Related papers: Constant Power Root Market Makers
The large integration of variable energy resources is expected to shift a large part of the energy exchanges closer to real-time, where more accurate forecasts are available. In this context, the short-term electricity markets and in…
Level-based and share-based loss functions are asymptotically equivalent if, in the limit, their averages converge almost surely to a constant ratio. These loss functions take a target value and its realization as arguments and are often…
We study overpricing in a repeated game between two representative agents: a market maker, who controls market liquidity, and a market taker, who chooses trade quantities. Market prices evolve through the endogenous price impact of trades…
This paper is concerned with the asymptotic behavior of sums of terms which are a test function f evaluated at successive increments of a discretely sampled semimartingale. Typically the test function is a power function (when the power is…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
In skew-product systems with contractive factors, all orbits asymptotically approach the graph of the so-called sync function; hence, the corresponding regularity properties primarily matter. In the literature, sync function Lipschitz…
The rise of Ethereum and other blockchains that support smart contracts has led to the creation of decentralized exchanges (DEXs), such as Uniswap, Balancer, Curve, mStable, and SushiSwap, which enable agents to trade cryptocurrencies…
We examine how the introduction of concentrated liquidity has changed the liquidity provision market in automated market makers such as Uniswap. To this end, we compare average liquidity provider returns from trading fees before and after…
This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (Borel right process (BRP)) and the stochastic discount…
In a recent Nature paper, Gabaix et al. \cite{Gabaix03} presented a theory to explain the power law tail of price fluctuations. The main points of their theory are that volume fluctuations, which have a power law tail with exponent roughly…
We investigate the stability properties of a multi-converter power system model, defined on a high-order manifold. For this, we identify its symmetry (i.e., rotational invariance) generated by a static angle shift and rotation of AC…
The energetic flexibility of electric energy resources can be exploited when trading on wholesale energy and ancillary service markets. This paper considers the problem of a Balance Responsible Party to maximize its profit from trading on…
In this document I develop a weight function theory of positive order basis function interpolants and smoothers. **In Chapter 1 the basis functions and data spaces are defined directly using weight functions. The data spaces are used to…
A market with asymmetric information can be viewed as a repeated exchange game between the informed sector and the uninformed one. In a market with risk-neutral agents, De Meyer [2010] proves that the price process should be a particular…
Water market is a contemporary marketplace for water trading and is deemed to one of the most efficient instruments to improve the social welfare. In modern water markets, the two widely used trading systems are an improved pair-wise…
Market power behaviour often occurs in modern wholesale electricity markets. Mixed Complementarity Problems (MCPs) have been typically used for computational modelling of market power when it is characterised by an oligopoly with…
High shares of variable renewable energy necessitate substantial energy storage capacity. However, it remains unclear how to design a market that, on the one hand, ensures a stable and sufficient income for storage firms, and, on the other…
This paper is concerned with the study of the consistency of a variational method for probability measure quantization, deterministically realized by means of a minimizing principle, balancing power repulsion and attraction potentials. The…
The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market design in many countries, but it has…
In this paper, we propose a price staleness factor model that accounts for pervasive market friction across assets and incorporates relevant covariates. Using large-panel high-frequency data, we derive the maximum likelihood estimators of…