Related papers: Pooling Liquidity Pools in AMMs
We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem through the lens of continuous-time financial mathematics and…
Geometric Mean Market Makers (G3M) such as Uniswap, Sushiswap or Balancer are key building blocks of the nascent Decentralised Finance system. We establish non-arbitrage bounds for the wealth process of such Automated Market Makers in the…
This paper examines online distributed Alternating Direction Method of Multipliers (ADMM). The goal is to distributively optimize a global objective function over a network of decision makers under linear constraints. The global objective…
While transformer models have been highly successful, they are computationally inefficient. We observe that for each layer, the full width of the layer may be needed only for a small subset of tokens inside a batch and that the "effective"…
We investigate the most common type of blockchain-based decentralized exchange, which are known as constant function market makers (CFMMs). We examine the the market microstructure around CFMMs and present a model for valuing the liquidity…
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…
We present a mathematical formulation of liquidity provision in decentralized exchanges. We focus on constant function market makers of utility indifference type, which include constant product market makers with concentrated liquidity as a…
In this paper, we introduce a suite of models for price-aware automated market making platforms willing to optimize their quotes. These models incorporate advanced price dynamics, including stochastic volatility, jumps, and microstructural…
This paper mathematically models a constant-function automated market maker (CFAMM) position as a portfolio of exotic options, known as perpetual American continuous-installment (CI) options. This model replicates an AMM position's delta at…
We derive the stochastic price process for tokens whose sole price discovery mechanism is a constant-product automated market maker (AMM). When the net flow into the pool follows a diffusion, the token price follows a constant elasticity of…
The emergence of Concentrated Liquidity Market Makers (CLMMs) has made liquidity provision on decentralized exchanges an active and risk-sensitive task. However, the standalone profitability of liquidity provision remains unclear for…
This paper describes a method for computing price signals for prosumers, incentivizing them to adjust their consumption according to the constraints of the distribution grids to which they are connected, thereby preventing voltage…
In an economic market, sellers, infomediaries and customers constitute an economic network. Each seller has her own customer group and the seller's private customers are unobservable to other sellers. Therefore, a seller can only sell…
The programmable and composable nature of smart contract protocols has enabled the emergence of novel market structures and asset classes that are architecturally frictional to implement in traditional financial paradigms. This fluidity has…
The Fisher market is one of the most fundamental models for resource allocation problems in economic theory, wherein agents spend a budget of currency to buy goods that maximize their utilities, while producers sell capacity constrained…
We propose the Artificial Continuous Prediction Market (ACPM) as a means to predict a continuous real value, by integrating a range of data sources and aggregating the results of different machine learning (ML) algorithms. ACPM adapts the…
Introduction of market mechanisms in distribution systems is currently subject to extensive studies. One of the challenges facing Distribution Market Operators (DMOs) is to implement a fair and economically efficient pricing mechanism that…
This paper studies the pool strategy for price-makers under imperfect information. In this occasion, market participants cannot obtain essential transmission parameters of the power system. Thus, price-makers should estimate the market…
We consider a class of distributed optimization problem where the objective function consists of a sum of strongly convex and smooth functions and a (possibly nonsmooth) convex regularizer. A multi-agent network is assumed, where each agent…
In the restructured electricity industry, electricity pooling markets are an oligopoly with strategic producers possessing private information (private production cost function). We focus on pooling markets where aggregate demand is…