Related papers: Replicating Market Makers
Submodular continuous functions are a category of (generally) non-convex/non-concave functions with a wide spectrum of applications. We characterize these functions and demonstrate that they can be maximized efficiently with approximation…
We develop fixed-point algorithms for the approximation of structured matrices with rank penalties. In particular we use these fixed-point algorithms for making approximations by sums of exponentials, or frequency estimation. For the basic…
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…
A new numerical method is proposed for a 1-D inverse medium scattering problem with multi-frequency data. This method is based on the construction of a weighted cost functional. The weight is a Carleman Weight Function (CWF). In other…
Decentralised automated market makers (AMMs) have gained significant attention recently. We propose an adaptive and automated Dynamic Function Market Maker (DFMM) that addresses challenges in this space. Our DFMM protocol includes a data…
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consist of the pricing of nth-to-default…
Designing automated market makers (AMMs) for prediction markets on combinatorial securities over large outcome spaces poses significant computational challenges. Prior research has primarily focused on combinatorial prediction markets…
With the emergence of decentralized finance, new trading mechanisms called Automated Market Makers have appeared. The most popular Automated Market Makers are Constant Function Market Makers. They have been studied both theoretically and…
Constant Product Market Makers use fees that are typically fixed proportions of trade size. When these fees are automatically reinvested into the pool, as in Uniswap~V2 and some designs of Uniswap V4, the final state after a trade can…
The primary contribution of this paper resides in devising constant-factor approximation guarantees for revenue maximization in two-sided matching markets, under general pairwise rewards. A major distinction between our work and…
Constant function market makers (CFMMs) such as Uniswap, Balancer, Curve, and mStable, among many others, make up some of the largest decentralized exchanges on Ethereum and other blockchains. Because all transactions are public in current…
We propose the convex factorization machine (CFM), which is a convex variant of the widely used Factorization Machines (FMs). Specifically, we employ a linear+quadratic model and regularize the linear term with the $\ell_2$-regularizer and…
We consider a trading marketplace that is populated by traders with diverse trading strategies and objectives. The marketplace allows the suppliers to list their goods and facilitates matching between buyers and sellers. In return, such a…
We introduce a new class of neural networks designed to be convex functions of their inputs, leveraging the principle that any convex function can be represented as the supremum of the affine functions it dominates. These neural networks,…
This paper develops a model-free framework for static fixed-income pricing and the replication of liability cash flows. We show that the absence of static arbitrage across a universe of fixed-income instruments is equivalent to the…
In this paper, the notion of $\mathbb{C}$-simulation function is introduced and the existence and uniqueness of common fixed points of two self-mappings satisfying contractive conditions in the setting of complex valued metric spaces via…
We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information…
Given the univariate marginals of a real-valued, continuous-time martingale, (respectively, a family of measures parameterised by $t \in [0,T]$ which is increasing in convex order, or a double continuum of call prices) we construct a family…
In a universal framework that expresses any market system in terms of state transition rules, we prove that every DeFi market system has an invariant function and is thus by definition a CFMM; indeed, all automated market makers (AMMs) are…
We show that a real-valued function on a topological vector space is positively homogeneous of degree one and nonexpansive with respect to a weak Minkowski norm if and only if it can be written as a minimax of linear forms that are…