Related papers: Augmenting Batch Exchanges with Constant Function …
The popularity of cryptocurrencies has grown significantly in recent years, and they have become an important asset for internet trading. One of the main drawbacks of cryptocurrencies is the high volatility and fluctuation in value. The…
Financial markets are inherently non-stationary, driven by complex interactions among macroeconomic regimes, microstructural frictions, and behavioral dynamics. Building quantitative strategies that remain profitable demands the continuous…
Sequential auctions for identical items with unit-demand, private-value buyers are common and often occur periodically without end, as new bidders replace departing ones. We model bidder uncertainty by introducing a probability that a…
Dynamic max-min fair allocation (DMMF) is a simple and popular mechanism for the repeated allocation of a shared resource among competing agents: in each round, each agent can choose to request or not for the resource, which is then…
A coordinated trading process is proposed as a design for an electricity market with significant uncertainty, perhaps from renewables. In this process, groups of agents propose to the system operator (SO) a contingent buy and sell trade…
The Non-Fungible Token (NFT) is viewed as one of the important applications of blockchain technology. Although NFT has a large market scale and multiple practical standards, several limitations of the existing mechanism in NFT markets…
Maximal Extractable Value (MEV) refers to excess value captured by miners (or validators) from users in a cryptocurrency network. This excess value often comes from reordering users' transactions to maximize fees or from inserting new…
Decentralized Finance (DeFi) is a rapidly evolving segment of blockchain technology that enables a transformative approach to financial services through Web3 applications. By leveraging smart contracts, DeFi allows developers to build…
This paper conducts an empirical investigation into the effects of Designated Market Makers (DMMs) on key market quality indicators, such as liquidity, bid-ask spreads, and order fulfillment ratios. Through agent-based simulations, this…
We present the first analysis of Fisher markets with buyers that have budget-additive utility functions. Budget-additive utilities are elementary concave functions with numerous applications in online adword markets and revenue optimization…
In settings where full incentive-compatibility is not available, such as core-constraint combinatorial auctions and budget-balanced combinatorial exchanges, we may wish to design mechanisms that are as incentive-compatible as possible. This…
Blockchain enables peer-to-peer transactions in cyberspace without a trusted third party. The rapid growth of Ethereum and smart contract blockchains generally calls for well-designed Transaction Fee Mechanisms (TFMs) to allocate limited…
In the context of decentralized blockchains, accurately simulating the outcome of order flow auctions (OFAs) off-chain is challenging due to adversarial sequencing, encrypted bids, and frequent state changes. Existing approaches, such as…
We study an Arrow-Debreu economy with externalities generated by multiplex networks. Market equilibrium prices reflect both the preferences and scarcity of goods, consumers' network centralities arising from goods' externalities, as well as…
Matching platforms, from ridesharing to food delivery to competitive gaming, face a fundamental operational dilemma: match agents immediately to minimize waiting costs, or delay to exploit the efficiency gains of thicker markets. Yet…
Machine learning is critical for innovation and efficiency in financial markets, offering predictive models and data-driven decision-making. However, challenges such as missing data, lack of transparency, untimely updates, insecurity, and…
Dynamic-weight AMMs (aka Temporal Function Market Makers, TFMMs) implement algorithmic asset allocation, analogous to index or smart beta funds, by continuously updating pools' weights. A strategy updates target weights over time, and…
Market fragmentation across multiple Automated Market Makers (AMMs) creates inefficiencies such as costly arbitrage, unnecessarily high slippage and delayed incorporation of new information into prices. These inefficiencies raise trading…
This study explores the design of an efficient rebate policy in auction markets, focusing on a continuous-time setting with competition among market participants. In this model, a stock exchange collects transaction fees from auction…
The optimization of bidding strategies for online advertising slot auctions presents a critical challenge across numerous digital marketplaces. A significant obstacle to the development, evaluation, and refinement of real-time autobidding…