Related papers: Constant Power Root Market Makers
This work presents the results of an empirical research with the target of modeling the stylized facts of the daily expost System Marginal Price (SMP) of the Greek wholesale electricity market, using data from January 2004 to December of…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
This paper designs a statistical quantification towards the intermittent power uncertainty in power systems. A negative-exponential forecast uncertainty function is constructed to represent the relationship between the statistics of…
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…
Let $(\Sigma_A, \sigma)$ be a subshift of finite type and let $M(x)$ be a continuous function on $\Sigma_A$ taking values in the set of non-negative matrices. We extend the classical scalar pressure function to this new setting and prove…
We consider the social welfare that can be facilitated by a constant function market maker (CFMM). When there is sufficient liquidity available to the CFMM, it can approximate the optimal social welfare when all users transactions are…
Constant function market makers (CFMMs) such as Uniswap have facilitated trillions of dollars of digital asset trades and have billions of dollars of liquidity. One natural question is how to optimally route trades across a network of CFMMs…
Constant-function market makers (CFMMs), such as Uniswap, are automated exchanges offering trades among a set of assets. We study their technical relationship to another class of automated market makers, cost-function prediction markets. We…
For positive definite matrices $A$ and $B$, the Kubo-Ando matrix power mean is defined as $$ P_\mu(p, A, B) = A^{1/2}\left(\frac{1+(A^{-1/2}BA^{-1/2})^p}{2}\right )^{1/p} A^{1/2}\quad (p \ge 0). $$ In this paper, for $0\le p \le 1 \le q$,…
We present a mathematical formulation of liquidity provision in decentralized exchanges. We focus on constant function market makers of utility indifference type, which include constant product market makers with concentrated liquidity as a…
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…
We introduce a class of utility-based market makers that always accept orders at their risk-neutral prices. We derive necessary and sufficient conditions for such market makers to have bounded loss. We prove that hyperbolic absolute risk…
Electricity markets typically operate in two stages, day-ahead and real-time. Despite best efforts striving efficiency, evidence of price manipulation has called for system-level market power mitigation (MPM) initiatives that substitute…
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise…
In this paper a unifying energy-based approach is provided to the modeling and stability analysis of power systems coupled with market dynamics. We consider a standard model of the power network with a third-order model for the synchronous…
A method is suggested allowing for the improvement of accuracy of self-similar factor and root approximants, constructed from asymptotic series. The method is based on performing a power transform of the given asymptotic series, with the…
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…
This paper deals with two-sided matching market with two disjoint sets, i.e. the set of buyers and the set of sellers. Each seller can trade with at most with one buyer and vice versa. Money is transferred from sellers to buyers for an…
In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of…
Classical time series models have serious difficulties in modeling and forecasting the enormous fluctuations of electricity spot prices. Markov regime switch models belong to the most often used models in the electricity literature. These…