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Blockchain technology has revolutionized financial markets by enabling decentralized exchanges (DEXs) that operate without intermediaries. Uniswap V2, a leading DEX, facilitates the rapid creation and trading of new tokens, which offer high…
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…
Cryptocurrency has been extensively studied as a decentralized financial technology built on blockchain. However, there is a lack of understanding of user experience with cryptocurrency exchanges, the main means for novice users to interact…
Decentralized exchange markets leveraging blockchain have been proposed recently to provide open and equal access to traders, improve transparency and reduce systemic risk of centralized exchanges. However, they compromise on the privacy of…
The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the implicit assumption that transfers between agents are…
Although Large Language Model (LLM)-based agents are increasingly used in financial trading, it remains unclear whether they can reason and adapt in live markets, as most studies test models instead of agents, cover limited periods and…
This paper presents a general framework for the design and analysis of exchange mechanisms between two assets that unifies and enables comparisons between the two dominant paradigms for exchange, constant function market markers (CFMMs) and…
Online trading has attracted millions of people around the world. In March 2021, it was reported there were 18 million accounts from just one broker. Historically, manipulation in financial markets is considered to be fraudulently…
Autonomous Market Makers (AMMs) rely on arbitrage to facilitate passive price updates. Liquidity fragmentation poses a complex challenge across different blockchain networks. This paper proposes FluxLayer, a solution to mitigate fragmented…
Machine learning has recently enabled large advances in artificial intelligence, but these tend to be highly centralized. The large datasets required are generally proprietary; predictions are often sold on a per-query basis; and published…
In traditional finance, the Black & Scholes model has guided almost 50 years of derivatives pricing, defining a standard to model any volatility-based product. With the rise of Decentralized Finance (DeFi) and constant product Automated…
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,…
Model-based Systems Engineering (MBSE) has been widely utilized to formalize system artifacts and facilitate their development throughout the entire lifecycle. During complex system development, MBSE models need to be frequently exchanged…
This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a…
This paper proposes a novel multi-layer blockchain architecture for the cross-border trading of CBDCs. The permissioned layer-2, by relying on the public consensus of the underlying network, assures the security and integrity of the…
Liquidity providers (LPs) are essential figures in the operation of automated market makers (AMMs); in exchange for transaction fees, LPs lend the liquidity that allows AMMs to operate. While many prior works have studied the incentive…
This paper studies the optimal clearing problem for prosumers in peer-to-peer (P2P) energy markets. It is proved that if no trade weights are enforced and the communication structure between successfully traded peers is connected, then the…
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…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
Bitcoin brings a new type of digital currency that does not rely on a central system to maintain transactions. By benefiting from the concept of decentralized ledger, users who do not know or trust each other can still conduct transactions…