Related papers: Augmenting Batch Exchanges with Constant Function …
The Dynamic Function Market Maker (DFMM) introduced a fully automated framework for operating a multi-asset market, wherein an algorithmic accounting asset was used to connect different liquidity pools and ensure efficient rebalancing of…
We develop a unified ascending-auction framework for computing Walrasian equilibria in combinatorial markets with strong substitutes valuations and piecewise-linear payment functions. Our auction extends the celebrated ascending auctions of…
This paper studies optimal liquidity provision for perpetual contracts when the funding rate is a stochastic state variable. The core extension to classical market making is the coupling between inventory and funding payments: inventory…
Centralized monetary policy, leading to persistent inflation, is often inconsistent, untrustworthy, and unpredictable. Algorithmic stablecoins enabled by blockchain technology are promising in solving this problem. Algorithmic stablecoins…
The problem of allocating scarce items to individuals is an important practical question in market design. An increasingly popular set of mechanisms for this task uses the concept of market equilibrium: individuals report their preferences,…
The effective allocation of cross-border trading capacities is one of the central challenges for the implementation of a pan-European internal energy market. In contrast to traditional power flow-ignorant methods like net transfer…
Constant-product market making functions were first introduced by Hayden Adams in 2017 to create Uniswap, a decentralised exchange on Ethereum. This enables users to exchange assets at any given rate. Some variations such as Balancer and…
The always-available liquidity of automated market makers (AMMs) has been one of the most important catalysts in early cryptocurrency adoption. However, it has become increasingly evident that AMMs in their current form are not viable…
The recently proposed Transaction Fee Mechanism (TFM) literature studies the strategic interaction between the miner of a block and the transaction creators (or users) in a blockchain. In a TFM, the miner includes transactions that maximize…
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…
This study provides a practical introduction to high-frequency trading in blockchain-based currency markets. These types of markets have some specific characteristics that differentiate them from the stock markets, such as a large number of…
We study competitive equilibrium in the canonical Fisher market model, but with indivisible goods. In this model, every agent has a budget of artificial currency with which to purchase bundles of goods. Equilibrium prices match between…
We study the problem of fairly allocating indivisible goods to a set of agents with additive leveled valuations. A valuation function is called leveled if and only if bundles of larger size have larger value than bundles of smaller size.…
In decentralized finance (DeFi), designing fixed-income lending automated market makers (AMMs) is extremely challenging due to time-related complexities. Moreover, existing protocols only support single-maturity lending. Building upon the…
Traditional combinatorial spectrum auctions mainly rely on fixed bidding and matching processes, which limit participants' ability to adapt their strategies and often result in suboptimal social welfare in dynamic spectrum sharing…
Building on ideas from online convex optimization, we propose a general framework for the design of efficient securities markets over very large outcome spaces. The challenge here is computational. In a complete market, in which one…
In decentralized finance, any individual can pool their assets into an automated market maker (AMM) -- herein we focus on the constant product market maker (CPMM) -- in exchange for a claim on a fraction of future pool assets and fees…
One of the exciting recent developments in decentralized finance (DeFi) has been the development of decentralized cryptocurrency exchanges that can autonomously handle conversion between different cryptocurrencies. Decentralized exchange…
This paper shows that in suitable markets, even with out-of-equilibrium trade allowed, a simple price update rule leads to rapid convergence toward the equilibrium. In particular, this paper considers a Fisher market repeated over an…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…