Related papers: Constant Power Root Market Makers
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of…
Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on…
Automated market makers (AMMs) are smart contracts that automatically trade electronic assets according to a mathematical formula. This paper investigates how an AMM's formula affects the interests of liquidity providers, who endow the AMM…
This article considers the numerical inversion of the power series $p(x)=1+b_{1}x+b_{2}x^{2}+\cdots$ to compute the inverse series $q(x)$ satisfying $p(x)q(x)=1$. Numerical inversion is a special case of triangular back-substitution, which…
We study the behaviour of the Standard map critical function in a neighbourhood of a fixed resonance, that is the scaling law at the fixed resonance. We prove that for the fundamental resonance the scaling law is linear. We show numerical…
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum margin requirement in the problem…
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
The proposed open-source Power Market Tool (POMATO) aims to enable research on interconnected modern and future electricity markets in the context of the physical transmission system and its secure operation. POMATO has been designed to…
This study investigates the functioning of modern payment systems through the lens of banks' maturity mismatch practices, and it examines the effects of banks' refusal to roll over short-term interbank liabilities on financial stability.…
In this thesis, we develop a comprehensive account of the expressive power, modelling efficiency, and performance advantages of so-called trading agents (i.e., Deep Soft Recurrent Q-Network (DSRQN) and Mixture of Score Machines (MSM)),…
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems…
We consider a network of identical piecewise smooth systems that synchronizes on the manifold given by a periodic orbit of a single agent. We explicitly characterize the fundamental matrix solution of the network along the synchronous…
In dynamical systems theory, there is a lack of a straightforward rule to distinguish exact center solutions from decaying center-like solutions, as both require the damping force function to be zero [1, 2]. By adopting a multi-scale…
We consider the class of simple Brown-Resnick max-stable processes whose spectral processes are continuous exponential martingales. We develop the asymptotic theory for the realized power variations of these max-stable processes, that is,…
We study the regularity of smooth functions $f$ defined on an open set of $\mathbb{R}^n$ and such that, for certain integers $p\geq 2$, the powers $f^p :x\mapsto (f(x))^p$ belong to a Denjoy-Carleman class $\mathcal{C}_M$ associated with a…
We study the Merton portfolio management problem within a complete market, non constant time discount rate and general utility framework. The non constant discount rate introduces time inconsistency which can be solved by introducing sub…
A practical method is presented for determining root and pole cancellation functions of a matrix function $Q(z)$ meromorphic on the extended complex plane $\bar{\mathbb{C}}:=\mathbb{C} \cup \left\{ \infty \right\}$. This method is applied…
Magic-state resource theory is a powerful tool with applications in quantum error correction, many-body physics, and classical simulation of quantum dynamics. Despite its broad scope, finding tractable resource monotones has been…