Related papers: About constant-product automated market makers
We propose a decentralized market model in which agents can negotiate bilateral contracts. This builds on a similar, but centralized, model of trading networks introduced by Hatfield et al. in 2013. Prior work has established that…
Pari-mutuel markets are trading platforms through which the common market maker simultaneously clears multiple contingent claims markets. This market has several distinctive properties that began attracting the attention of the financial…
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
Public blockchains implement a fee mechanism to allocate scarce computational resources across competing transactions. Most existing fee market designs utilize a joint, fungible unit of account (e.g., gas in Ethereum) to price otherwise…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
Decentralized Exchanges (DEXs) are one of the most important infrastructures in the world of Decentralized Finance (DeFi) and are generally considered more reliable than centralized exchanges (CEXs). However, some well-known decentralized…
Ethereum Improvement Proposal (EIP) 1559 was recently implemented to transform Ethereum's transaction fee market. EIP-1559 utilizes an algorithmic update rule with a constant learning rate to estimate a base fee. The base fee reflects…
This paper discusses a decentralized finance (DeFi) application called MakerDAO. The Maker Protocol, built on the Ethereum blockchain, enables users to create and hold currency. Current elements of the Maker Protocol are the Dai stable…
Concentrated Liquidity Market Makers (CLMMs) represent a fundamental innovation in market microstructure, transforming liquidity provision from passive portfolio allocation to active risk management. This evolution creates significant…
Decentralized payment systems such as Bitcoin have become massively popular in the last few years, yet there is still much to be done in understanding their formal properties. The vast majority of decentralized payment systems work by…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
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,…
Major online platforms today can be thought of as two-sided markets with producers and customers of goods and services. There have been concerns that over-emphasis on customer satisfaction by the platforms may affect the well-being of the…
Designing automated market makers (AMMs) for prediction markets on combinatorial securities over large outcome spaces poses significant computational challenges. Prior research has primarily focused on combinatorial prediction markets…
We argue that recent developments in proof-of-work consensus mechanisms can be used in accordance with advancements in formal verification techniques to build a distributed payment protocol that addresses important economic drawbacks from…
Traditional blockchain systems, such as Ethereum, typically rely on a \emph{single volatile cryptocurrency for transaction fees}. This leads to fluctuating transaction fee prices and limits the flexibility of users' payment options. To…
This paper examines how various categories of Ethereum stakers respond to changes in the consensus issuance schedule, and the potential impact of such changes on the composition of the staking market. To this end, we have develop and…
Decentralized Finance (DeFi), in which digital assets are exchanged without trusted intermediaries, has grown rapidly in value in recent years. The global DeFi ecosystem is fragmented into multiple blockchains, fueling the demand for…
In this paper, we extend and improve the production chain model introduced by Kikuchi et al. (2018). Utilizing the theory of monotone concave operators, we prove the existence, uniqueness, and global stability of equilibrium price, hence…