Related papers: UAMM: Price-oracle based Automated Market Maker
Blockchains have popularized the Automated Market Makers (AMMs), where users trade crypto-assets directly with a smart contract, governed by a pricing function embedded in the contract's code. Today, users of AMMs are often forced to accept…
A central question of the Ethereum ecosystem is where Maximal Extractable Value (MEV)revenue originates and to what extent it stems from harming unsuspecting users. It is acceptable if MEV arises from arbitrages between centralised and…
Constant Function Market Makers (CFMMs) are a family of automated market makers that enable censorship-resistant decentralized exchange on public blockchains. Arbitrage trades have been shown to align the prices reported by CFMMs with those…
Automated market makers (AMMs) allocate fee revenue \textit{proportional} to the amount of liquidity investors deposit. In this paper, we study the economic consequences of the competition between passive liquidity providers (LPs) caused by…
This paper introduces a model for coordinating prosumers with heterogeneous distributed energy resources (DERs), participating in the local energy market (LEM) that interacts with the market-clearing entity. The proposed LEM scheme utilizes…
The Euclidean Median (EM) of a set of points $\Omega$ in an Euclidean space is the point x minimizing the (weighted) sum of the Euclidean distances of x to the points in $\Omega$. While there exits no closed-form expression for the EM, it…
This paper studies the pricing and hedging of derivatives in frictionless and competitive, but incomplete jump-diffusion markets. A unique equivalent martingale measure (EMM) is obtained using filtration reduction to a fictitious complete…
This paper presents the results of a comprehensive empirical study of losses to arbitrageurs (following the formalization of loss-versus-rebalancing by [Milionis et al., 2022]) incurred by liquidity providers on automated market makers…
We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms…
Financial options are fundamental to traditional markets, enabling strategies ranging from hedging to speculating. Yet, while the Automated Market Maker paradigm has revolutionized decentralized spot markets, no equivalent standard has…
The LIBOR Market Model (LMM) is a widely used model for pricing interest rate derivatives. While the Black-Scholes model is well-known for pricing stock derivatives such as stock options, a larger portion of derivatives are based on…
We consider the impact of trading fees on the profits of arbitrageurs trading against an automated market maker (AMM) or, equivalently, on the adverse selection incurred by liquidity providers (LPs) due to arbitrage. We extend the model of…
Everlasting options, a relatively new class of perpetual financial derivatives, have emerged to tackle the challenges of rolling contracts and liquidity fragmentation in decentralized finance markets. This paper offers an in-depth analysis…
We investigate the most common type of blockchain-based decentralized exchange, which are known as constant function market makers (CFMMs). We examine the the market microstructure around CFMMs and present a model for valuing the liquidity…
Optimizing within the affine maximizer auctions (AMA) is an effective approach for revenue maximizing mechanism design. The AMA mechanisms are strategy-proof and individually rational (if the agents' valuations for the outcomes are…
This paper presents a novel approach to optimizing profit margins in non-life insurance markets through a gradient descent-based method, targeting three key objectives: 1) maximizing profit margins, 2) ensuring conversion rates, and 3)…
This paper explores the application of Machine Learning techniques for pricing high-dimensional options within the framework of the Uncertain Volatility Model (UVM). The UVM is a robust framework that accounts for the inherent…
A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…
The South Australia region of the Australian National Electricity Market (NEM) displays some of the highest levels of price volatility observed in modern electricity markets. This paper outlines an approach to probabilistic forecasting…
Detecting product price outliers is important for retail and e-commerce stores as erroneous or unexpectedly high prices adversely affect competitiveness, revenue, and consumer trust. Classical techniques offer simple thresholds while…