Related papers: Arbitrage on Decentralized Exchanges
We present the first in-depth empirical characterization of the costs of trading on a decentralized exchange (DEX). Using quoted prices from the Uniswap Labs interface for two pools -- USDC-ETH (5bps) and PEPE-ETH (30bps) -- we evaluate the…
We study sequential multi-issue trading between two greedily rational agents who exchange resources from a finite set of categories. Each agent's utility depends on its allocation, but the offering agent does not know the responding agent's…
We study equilibria in an Electric Vehicle (EV) charging game, a cost minimization game inherent to decentralized charging control strategy for EV power demand management. In our model, each user optimizes its total cost which is sum of…
We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The…
Horizontal agreements can fall within the scope of exemptions to antitrust competition if they are expected to create pro-consumer benefits. Inspired by such horizontal agreements, we introduce a cooperative game in which a set of transport…
Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. We study this problem from the perspective of a broker, in a regret…
We study a general class of repeated auctions, such as the ones found in electricity markets, as multi-agent games between the bidders. In such a repeated setting, bidders can adapt their strategies online based on the data observed in the…
The relative arbitrage portfolio outperforms a benchmark portfolio over a given time-horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi-agent…
This paper investigates the problem of proportionally fair double sided energy auction involving buying and selling agents. The grid is assumed to be operating under islanded mode. A distributed auction algorithm that can be implemented by…
Decentralized Finance (DeFi) is a rapidly evolving segment of blockchain technology that enables a transformative approach to financial services through Web3 applications. By leveraging smart contracts, DeFi allows developers to build…
I construct a novel random double auction as a robust bilateral trading mechanism for a profit-maximizing intermediary who facilitates trade between a buyer and a seller. It works as follows. The intermediary publicly commits to charging a…
Decentralized Exchanges (DEXs) are new types of marketplaces leveraging Blockchain technology. They allow users to trade assets with Automatic Market Makers (AMM), using funds provided by liquidity providers, removing the need for order…
We study optimal execution in markets with transient price impact in a competitive setting with $N$ traders. Motivated by prior negative results on the existence of pure Nash equilibria, we consider randomized strategies for the traders and…
Recent advancements in vehicle autonomy have drawn interest in understanding the impact of autonomous vehicles on traffic systems. In this paper, we study a traffic assignment problem in a mixed-autonomy setting where both human-driven and…
As the share of variable renewable energy sources increases in the electricity mix, new solutions are needed to build a flexible and reliable grid. Energy arbitrage with battery storage systems supports renewable energy integration into the…
In decentralized exchanges (DEXs), the arbitrage paths exist abundantly in the form of both arbitrage loops (e.g. the arbitrage path starts from token A and back to token A again in the end, A, B,..., A) and non-loops (e.g. the arbitrage…
A market model with $d$ assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a num\`eraire is not assumed. It is shown that robust no arbitrage…
A two-sided market consists of two sets of agents, each of whom have preferences over the other (Airbnb, Upwork, Lyft, Uber, etc.). We propose and analyze a repeated matching problem, where some set of matches occur on each time step, and…
We construct an empirically founded model of a repo trade intermediated by two broker-dealers and prove multiple equilibrium and the existence of equilibrium at the joint profit maximizing volume of trade. We then present a smart contract…