Related papers: Replicating Monotonic Payoffs Without Oracles
Automated Market Makers (AMMs) are used to provide liquidity for combinatorial prediction markets that would otherwise be too thinly traded. They offer both buy and sell prices for any of the doubly exponential many possible securities that…
A number of recent results on optimization problems involving submodular functions have made use of the multilinear relaxation of the problem. These results hold typically in the value oracle model, where the objective function is…
In this paper, we propose a reflected forward-backward splitting algorithic framework for finding a zero of the sum of finitely many monotone op-erators, including maximally monotone operators, cocoercive operators, and monotone and…
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…
We show how to price and replicate a variety of barrier-style claims written on the $\log$ price $X$ and quadratic variation $\langle X \rangle$ of a risky asset. Our framework assumes no arbitrage, frictionless markets and zero interest…
Nonnegative matrix factorization (NMF) factorizes a non-negative matrix into product of two non-negative matrices, namely a signal matrix and a mixing matrix. NMF suffers from the scale and ordering ambiguities. Often, the source signals…
This article clarifies the relationship between pricing kernel monotonicity and the existence of opportunities for stochastic arbitrage in a complete and frictionless market of derivative securities written on a market portfolio. The…
Automated marker makers (AMMs) are a class of decentralized exchanges that enable the automated trading of digital assets. They accept deposits of digital tokens from liquidity providers (LPs); tokens can be used by traders to execute…
We introduce a new class of automated market maker (AMM), the \emph{partially active automated market maker} (PA-AMM). PA-AMM divides its reserves into two parts, the active and the passive parts, and uses only the active part for trading.…
This whitepaper introduces an innovative mechanism for pricing perpetual contracts and quoting fees to traders based on current market conditions. The approach employs liquidity curves and on-chain oracles to establish a new adaptive…
We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no-arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs.…
We present a construction of a certain infinite complete partial order (CPO) that differs from the standard construction used in Scott's denotational semantics. In addition, we construct several other infinite CPO's. For some of those, we…
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…
This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…
In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then…
The standard approach for compensating liquidity providers on many decentralized exchanges (DEX) for serving as counter-party to swaps is through charging a small percentage of fees. The expected payoff from the cash flow of this mode of…
We detail a simple procedure (easily convertible to an algorithm) for constructing from quasi-uniform samples of $f$ a sequence of linear spline functions converging to the monotone rearrangement of $f$, in the case where $f$ is an almost…
We study axiomatic foundations for different classes of constant-function automated market makers (CFMMs). We focus particularly on separability and on different invariance properties under scaling. Our main results are an axiomatic…
In many classification tasks there is a requirement of monotonicity. Concretely, if all else remains constant, increasing (resp. decreasing) the value of one or more features must not decrease (resp. increase) the value of the prediction.…
We consider a dynamic market model of liquidity where unmatched buy and sell limit orders are stored in order books. The resulting net demand surface constitutes the sole input to the model. We prove that generically there is no arbitrage…