilities to improve liquidity provision of…
Automated Market Makers (AMMs) are a class of smart contracts on Ethereum and other blockchains that "make markets" autonomously. In other words, AMMs stand ready to trade with other market participants that interact with them, at the…
We study automatic sequences and automatic systems generated by general constant length (nonprimitive) substitutions. While an automatic system is typically uncountable, the set of automatic sequences is countable, implying that most…
Current approaches to the cryptocurrency automated market makers result in poor impermanent loss and capital efficiency. We analyze the mechanics underlying DODO Exchange's proactive market maker (PMM) to probe for solutions to these…
We consider here systems with piecewise linear dynamics that are periodically sampled with a given period {\tau} . At each sampling time, the mode of the system, i.e., the parameters of the linear dynamics, can be switched, according to a…
This paper proposes a novel continuous Local Flexibility Market where active power flexibility located in the distribution system can be traded. The market design engages the Market Operator, the Distribution System Operator and Market…
This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting assume constant intensities between consecutive events. We…
We develop an axiomatic theory for Automated Market Makers (AMMs) in local energy sharing markets and analyze the Markov Perfect Equilibrium of the resulting economy with a Mean-Field Game. In this game, heterogeneous prosumers solve a…
A syntactic model is presented for the specification of finite-state synchronous digital logic systems with complex input/output interfaces, which control the flow of data between opaque computational elements, and for the composition of…
We present a novel Exchange Monte Carlo (EMC) method designed for application in continuous-space Path Integral Monte Carlo (PIMC) simulations at finite temperature. Traditional PIMC methods for bosonic systems suffer from long…
In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…
An electronic circuit realization of the logistic difference equation is presented using analog electronics. The behavior of the realized system is evaluated against computer simulations of the same. The circuit is found to exhibit the…
In this paper, we investigate system theoretic properties of transient average constrained economic model predictive control (MPC) without terminal constraints. We show that the optimal open-loop solution passes by the optimal steady-state…
Non Fungible Token (NFT) Industry has been witnessing multi-million dollar trade in recent times. With rapid innovation of the NFT market environment by technology, innovation, and decentralization, it is becoming hard to distinguish…
Constant Function Market Makers (CFMMs) are a tool for creating exchange markets, have been deployed effectively in prediction markets, and are now especially prominent in the Decentralized Finance ecosystem. We show that for any set of…