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The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
Layer-2 (L2) blockchains inherit Ethereums security guarantees while reducing gas fees. As a result, they are gaining traction among traders at Automated Market Makers (AMMs), sparking debate over whether they contribute to liquidity…
In this paper, we present a pricing mechanism that aligns incentives of agents who exchange resources on a decentralized ledger with the goal of maximizing transaction throughput. Subdividing a blockchain ledger into shards promises to…
The recently proposed Uniswap v3 replaces the fungible liquidity provider token (LP token) into non-fungible ones, making the design for liquidity mining more difficult. In this paper, we propose a flexible liquidity mining scheme that…
Many empirical studies have discussed market liquidity, which is regarded as a measure of a booming financial market. Further, various indicators for objectively evaluating market liquidity have also been proposed and their merits have been…
Liquidity providers (LPs) are essential figures in the operation of automated market makers (AMMs); in exchange for transaction fees, LPs lend the liquidity that allows AMMs to operate. While many prior works have studied the incentive…
We propose that the liquidity of an asset includes two components: liquidity jump and liquidity diffusion. We show that liquidity diffusion has a higher correlation with crypto wash trading than liquidity jump and demonstrate that treatment…
Monetizing user-generated content in social media such as Reddit, in which users are both content creators and consumers, is challenging. Among the platform's strategies we find Reddit Awards, paid tokens of appreciation given by peer users…
The primary objective of this paper is to conceive and develop a new methodology to detect notable changes in liquidity within an order-driven market. We study a market liquidity model which allows us to dynamically quantify the level of…
Demand response is widely employed by today's data centers to reduce energy consumption in response to the increasing of electricity cost. To incentivize users of data centers participate in the demand response programs, i.e., breaking the…
Automated market makers are a popular mechanism used on decentralized exchange, through which users trade assets with each other directly and automatically through a liquidity pool and a fixed pricing function. The liquidity provider…
Loyalty programs are important tools for sharing platforms seeking to grow supply. Online sharing platforms use loyalty programs to heavily subsidize resource providers, encouraging participation and boosting supply. As the sharing economy…
Payment channels networks drastically increase the throughput and hence scalability of blockchains by performing transactions \emph{off-chain}. In an off-chain payment, parties deposit coins in a channel and then perform transactions…
Exchanges acquire excess processing capacity to accommodate trading activity surges associated with zero-sum high-frequency trader (HFT) "duels." The idle capacity's opportunity cost is an externality of low-latency trading. We build a…
Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants, termed designated market makers or designated sponsors. While quoting requirements typically enforce the activity of these…
We study Just-in-time (JIT) liquidity provision in blockchain-based decentralized exchanges. A JIT liquidity provider (LP) monitors pending swap orders in public mempools of blockchains to sandwich orders of their choice with liquidity,…
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…
Entropy augmented to reward is known to soften the greedy argmax policy to softmax policy. Entropy augmentation is reformulated and leads to a motivation to introduce an additional entropy term to the objective function in the form of…
We study the trading activity of designated market makers (DMMs) in electronic markets using a unique dataset with audit-trail information on trader classification. DMMs may either adhere to their market-making agreements and offer…
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…