Related papers: Market Making with Scaled Beta Policies
Information is often stored in a distributed and proprietary form, and agents who own information are often self-interested and require incentives to reveal their information. Suitable mechanisms are required to elicit and aggregate such…
Multi-agent market simulators usually require careful calibration to emulate real markets, which includes the number and the type of agents. Poorly calibrated simulators can lead to misleading conclusions, potentially causing severe loss…
Message brokers enable asynchronous communication between data producers and consumers in distributed environments by assigning messages to ordered queues. Message broker systems often provide with mechanisms to parallelize tasks between…
Financial markets are a source of non-stationary multidimensional time series which has been drawing attention for decades. Each financial instrument has its specific changing-over-time properties, making its analysis a complex task. Hence,…
Pricing decisions are often made when market information is still poor. In turn, existing theoretical models often reason about the response of optimal prices to changing market characteristics without exploiting all available information…
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
We introduce a new system of stochastic differential equations which models dependence of market beta and unsystematic risk upon size, measured by market capitalization. We fit our model using size deciles data from Kenneth French's data…
We introduce the Free-Market Algorithm (FMA), a novel metaheuristic inspired by free-market economics. Unlike Genetic Algorithms, Particle Swarm Optimization, and Simulated Annealing -- which require prescribed fitness functions and fixed…
Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets. Modelling and simulating LOBs is quite often necessary for calibrating and fine-tuning the automated trading…
The article is an empirical study of market impact through order book events. It describes a mechanism of extracting an average participation rate and a market impact of small orders which represent individual slices of large metaorders.…
We propose a dynamical model of price formation on a spatial market where sellers and buyers are placed on the nodes of a graph, and the distribution of the buyers depends on the positions and prices of the sellers. We find that, depending…
Online markets are a part of everyday life, and their rules are governed by algorithms. Assuming participants are inherently self-interested, well designed rules can help to increase social welfare. Many algorithms for online markets are…
In pursuit of a more sustainable and cost-efficient last mile, parcel lockers have gained a firm foothold in the parcel delivery landscape. To fully exploit their potential and simultaneously ensure customer satisfaction, successful…
The use of dynamic pricing by profit-maximizing firms gives rise to demand fairness concerns, measured by discrepancies in consumer groups' demand responses to a given pricing strategy. Notably, dynamic pricing may result in buyer…
This paper develops a model for option market making in which the hedging activity of the market maker generates price impact on the underlying asset. The option order flow is modeled by Cox processes, with intensities depending on the…
The latent order book of \cite{donier2015fully} is one of the most promising agent-based models for market impact. This work extends the minimal model by allowing agents to exhibit mean-reversion, a commonly observed pattern in real…
We consider a generalization of the third degree price discrimination problem studied in Bergemann et al. (2015), where an intermediary between the buyer and the seller can design market segments to maximize any linear combination of…
Interference between treated and untreated units is a source of bias in marketplace experiments. In this paper, we specifically consider pricing interventions, in which a platform seeks to adjust base pricing levels at the marketplace level…
Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs) where exchange rates are set by a trading function. This…
We design a market-making model \`a la Avellaneda-Stoikov in which the market-takers act strategically, in the sense that they design their trading strategy based on an exogenous trading signal. The market-maker chooses her quotes based on…