Related papers: Walraswap: a solution to uniform price batch aucti…
We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
The efficient market hypothesis (EMH) famously stated that prices fully reflect the information available to traders. This critically depends on the transfer of information into prices through trading strategies. Traders optimise their…
We describe a plausible probabilistic model for a blockchain queueing environment in which rational, profit-maximising schedulers impose adversarial disciplines on incoming messages containing a payload that encodes a state transition in a…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
Silkswap is an automated market maker model designed for efficient stablecoin trading with minimal price impact. The original purpose of Silkswap is to facilitate the trading of fiat-pegged stablecoins with the stablecoin Silk, but it can…
Automated market makers (AMMs) are one of the most prominent decentralized finance (DeFi) applications. AMMs allow users to trade different types of crypto-tokens, without the need to find a counter-party. There are several implementations…
The asset trading volume on blockchain-based exchanges (DEX) increased substantially since the advent of Automated Market Makers (AMM). Yet, AMMs and their forks compete on the same blockchain, incurring unnecessary network and block-space…
Constant function market makers (CFMMs) such as Uniswap have facilitated trillions of dollars of digital asset trades and have billions of dollars of liquidity. One natural question is how to optimally route trades across a network of CFMMs…
Although modern blockchains almost universally produce blocks at fixed intervals, existing models still lack an analytical formula for the loss-versus-rebalancing (LVR) incurred by Automated Market Makers (AMMs) liquidity providers in this…
We develop conditions under which individual choices and Walrasian equilibrium prices and allocations can be exactly inferred from finite market data. First, we consider market data that consist of individual demands as prices and incomes…
We represent an exchange economy in terms of statistical ensembles for complex networks by introducing the concept of market configuration. This is defined as a sequence of nonnegative discrete random variables $\{w_{ij}\}$ describing the…
General equilibrium, the cornerstone of modern economics and finance, rests on assumptions many markets do not meet. Spectrum auctions, electricity markets, and cap-and-trade programs for resource rights often feature non-convexities in…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
Automated market makers (AMM) have grown to obtain significant market share within the cryptocurrency ecosystem, resulting in a proliferation of new products pursuing exotic strategies for horizontal differentiation. Yet, their theoretical…
Mechanisms for decentralized finance on blockchains suffer from various problems, including suboptimal price execution for users, latency, and a worse user experience compared to their centralized counterparts. Recently, off-chain…
We consider dynamic auctions for finding Walrasian equilibria in markets with indivisible items and strong gross substitutes valuation functions. Each price adjustment step in these auction algorithms requires finding an inclusion-wise…
The optimization of bidding strategies for online advertising slot auctions presents a critical challenge across numerous digital marketplaces. A significant obstacle to the development, evaluation, and refinement of real-time autobidding…
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interaction between these two markets, estimating the conditional…
Automated Market Makers (AMMs) are a cornerstone of decentralized finance. They are smart contracts (stateful programs) running on blockchains. They enable virtual token exchange: traders swap tokens with the AMM for a fee, while liquidity…