Related papers: Replicating Market Makers
The circumcentered-reflection method (CRM) has been recently proposed as a methodology for accelerating several algorithms for solving the Convex Feasibility Problem (CFP), equivalent to finding a common fixed-point of the orthogonal…
This work analytically characterizes impermanent loss for automated market makers (AMMs) in decentralized markets such as Uniswap or Balancer (CPMM). We derive a static replication formula for the pool's value using a combination of…
This article analytically characterizes the impermanent loss for automatic market makers in decentralized exchanges such as Uniswap or Balancer (CPMM). We present a theoretical static replication formula for the pool value using a…
Automated market makers (AMM) have grown to obtain significant market share within the cryptocurrency ecosystem, resulting in a proliferation of new products pursuing exotic strategies for horizontal differentiation. Yet, their theoretical…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
This paper introduces and analyzes \emph{defensive rebalancing}, a novel mechanism for protecting constant-function market makers (CFMMs) from value leakage due to arbitrage. A \emph{rebalancing} transfers assets directly from one CFMM's…
Recently, several new pari-mutuel mechanisms have been introduced to organize markets for contingent claims. Hanson introduced a market maker derived from the logarithmic scoring rule, and later Chen and Pennock developed a cost function…
Convex functionals are ubiquitous in applied analysis, appearing as value functions, risk measures, super-hedging prices, and loss functionals in machine learning. In many applications, however, the functional is only observed through…
In this note we provide a full conjugacy and subdifferential calculus for convex convex-composite functions in finite-dimensional space. Our approach, based on infimal convolution and cone-convexity, is straightforward and yields the…
The self-concordant-like property of a smooth convex function is a new analytical structure that generalizes the self-concordant notion. While a wide variety of important applications feature the self-concordant-like property, this concept…
In this work, we introduce a new class of non-convex functions, called implicit concave functions, which are compositions of a concave function with a continuously differentiable mapping. We analyze the properties of their minimization by…
Two popular forms of automated market makers are constant sum and constant product (CSMM and CPMM respectively). Each has its advantages and disadvantages: CSMMs have stable exchange rates but are vulnerable to arbitrage and can sometimes…
We propose Functional Flow Matching (FFM), a function-space generative model that generalizes the recently-introduced Flow Matching model to operate in infinite-dimensional spaces. Our approach works by first defining a path of probability…
The paper studies a general scheme for constructing metrics on a product of metric spaces by means of a family of continuous convex functions. This construction includes the conventional $p$-metrics and generates metrics that are…
Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs) where exchange rates are set by a trading function. This…
This paper presents a synthesis of the theories of portfolio generating functions and option pricing. The theory of portfolio generation is extended to measure the value of portfolios generated by positive C^{2,1} functions of asset prices…
Although machine learning approaches have been widely used in the field of finance, to very successful degrees, these approaches remain bespoke to specific investigations and opaque in terms of explainability, comparability, and…
The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff function has been proposed. The model is formulated as an integer…
We propose a constructive framework for the super-hedging problem of a European contingent claim under proportional transaction costs in discrete time. Our main contribution is an explicit recursive scheme that computes both the…
The programmable and composable nature of smart contract protocols has enabled the emergence of novel market structures and asset classes that are architecturally frictional to implement in traditional financial paradigms. This fluidity has…