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Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase…
As markets have digitized, the number of tradable products has skyrocketed. Algorithmically constructed portfolios of these assets now dominate public and private markets, resulting in a combinatorial explosion of tradable assets. In this…
The study proposes a quote-driven predictive automated market maker (AMM) platform with on-chain custody and settlement functions, alongside off-chain predictive reinforcement learning capabilities to improve liquidity provision of…
Dynamic pricing schemes were introduced as an alternative to posted-price mechanisms. In contrast to static models, the dynamic setting allows to update the prices between buyer-arrivals based on the remaining sets of items and buyers, and…
Automated Market Maker (AMM)-based Decentralized Exchanges (DEXs) are crucial in Decentralized Finance (DeFi), but Ethereum implementations suffer from high transaction costs and price synchronization challenges. To address these…
In large-scale AI systems, allocating scarce resources such as GPU compute time and bandwidth among multiple agents is a critical challenge. Conventional policies focus on efficiency metrics, potentially leading to dominance concentration…
Transaction Fee Mechanisms (TFMs) study auction design in the Blockchain context, and emphasize robustness against miner and user collusion, moreso than traditional auction theory. \cite{chung2023foundations} introduce the notion of a…
Blockchains deploy Transaction Fee Mechanisms (TFMs) to determine which user transactions to include in blocks and determine their payments (i.e., transaction fees). Increasing demand and scarce block resources have led to high user…
Blockchain benefits are due to immutability, replication, and storage-and-execution of smart contracts on the blockchain. However, the benefits come at increased costs due to the blockchain size and execution. We address three fundamental…
We study equilibria of markets with $m$ heterogeneous indivisible goods and $n$ consumers with combinatorial preferences. It is well known that a competitive equilibrium is not guaranteed to exist when valuations are not gross substitutes.…
When agents trade in a Duality-based Cost Function prediction market, they collectively implement the learning algorithm Follow-The-Regularized-Leader. We ask whether other learning algorithms could be used to inspire the design of…
In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming that the agents' risk preferences are modelled by convex…
In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers face therefore an interesting…
Blockchains, and specifically smart contracts, have promised to create fair and transparent trading ecosystems. Unfortunately, we show that this promise has not been met. We document and quantify the widespread and rising deployment of…
With the widespread adoption of blockchain technology, the transaction fee mechanism (TFM) in blockchain systems has become a prominent research topic. An ideal TFM should satisfy user incentive compatibility (UIC), miner incentive…
Budget-feasible procurement auctions play a pivotal role in various AI-driven marketplaces, such as data acquisition and crowdsourcing, where a buyer with a limited budget seeks to procure services from strategic sellers with private costs.…
This work introduces a framework for evaluating onchain order flow auctions (OFAs), emphasizing the metric of price improvement. Utilizing a set of open-source tools, our methodology systematically attributes price improvements to specific…
Automated Market Makers (AMMs) are decentralized exchange protocols that provide continuous access to token liquidity without the need for order books or traditional market makers. However, this innovation has failed to scale when it comes…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
In recent years, research on the data trading market has been continuously deepened. In the transaction process, there is an information asymmetry process between agents and sellers. For sellers, direct data delivery faces the risk of…