Related papers: UAMM: Price-oracle based Automated Market Maker
We develop a model for indifference pricing in derivatives markets where price quotes have bid-ask spreads and finite quantities. The model quantifies the dependence of the prices and hedging portfolios on an investor's beliefs, risk…
We study the economic viability of liquidity provision in decentralised exchanges (DEXs) within a structural framework in which market outcomes are endogenous. We formulate strategic interactions as a sequential game: a risk-averse…
Online marketplaces execute large volume of price updates that are initiated by individual marketplace sellers each day on the platform. This price democratization comes with increasing challenges with data quality. Lack of centralized…
We present the first in-depth empirical characterization of the costs of trading on a decentralized exchange (DEX). Using quoted prices from the Uniswap Labs interface for two pools -- USDC-ETH (5bps) and PEPE-ETH (30bps) -- we evaluate the…
In decentralized finance (DeFi), designing fixed-income lending automated market makers (AMMs) is extremely challenging due to time-related complexities. Moreover, existing protocols only support single-maturity lending. Building upon the…
We introduce the Estimated Dynamic Equilibrium Model (EDEM), an agent-based framework that treats supply and demand as a coupled stochastic process driven by heterogeneous, noisy agent valuations. The model's primary technical contribution…
Triangle fees are a novel fee structure for AMMs, in which marginal fees are decreasing in a trade's size. That decline is proportional to the movement in the AMM's implied price, i.e. for every basis point the trade moves the ratio of…
We present an Alternating Direction Method of Multipliers (ADMM) algorithm for solving optimization problems with an l_1 regularized least-squares cost function subject to recursive equality constraints. The considered optimization problem…
Alternating Direction Method of Multipliers (ADMM) algorithm has been widely adopted for solving the distributed optimization problem (DOP). In this paper, a new distributed parallel ADMM algorithm is proposed, which allows the agents to…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
This paper examines online distributed Alternating Direction Method of Multipliers (ADMM). The goal is to distributively optimize a global objective function over a network of decision makers under linear constraints. The global objective…
Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of…
The problem of determining the European-style option price in the incomplete market has been examined within the framework of stochastic optimization. An analytic method based on the discrete dynamic programming equation (Bellman equation)…
Electricity markets are significantly more volatile than other comparable financial or commodity markets. Extreme price outcomes and their transmission between regions pose significant risks for market participants. We examine the…
This paper studies mechanism design for auctions with externalities on budgets, a novel setting where the budgets that bidders commit are adjusted due to the externality of the competitors' allocation outcomes-a departure from traditional…
Adaptive gradient-based optimization methods such as \textsc{Adagrad}, \textsc{Rmsprop}, and \textsc{Adam} are widely used in solving large-scale machine learning problems including deep learning. A number of schemes have been proposed in…
Ensuring sufficient liquidity is one of the key challenges for designers of prediction markets. Various market making algorithms have been proposed in the literature and deployed in practice, but there has been little effort to evaluate…
Recently, there has been an increasing interest in using tools from dynamical systems to analyze the behavior of simple optimization algorithms such as gradient descent and accelerated variants. This paper strengthens such connections by…
We consider the pricing and hedging of exotic options in a model-independent set-up using \emph{shortfall risk and quantiles}. We assume that the marginal distributions at certain times are given. This is tantamount to calibrating the model…
The unit commitment problem (UC) is an optimization problem concerning the operation of electrical generators. Many algorithms have been proposed for the UC and in recent years a more decentralized approach, by solving the UC with…