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The always-available liquidity of automated market makers (AMMs) has been one of the most important catalysts in early cryptocurrency adoption. However, it has become increasingly evident that AMMs in their current form are not viable…
We focus on the problem of market making in high-frequency trading. Market making is a critical function in financial markets that involves providing liquidity by buying and selling assets. However, the increasing complexity of financial…
We introduce a new class of automated market maker (AMM), the \emph{partially active automated market maker} (PA-AMM). PA-AMM divides its reserves into two parts, the active and the passive parts, and uses only the active part for trading.…
Dynamic-weight AMMs (aka Temporal Function Market Makers, TFMMs) implement algorithmic asset allocation, analogous to index or smart beta funds, by continuously updating pools' weights. A strategy updates target weights over time, and…
This paper studies liquid staking tokens (LSTs) on automated market makers (AMMs), both theoretically and empirically. LSTs are tokenized representations of staked assets on proof-of-stake blockchains. First, we model LST-liquidity on AMMs…
Automated Market Makers (AMMs) are used to provide liquidity for combinatorial prediction markets that would otherwise be too thinly traded. They offer both buy and sell prices for any of the doubly exponential many possible securities that…
As the FX markets continue to evolve, many institutions have started offering passive access to their internal liquidity pools. Market makers act as principal and have the opportunity to fill those orders as part of their risk management,…
This thesis presents the results of a comprehensive research project focused on applying Reinforcement Learning (RL) to the problem of market making in financial markets. Market makers (MMs) play a fundamental role in providing liquidity,…
This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price, and formulate the market maker's optimization problem using Markov Decision Processes (MDP). We…
The study proposes a quote-driven predictive automated market maker (AMM) platform with on-chain custody and settlement functions, alongside off-chain predictive reinforcement learning capabilities to improve liquidity provision of…
We develop a new type of automated market maker (AMM) that helps to maintain stability and long-term viability in a stablecoin. This primary market AMM (P-AMM) is an autonomous mechanism for pricing minting and redemption of stablecoins in…
We develop an axiomatic theory for Automated Market Makers (AMMs) in local energy sharing markets and analyze the Markov Perfect Equilibrium of the resulting economy with a Mean-Field Game. In this game, heterogeneous prosumers solve a…
We study decentralized markets for goods whose utility perishes in time, with compute as a primary motivation. Recent advances in reproducible and verifiable execution allow jobs to pause, verify, and resume across heterogeneous hardware,…
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…
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…
Cryptocurrency investment is inherently difficult due to its shorter history compared to traditional assets, the need to integrate vast amounts of data from various modalities, and the requirement for complex reasoning. While deep learning…
As distributed energy resources (DERs) proliferate, future power system will need new market platforms enabling prosumers to trade various electricity and grid-support products. However, prosumers often exhibit complex, product…
This article analytically characterizes the impermanent loss for automatic market makers in decentralized exchanges such as Uniswap or Balancer (CPMM). We present a theoretical static replication formula for the pool value using a…
Automated Market Makers (AMMs) are decentralized applications that allow users to exchange crypto-tokens without the need for a matching exchange order. AMMs are one of the most successful DeFi use cases: indeed, major AMM platforms process…
Automated market makers (AMMs) are a new prototype of decentralised exchanges which are revolutionising market interactions. The majority of AMMs are constant product markets (CPMs) where exchange rates are set by a trading function. This…