Related papers: A Note on Optimal Fees for Constant Function Marke…
We derive the stochastic price process for tokens whose sole price discovery mechanism is a constant-product automated market maker (AMM). When the net flow into the pool follows a diffusion, the token price follows a constant elasticity of…
We study the trading activity of designated market makers (DMMs) in electronic markets using a unique dataset with audit-trail information on trader classification. DMMs may either adhere to their market-making agreements and offer…
We investigate how liquidity providers (LPs) choose between high- and low-fee trading venues, in the face of a fixed common gas cost. Analyzing Uniswap data, we find that high-fee pools attract 58% of liquidity supply yet execute only 21%…
In many markets, like electricity or cloud computing markets, providers incur large costs for keeping sufficient capacity in reserve to accommodate demand fluctuations of a mostly fixed user base. These costs are significantly affected by…
We present the first analysis of Fisher markets with buyers that have budget-additive utility functions. Budget-additive utilities are elementary concave functions with numerous applications in online adword markets and revenue optimization…
This paper introduces Capability-Priced Micro-Markets (CPMM), a micro-economic framework designed to enable robust, scalable, and secure commerce among autonomous AI agents on the agentic web. The framework addresses the fundamental…
We consider the impact of trading fees on the profits of arbitrageurs trading against an automated market maker (AMM) or, equivalently, on the adverse selection incurred by liquidity providers (LPs) due to arbitrage. We extend the model of…
In decentralized finance ("DeFi"), automated market makers (AMMs) enable traders to programmatically exchange one asset for another. Such trades are enabled by the assets deposited by liquidity providers (LPs). The goal of this paper is to…
Triangle fees are a novel fee structure for AMMs, in which marginal fees are decreasing in a trade's size. That decline is proportional to the movement in the AMM's implied price, i.e. for every basis point the trade moves the ratio of…
We consider a single buyer with a combinatorial preference that would like to purchase related products and services from different vendors, where each vendor supplies exactly one product. We study the general case where subsets of products…
Price benchmarks are used to incorporate market price trends into contracts, but their use can create opportunities for manipulation by parties involved in the contract. This paper examines this issue using a realistic and tractable model…
Both ride-hailing services and electric vehicles are becoming increasingly popular and it is likely that charging management of the ride-hailing vehicles will be a significant part of the ride-hailing company's operation in the near future.…
Within a common arbitrage-free semimartingale financial market we consider the problem of determining all Nash equilibrium investment strategies for $n$ agents who try to maximize the expected utility of their relative wealth. The utility…
The recently proposed Transaction Fee Mechanism (TFM) literature studies the strategic interaction between the miner of a block and the transaction creators (or users) in a blockchain. In a TFM, the miner includes transactions that maximize…
Dynamic-weight AMMs (aka Temporal Function Market Makers, TFMMs) implement algorithmic asset allocation, analogous to index or smart beta funds, by continuously updating pools' weights. A strategy updates target weights over time, and…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
Important pricing problems in centralized matching markets -- such as carpooling, food delivery and freight shipping platforms -- often exhibit a bi-level structure. At the upper level, the platform sets prices for heterogeneous demand…
We consider the scenario where $N$ utilities strategically bid for electricity in the day-ahead market and balance the mismatch between the committed supply and actual demand in the real-time market, with uncertainty in demand and local…
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…