Related papers: Walraswap: a solution to uniform price batch aucti…
We consider class of equilibrium models including the implicit Walras supply-demand and competitive models. Such a model in this class, in general, is ill-posed. We formulate such a model in the form a variational inequality having certain…
Automated Market Makers (AMMs) are decentralized exchange protocols that provide continuous access to token liquidity without the need for order books or traditional market makers. However, this innovation has failed to scale when it comes…
The resource allocation problem of optimal assignment of the clients to the available access points in 60 GHz millimeterWave wireless access networks is investigated. The problem is posed as a multiassignment optimisation problem. The…
In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…
We consider Uniswap-like automated market makers, and, specifically, constant product liquidity pools, operating on blockchains. An important feature of Uniswap is the ability for a trader to carry out a sequence of asset swaps atomically,…
To maintain blockchain-based services with ensuring its security, it is an important issue how to decide a mining reward so that the number of miners participating in the mining increases. We propose a dynamical model of decision-making for…
We study a combinatorial market design problem, where a collection of indivisible objects is to be priced and sold to potential buyers subject to equilibrium constraints.The classic solution concept for such problems is Walrasian…
Automated Market Makers (AMMs) are essential in Decentralized Finance (DeFi) as they match liquidity supply with demand. They function through liquidity providers (LPs) who deposit assets into liquidity pools. However, the asset trading…
This work introduces a framework for evaluating onchain order flow auctions (OFAs), emphasizing the metric of price improvement. Utilizing a set of open-source tools, our methodology systematically attributes price improvements to specific…
The role of a market maker is to simultaneously offer to buy and sell quantities of goods, often a financial asset such as a share, at specified prices. An automated market maker (AMM) is a mechanism that offers to trade according to some…
Multi-unit auctions are a paradigmatic model, where a seller brings multiple units of a good, while several buyers bring monetary endowments. It is well known that Walrasian equilibria do not always exist in this model, however compelling…
We model the role of an online platform disrupting a market with unit-demand buyers and unit-supply sellers. Each seller can transact with a subset of the buyers whom she already knows, as well as with any additional buyers to whom she is…
Automated Market Makers (AMMs) are emerging as a popular decentralised trading platform. In this work, we determine the optimal dynamic fees in a constant function market maker. We find approximate closed-form solutions to the control…
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.,…
The random values and volumes of consecutive trades made at the exchange with shares of security determine its mean, variance, and higher statistical moments. The volume weighted average price (VWAP) is the simplest example of such a…
We study blockchain trade-intent auctions, which currently intermediate about USD 10 billion in trades each month. These auctions are combinatorial because executing multiple trade intents jointly generates additional efficiencies. However,…
This study explores the design of an efficient rebate policy in auction markets, focusing on a continuous-time setting with competition among market participants. In this model, a stock exchange collects transaction fees from auction…
We study how transaction cost affects to the equilibrium return and optimal stock holdings in equilibrium. To this end, we develop a continuous-time risk-sharing model where heterogenous agents trade toward terminal target holdings subject…
Decentralised automated market makers (AMMs) have gained significant attention recently. We propose an adaptive and automated Dynamic Function Market Maker (DFMM) that addresses challenges in this space. Our DFMM protocol includes a data…
The rise of the machine learning (ML) model economy has intertwined markets for training datasets and pre-trained models. However, most pricing approaches still separate data and model transactions or rely on broker-centric pipelines that…