Related papers: Augmenting Batch Exchanges with Constant Function …
We consider the problem of optimally executing an order involving multiple crypto-assets, sometimes called tokens, on a network of multiple constant function market makers (CFMMs). When we ignore the fixed cost associated with executing an…
The immense success of ML systems relies heavily on large-scale, high-quality data. The high demand for data has led to many paradigms that involve selling, exchanging, and sharing data, motivating the study of economic processes with data…
Automated Market Makers (AMMs) are a class of smart contracts on Ethereum and other blockchains that "make markets" autonomously. In other words, AMMs stand ready to trade with other market participants that interact with them, at the…
This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…
Decentralized Finance (DeFi) has revolutionized financial markets by enabling complex asset-exchange protocols without trusted intermediaries. Automated Market Makers (AMMs) are a central component of DeFi, providing the core functionality…
In decentralized finance ("DeFi"), automated market makers (AMMs) enable traders to programmatically exchange one asset for another. Such trades are enabled by the assets deposited by liquidity providers (LPs). The goal of this paper is to…
We suggest a framework to determine optimal trading fees for constant function market makers (CFMMs) in order to maximize liquidity provider returns. In a setting of multiple competing liquidity pools, we show that no race to the bottom…
Constant function market makers(CFMMS) are a popular market design for decentralized exchanges(DEX). Liquidity providers(LPs) supply the CFMMs with assets to enable trades. In exchange for providing this liquidity, an LP receives a token…
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…
This paper introduces Capability-Priced Micro-Markets (CPMM), a micro-economic framework designed to enable robust, scalable, and secure commerce among autonomous AI agents on the agentic web. The framework addresses the fundamental…
Lately, Non-Fungible Tokens (NFTs), i.e., uniquely discernible assets on a blockchain, have skyrocketed in popularity by addressing a broad audience. However, the typical NFT auctioning procedures are conducted in various, ad hoc ways,…
We study a new "laminated" queueing model for orders on batched trading venues such as decentralised exchanges. The model aims to capture and generalise transaction queueing infrastructure that has arisen to organise MEV activity on public…
Concentrated Liquidity Market Makers (CLMMs) represent a fundamental innovation in market microstructure, transforming liquidity provision from passive portfolio allocation to active risk management. This evolution creates significant…
Cloud containers represent a new, light-weight alternative to virtual machines in cloud computing. A user job may be described by a container graph that specifies the resource profile of each container and container dependence relations.…
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…
Decentralized exchanges are widely used platforms for trading crypto assets. The most common types work with automated market makers (AMM), allowing traders to exchange assets without needing to find matching counterparties. Thereby,…
We study blockchain trade-intent auctions, which currently intermediate about USD 10 billion in trades each month. These auctions are combinatorial because executing multiple trade intents jointly generates additional efficiencies. However,…
Financial options are contracts that specify the right to buy or sell an underlying asset at a strike price by an expiration date. Standard exchanges offer options of predetermined strike values and trade options of different strikes…
As an emerging decentralized secure data management platform, blockchain has gained much popularity recently. To maintain a canonical state of blockchain data record, proof-of-work based consensus protocols provide the nodes, referred to as…
We present our Agent-Based Market Microstructure Simulation (ABMMS), an Agent-Based Financial Market (ABFM) that captures much of the complexity present in the US National Market System for equities (NMS). Agent-Based models are a natural…