Related papers: Replicating Monotonic Payoffs Without Oracles
Automated matching engines execute millions of orders per session, yet systematic asymmetries in latency, order size, and market access compound into persistent execution disparities that erode participant trust. We formulate provably fair…
We prove that, under appropriate conditions, an abstract game with quasi-Leontief payoff functions $u_i : \prod_{j=1}^nX_j\to\mathbb{R}$ has a Nash equilibria. When all the payoff functions are globally quasi-Leontief, the existence and the…
We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem through the lens of continuous-time financial mathematics and…
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models the first two moments of the spot…
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible…
This paper describe the implementation details of constant ellipse based automated market makers (CoinSwap). A CoinSwap prototype has been implemented at http://coinswapapp.io/ and the source codes are available at…
A well-studied nonlinear extension of the minimum-cost flow problem is to minimize the objective $\sum_{ij\in E} C_{ij}(f_{ij})$ over feasible flows $f$, where on every arc $ij$ of the network, $C_{ij}$ is a convex function. We give a…
The financial market is a mission-critical playground for AI agents due to its temporal dynamics and low signal-to-noise ratio. Building an effective algorithmic trading system may require a professional team to develop and test over the…
By the classical Martingale Representation Theorem, replication of random vectors can be achieved via stochastic integrals or solutions of stochastic differential equations. We introduce a new approach to replication of random vectors via…
A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general…
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…
Originating in evolutionary game theory, the class of "zero-determinant" strategies enables a player to unilaterally enforce linear payoff relationships in simple repeated games. An upshot of this kind of payoff constraint is that it can…
We introduce a notion of substitutability for correspondences and establish a monotone comparative static result, unifying results such as the inverse isotonicity of M-matrices, Berry, Gandhi and Haile's identification of demand systems,…
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…
In a semi-realistic market simulator, independent reinforcement learning algorithms may facilitate market makers to maintain wide spreads even without communication. This unexpected outcome challenges the current antitrust law framework. We…
We study two-player zero-sum repeated games with incomplete information on one side, where the payoff function is tail measurable (and not necessarily the long-run average payoff). We show that the maxmin value equals the concavification of…
This paper presents closed-form analytical formulas for pricing volatility and variance derivatives with nonlinear payoffs under discrete-time observations. The analysis is based on a probabilistic approach assuming that the underlying…
Automated Market Makers (AMMs) are major centers of matching liquidity supply and demand in Decentralized Finance. Their functioning relies primarily on the presence of liquidity providers (LPs) incentivized to invest their assets into a…
We propose a method of obtaining a posteriori estimates which does not use the duality theory and which applies to variational inequalities with monotone operators, without assuming the potentiality of operators. The effectiveness of the…
Dynamic hedging of an European option under a general local volatility model with small linear transaction costs is studied. A continuous control version of Leland's strategy that asymptotically replicates the payoff is constructed. An…