Related papers: Efficient Liquidity Providing via Margin Liquidity
An important virtue of distributed ledger technologies is their acclaimed higher level of decentralisation compared to traditional financial systems. Empirical literature, however, suggests that many systems tend towards centralisation as…
In this article, we provide a flexible framework for optimal trading in an asset listed on different venues. We take into account the dependencies between the imbalance and spread of the venues, and allow for partial execution of limit…
We investigate the most common type of blockchain-based decentralized exchange, which are known as constant function market makers (CFMMs). We examine the the market microstructure around CFMMs and present a model for valuing the liquidity…
We study the formation of an optimal interbank network in a model where banks control both their supply of liquidity, through cash reserves, and their exposures to other banks' risky projects. The value of each bank's project may suddenly…
Blockchain technology is among the fastest-growing technologies in the world today. It has been adopted in diverse areas but mostly in financial systems, such as Bitcoin cryptocurrency. Therefore, it is a niche that has attracted interest…
Traditional market makers are losing their importance as automated systems have largely assumed the role of liquidity provision in markets. We update the model of Glosten and Milgrom (1985) to analyze this new world: we add multiple…
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…
Margin system for margin loans using cash and stock as collateral is considered in this paper, which is the line of defence for brokers against risk associated with margin trading. The conditional probability of negative return is used as…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…
Decentralized resource markets are Web 3.0 applications that build open-access platforms for trading digital resources among users without any central management. They promise cost reduction, transparency, and flexible service provision.…
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…
Decentralized Finance (DeFi) has revolutionized lending by replacing intermediaries with algorithm-driven liquidity pools. However, existing platforms like Aave and Compound rely on static interest rate curves and collateral requirements…
Smart contracts led to the emergence of the decentralized finance (DeFi) marketplace within blockchain ecosystems, where diverse participants engage in financial activities. In traditional finance, there are possibilities to create values,…
The concept of Energy Hub (EH) has been emerged to accommodate renewable energy sources in a multi-energy system to deploy the synergies between electricity and other energy sources. However, the market mechanisms for the integration of the…
Public blockchains have spurred the growing popularity of decentralized transactions and smart contracts, but they exhibit limitations on the transaction throughput, storage, and computation. To avoid transaction gridlock, public…
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both…
The operation of the power grid is becoming more stressed, due to the addition of new large loads represented by Electric Vehicles (EVs) and a more intermittent supply due to the incorporation of renewable sources. As a consequence, the…
Blockchain technology is developing using in reliable applications which can be designed to achieve decentralization and trustless. Based on the open network innovation theory, this paper proposes a technical intermediary management idea…
In order to scale transaction rates for deployment across the global web, many cryptocurrencies have deployed so-called "Layer-2" networks of private payment channels. An idealized payment network behaves like a Credit Network, a model for…
In order to protect brokers from customer defaults in a volatile market, an active margin system is proposed for the transactions of margin lending in China. The probability of negative return under the condition that collaterals are…