Related papers: UAMM: Price-oracle based Automated Market Maker
The paper develops a decentralized resource allocation mechanism for allocating divisible goods with capacity constraints to non-price-taking agents with general concave utilities. The proposed mechanism is always budget balanced,…
We consider the problem of finding model-independent bounds on the price of an Asian option, when the call prices at the maturity date of the option are known. Our methods differ from most approaches to model-independent pricing in that we…
The alternating direction method of multipliers (ADMM) is commonly used for distributed model fitting problems, but its performance and reliability depend strongly on user-defined penalty parameters. We study distributed ADMM methods that…
Automated Market Makers (AMMs) are essential to decentralized finance, offering continuous liquidity and enabling intermediary-free trading on blockchains. However, participants in AMMs are vulnerable to Maximal Extractable Value (MEV)…
We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit form the optimal contract to propose to a market maker. This…
Constant function market makers(CFMMS) are a popular market design for decentralized exchanges(DEX). Liquidity providers(LPs) supply the CFMMs with assets to enable trades. In exchange for providing this liquidity, an LP receives a token…
Augur is a trustless, decentralized oracle and platform for prediction markets. The outcomes of Augur's prediction markets are chosen by users that hold Augur's native Reputation token, who stake their tokens on the actual observed outcome…
Price benchmarks are used to incorporate market price trends into contracts, but their use can create opportunities for manipulation by parties involved in the contract. This paper examines this issue using a realistic and tractable model…
Automatic differentiation is involved for long in applied mathematics as an alternative to finite difference to improve the accuracy of numerical computation of derivatives. Each time a numerical minimization is involved, automatic…
The reproduction of realistic dynamics in financial markets is of great significance, as it enhances our understanding of market evolution beyond other physical processes, and facilitates the development and backtesting of investment…
The purpose of Inventory Pricing is to bid the right prices to online ad opportunities, which is crucial for a Demand-Side Platform (DSP) to win advertising auctions in Real-Time Bidding (RTB). In the planning stage, advertisers need the…
This whitepaper introduces an innovative mechanism for pricing perpetual contracts and quoting fees to traders based on current market conditions. The approach employs liquidity curves and on-chain oracles to establish a new adaptive…
One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This assumption can be fulfilled only in perfectly liquid markets.…
We estimate prices of exotic options in a discrete-time model-free setting when the trader has access to market prices of a rich enough class of exotic and vanilla options. This is achieved by estimating an unobservable quantity called…
This paper addresses a multi-stage generation investment problem for a strategic (price-maker) power producer in electricity markets. This problem is exposed to different sources of uncertainty, including short-term operational (e.g.,…
Recently, there is growing interest and need for dynamic pricing algorithms, especially, in the field of online marketplaces by offering smart pricing options for big online stores. We present an approach to adjust prices based on the…
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…
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…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
We postulates, and then show experimentally, that liquidity deficit is the driving force of the markets. In the first part of the paper a kinematic of liquidity deficit is developed. The calculus-like approach, which is based on…