Related papers: Decentralised Finance and Automated Market Making:…
AI agents are increasingly used in consumer-facing applications to assist with tasks such as product search, negotiation, and transaction execution. In this paper, we explore a future scenario where both consumers and merchants authorize AI…
This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a…
In decentralized consensus optimization, a connected network of agents collaboratively minimize the sum of their local objective functions over a common decision variable, where their information exchange is restricted between the…
The over-the-counter (OTC) government bond markets are characterised by their bilateral trading structures, which pose unique challenges to understanding and ensuring market stability and liquidity. In this paper, we develop a bespoke ABM…
Mathematical models are vital interpretive and predictive tools used to assist in the understanding of cell migration. There are typically two approaches to modelling cell migration: either micro-scale, discrete or macro-scale, continuum.…
Auctions are markets with strict regulations governing the information available to traders in the market and the possible actions they can take. Since well designed auctions achieve desirable economic outcomes, they have been widely used…
Trading on decentralized exchanges has been one of the primary use cases for permissionless blockchains with daily trading volume exceeding billions of U.S.~dollars. In the status quo, users broadcast transactions and miners are responsible…
Prediction markets are well-studied in the case where predictions are probabilities or expectations of future random variables. In 2008, Lambert, et al. proposed a generalization, which we call "scoring rule markets" (SRMs), in which…
We employ a 2x3 factorial experiment to study two central factors in the design of prediction markets (PMs) for idea evaluation: the overall design of the PM, and the elasticity of market prices set by a market maker. The results show that…
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…
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…
Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…
We analyze the efficiency of markets with friction, particularly power markets. We model the market as a dynamic system with $(d_t;\,t\geq 0)$ the demand process and $(s_t;\,t\geq 0)$ the supply process. Using stochastic differential…
We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…
We present FairTraDEX, a decentralized exchange (DEX) protocol based on frequent batch auctions (FBAs), which provides formal game-theoretic guarantees against extractable value. FBAs when run by a trusted third-party provide unique…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
Funds at large portfolio management firms may consist of many portfolio managers (PMs), each managing a portion of the fund and optimizing a distinct objective. Although the PMs determine their trades independently, the trade lists may be…
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
Financial regulators have long-standing concerns about fully decentralized exchanges that run 'on-chain' without any obvious regulatory hooks. The popularity of Uniswap, an automated market makers (AMM), made these concerns a reality. AMMs…