Related papers: Decentralised Finance and Automated Market Making:…
The ability to construct a realistic simulator of financial exchanges, including reproducing the dynamics of the limit order book, can give insight into many counterfactual scenarios, such as a flash crash, a margin call, or changes in…
Supply chain formation is the process of determining the structure and terms of exchange relationships to enable a multilevel, multiagent production activity. We present a simple model of supply chains, highlighting two characteristic…
To trade tokens in cryptoeconomic systems, automated market makers (AMMs) typically rely on liquidity providers (LPs) that deposit tokens in exchange for rewards. To profit from such rewards, LPs must use effective liquidity provisioning…
Market regimes is a popular topic in quantitative finance even though there is little consensus on the details of how they should be defined. They arise as a feature both in financial market prediction problems and financial market task…
Given the low throughput of blockchains like Bitcoin and Ethereum, scalability - the ability to process an increasing number of transactions - has become a central focus of blockchain research. One promising approach is the parallelization…
Decentralized Exchanges (DEXs) are new types of marketplaces leveraging Blockchain technology. They allow users to trade assets with Automatic Market Makers (AMM), using funds provided by liquidity providers, removing the need for order…
This paper proposes a novel multi-layer blockchain architecture for the cross-border trading of CBDCs. The permissioned layer-2, by relying on the public consensus of the underlying network, assures the security and integrity of the…
In this paper, we will consider a governance token pricing algorithm that conducts liquidity operations on AMM (CPMM) DEXs (automated market maker decentralized exchanges) with liquidity that belongs to a decentralized autonomous…
Branching processes are a class of continuous-time Markov chains (CTMCs) prevalent for modeling stochastic population dynamics in ecology, biology, epidemiology, and many other fields. The transient or finite-time behavior of these systems…
Decentralized exchanges using automated market makers create arbitrage opportunities with centralized exchanges, where gas fees and transaction ordering are critical. Existing models largely overlook competition among arbitrageurs, despite…
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a…
Market making (MM) has attracted significant attention in financial trading owing to its essential function in ensuring market liquidity. With strong capabilities in sequential decision-making, Reinforcement Learning (RL) technology has…
Advancements in digitization have enabled two sided manufacturing-as-a-service (MaaS) marketplaces which has significantly reduced product development time for designers. These platforms provide designers with access to manufacturing…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
The growing usage of renewable energy resources has introduced significant uncertainties in energy generation, enlarging challenges for Regional Transmission Operators (RTOs) in managing transmission congestion. To mitigate congestion that…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
In this paper we analyze constant product market makers (CPMMs). We formalize the liquidity providers' profitability conditions and introduce a concept we call the profitability frontier in the xyk-space. We study the effect of mint and…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
Decentralized exchanges are revolutionizing finance. With their ever-growing increase in popularity, a natural question that begs to be asked is: how efficient are these new markets? We find that nearly 30% of analyzed trades are executed…
This letter introduces a convergence prediction model (CPM) for decentralized market clearing mechanisms. The CPM serves as a tool to detect potential cyber-attacks that affect the convergence of the consensus mechanism during ongoing…