Related papers: Pooling Liquidity Pools in AMMs
We introduce a new framework for optimal routing and arbitrage in AMM driven markets. This framework improves on the original best-practice convex optimization by restricting the search to the boundary of the optimal space. We can…
Designing automated market makers (AMMs) is crucial for decentralized token exchanges in cryptoeconomic systems. At the intersection of software engineering and economics, AMM design is complex and, if done incorrectly, can lead to…
In this paper, we propose a novel distributed algorithm for consensus optimization over networks and a robust extension tailored to deal with asynchronous agents and packet losses. Indeed, to robustly achieve dynamic consensus on the…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
Detection and modeling of change-points in time-series can be considerably challenging. In this paper we approach this problem by incorporating the class of Dynamic Generalized Linear Models (DGLM) into the well know class of Product…
This paper develops a robust mathematical framework for Constant Function Market Makers (CFMMs) by transitioning from traditional token reserve analyses to a coordinate system defined by price and intrinsic liquidity. We establish a…
Achieving a successful energetic transition through a smarter and greener electricity grid is a major goal for the 21st century. It is assumed that such smart grids will be characterized by bidirectional electricity flows coupled with the…
Cloud computing as a fairly new commercial paradigm, widely investigated by different researchers, already has a great range of challenges. Pricing is a major problem in Cloud computing marketplace; as providers are competing to attract…
AMMs are autonomous smart contracts deployed on a blockchain that make markets between different assets that live on that chain. In this paper we are examining a specific class of AMMs called Constant Function Market Makers whose trading…
LLM agents in markets present algorithmic collusion risks. While prior work shows LLM agents reach supracompetitive prices through tacit coordination, existing research focuses on hand-crafted prompts. The emerging paradigm of prompt…
We propose a semi-partitioned Generalized Method of Moments (GMM) framework for analyzing longitudinal data with time-dependent covariates, within a marginal modeling paradigm. This approach addresses limitations of both aggregated and…
Assortment optimization is an important problem that arises in many industries such as retailing and online advertising where the goal is to find a subset of products from a universe of substitutable products which maximize seller's…
The partial reuse algebraic multigrid (AMG) setup cost amortization strategy is presented for the solution of non-steady state problems. The transfer operators are reused from the previous time steps, and the system matrices and the…
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…
Aggregators are playing an increasingly crucial role in the integration of renewable generation in power systems. However, the intermittent nature of renewable generation makes market interactions of aggregators difficult to monitor and…
We study the problem of collaborative machine learning markets where multiple parties can achieve improved performance on their machine learning tasks by combining their training data. We discuss desired properties for these machine…
Product diversity is one of the prominent factors for customers' satisfaction, while from the firms' perspective, the additional engineering costs required for product diversity should not exceed the acquired profits from the increase in…
This paper studies the static economic optimization problem of a system with a single aggregator and multiple prosumers in a Real-Time Balancing Market (RTBM). The aggregator, as the agent responsible for portfolio balancing, needs to…
Partition of unity methods (PUMs) on graphs are simple and highly adaptive auxiliary tools for graph signal processing. Based on a greedy-type metric clustering and augmentation scheme, we show how a partition of unity can be generated in…
The Alternating Direction Method of Multipliers (ADMM) has gained a lot of attention for solving large-scale and objective-separable constrained optimization. However, the two-block variable structure of the ADMM still limits the practical…