Related papers: A Microstructure Analysis of Coupling in CFMMs
As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability.…
This paper presents a new financial market simulator that may be used as a tool in both industry and academia for research in market microstructure. It allows multiple automated traders and/or researchers to simultaneously connect to an…
Very recent CMB data of WMAP offers an opportunity to test inflation models, in particular, the running of spectral index is quite new and can be used to rule out some models. We show that an noncommutative spacetime inflation model gives a…
Prediction of events in financial markets is every investor's dream and, usually, wishful thinking. From a more general, economic and societal viewpoint, the identification of indicators for large events is highly desirable to assess…
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…
We discuss ability of the harmonic pattern of peaks in the CMB angular power spectrum to test inflation. By studying robust features of alternate models, which must all be isocurvature in nature, we reveal signatures unique to inflation.…
We introduce a new microeconomics foundation of a specific type of competitive market equilibrium that can be used to study several markets with information asymmetry such as commodity market, credit market, and insurance market.
We present a method for constructing Constant Function Market Makers (CFMMs) whose portfolio value functions match a desired payoff. More specifically, we show that the space of concave, nonnegative, nondecreasing, 1-homogeneous payoff…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…
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 model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite…
Systems with strong electronic Coulomb correlations often display rich phase diagrams exhibiting different ordered phases involving spin, charge, or orbital degrees of freedom. The theoretical description of the interplay of the…
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…
Assuming that inflation happened through a series of tunneling in the string theory landscape, it is argued that one can determine the structure of vacua using precise measurements of the scalar spectral index and tensor perturbations at…
Recent released WMAP data show a low value of quadrupole in the CMB temperature fluctuations, which confirms the early observations by COBE. In this paper we consider a model of two inflatons with different masses, $V(\phi_1,\phi_2)={1\over…
The balancing market in the energy sector plays a critical role in physically and financially balancing the supply and demand. Modeling dynamics in the balancing market can provide valuable insights and prognosis for power grid stability…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
This paper studies inflation in small open economies with production networks. I show that the production network alters the elasticity of the consumer price index (CPI) to changes in sectoral technology, factor prices, and import prices.…
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions…