Related papers: Efficient Liquidity Providing via Margin Liquidity
Multi-robot decision-making is the process where multiple robots coordinate actions. In this paper, we aim for efficient and effective multi-robot decision-making despite the robots' limited on-board resources and the often…
We introduce a decentralised, algorithmic framework for permissionless, multi-strategy capital allocation via tokenised, automated vaults. The system is designed to function analogously to a multi-strategy asset management company, but…
Decentralized coordination and digital contracting are becoming critical in complex industrial ecosystems, yet existing approaches often rely on ad hoc heuristics or purely technical blockchain implementations without a rigorous economic…
This paper is split in three parts: first we use labelled trade data to exhibit how market participants accept or not transactions via limit orders as a function of liquidity imbalance; then we develop a theoretical stochastic control…
Traditional public blockchain systems typically had very limited transaction throughput because of the bottleneck of the consensus protocol itself. With recent advances in consensus technology, the performance limit has been greatly lifted,…
This paper studies the market structure impact of cheaper and faster chains on the Uniswap v3 Protocol. The Uniswap Protocol is the largest decentralized application on Ethereum by both gas and blockspace used, and user behaviors of the…
Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long and short futures positions. The empirical analysis of perpetual bitcoin futures on BitMEX…
This paper introduces Lyquor, a decentralized platform that reimagines blockchain infrastructure through a service-centric model where nodes selectively host smart contracts (called Lyquids) while preserving global composability. We present…
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and…
We propose a hedging approach for general contingent claims when liquidity is a concern and trading is subject to transaction cost. Multiple assets with different liquidity levels are available for hedging. Our risk criterion targets a…
We consider the problem of optimally executing a user trade over networks of constant function market makers (CFMMs) in the presence of hooks. Hooks, introduced in an upcoming version of Uniswap, are auxiliary smart contracts that allow for…
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…
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and…
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…
While quantitative automation related to trading crypto-assets such as ERC-20 tokens has become relatively commonplace, with services such as 3Commas and Shrimpy offering user-friendly web-driven services for even the average crypto trader,…
For more than a century, the grid has operated in a centralized top-down fashion. However, as distributed energy resources (DERs) penetration grows, the grid edge is increasingly infused with intelligent computing and communication…
The prosperity of the cryptocurrency ecosystem drives the need for digital asset trading platforms. Beyond centralized exchanges (CEXs), decentralized exchanges (DEXs) are introduced to allow users to trade cryptocurrency without…
We provide an overview of decentralized protocols like Compound and Aave that offer collateralized loans for cryptoasset investors. Compound and Aave are two of the most important application in the decentralized finance (DeFi) ecosystem.…
For centuries, financial institutions have responded to liquidity challenges by forming closed, centralized clearing clubs with strict rules and membership that allow them to collaborate on using the least money to discharge the most debt.…
This paper develops a rigorous mathematical framework for analyzing Concentrated Liquidity Market Makers (CLMMs) in Decentralized Finance (DeFi) within a continuous-time setting. We model the evolution of liquidity profiles as…